User profiles for Paul Lajbcygier

paul lajbcygier

Monash University
Verified email at monash.edu
Cited by 650

Going negative: What to do with negative book equity stocks

SJ Brown, P Lajbcygier, B Li - 2007 - papers.ssrn.com
A firm’s book equity is a measure of the value held by a firm’s ordinary shareholders.
Increasingly, it is being reported as a negative number. Since the firm’s limited liability structure …

Improved option pricing using artificial neural networks and bootstrap methods

PR Lajbcygier, JT Connor - International journal of neural systems, 1997 - World Scientific
… An earlier version of this article has been presented in (LajbcygierPaul Lajbcygier would
like to thank Giovanna Pennella for … Lajbcygier 1998, “Improving option pricing using neural …

Improving option pricing with the product constrained hybrid neural network

P Lajbcygier - IEEE Transactions on Neural Networks, 2004 - ieeexplore.ieee.org
In the past decade, many studies across various financial markets have shown conventional
option pricing models to be inaccurate. To improve their accuracy, various researchers have …

Virtue remains after removing sin: Finding skill amongst socially responsible investment managers

E Ooi, P Lajbcygier - Journal of business ethics, 2013 - Springer
We examine the investment skill of socially responsible investment (SRI) fund managers.
Prior studies use the ‘alpha’ from standard asset pricing models as a proxy for management …

A hybrid neural network approach to the pricing of options

C Boek, P Lajbcygier, M Palaniswami… - Proceedings of ICNN' …, 1995 - ieeexplore.ieee.org
A new method of pricing options is introduced. The method is based on the augmentation of
a conventional model with an artificial neural network (ANN) trained on the difference …

[BOOK][B] E-learning technologies and evidence-based assessment approaches

C Spratt, P Lajbcygier - 2009 - books.google.com
Educational researchers and academicians need the latest advances in educational
technologies in order to enhance instruction and aid student assessment and learning. E-Learning …

Imputation credits and equity returns

P Lajbcygier, SM Wheatley - Economic record, 2012 - Wiley Online Library
The provision of imputation tax credits can in principle lower the returns that investors require
on equity. Whether in practice imputation credits lower the returns that investors require …

Is Fundamental Indexation able to time the market? Evidence from the Dow Jones Industrial Average and the Russell 1000

D Chen, M Dempsey, P Lajbcygier - Journal of International Financial …, 2015 - Elsevier
Fundamental Indexation weights stock according to a firm's economic size, not stock price
or market capitalization. This means that at least in theory, unlike traditional market …

The effects of trade size and market depth on immediate price impact in a limit order book market

…, HM Anderson, HN Duong, P Lajbcygier - Journal of Economic …, 2020 - Elsevier
We compare trade size to the prevailing market depth at the best level in the limit order book
to detect and account for zero impact trades in an immediate price impact model. Our model …

Estimating the cost of capital with basis assets

SJ Brown, P Lajbcygier, WW Wong - Journal of banking & Finance, 2012 - Elsevier
Instead of using industry groups or asset pricing models to estimate the cost of capital we
propose using risk equivalent classes known as basis assets. A basis asset is constructed by …