European Financial Management Association Meetings (EFMA) (Archive)最新文献

Valuing Companies by Cash Flow Discounting: Ten Methods and Nine Theories 用现金流折现法评估公司价值:十种方法和九种理论

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2015-11-17 DOI: 10.1108/03074350710823827

Pablo Fernandez

引用次数: 8

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM 学习Beta:时变因子负荷、预期收益和条件CAPM

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2008-10-08 DOI: 10.2139/ssrn.391562

T. Adrian, Francesco Franzoni

引用次数: 190

Equivalence of the Different Discounted Cash Flow Valuation Methods: Different Alternatives for Determining the Discounted Value of Tax Shields and Their Implications for the Valuation 不同现金流量估值贴现方法的等价性:确定税盾贴现价值的不同选择及其对估值的影响

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2007-10-08 DOI: 10.2139/ssrn.182308

Pablo Fernández

{"title":"Equivalence of the Different Discounted Cash Flow Valuation Methods: Different Alternatives for Determining the Discounted Value of Tax Shields and Their Implications for the Valuation","authors":"Pablo Fernández","doi":"10.2139/ssrn.182308","DOIUrl":"https://doi.org/10.2139/ssrn.182308","url":null,"abstract":"This paper addresses the valuation of firms by cash flow discounting. The first part shows that the four most commonly used discounted cash flow valuation methods (free cash flow discounted at the WACC; cash flow available for equity holders discounted at the required return on the equity flows; capital cash flow discounted at the WACC before taxes; and Adjusted Present Value) always give the same value. This result is logical because all the methods analyse the same reality under the same hypotheses; they differ only in the flows used as the starting point for the valuation. The disagreements in the various theories on the valuation of the firm arise from the calculation of the discounted value of tax shields (DVTS). The paper shows and analyses 7 different theories on the calculation of the DVTS: Modigliani and Miller (1963), Myers (1974), Miller (1977), Miles and Ezzell (1980), Harris and Pringle (1985), Ruback (1995), Damodaran (1994), and Practitioners method. It is shown that Myers' method (1974) gives inconsistent results. When analysing the results given by the different theories, it should be remembered that the DVTS is not actually the present value of the tax saving due to the payment of interested discounted at a certain rate but the difference between two present values: the present value of the taxes paid by the firm with no debt minus the present value of the taxes paid by the company with debt. The risk of the taxes paid by the company with no debt is less than the risk of the taxes paid by the company with debt. The paper also shows the changes that take place in the valuation formulas when the debt's market value does not match its book value.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129464950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 17

Capital Structure in Venture Finance 风险融资中的资本结构

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2005-06-01 DOI: 10.2139/ssrn.218352

Douglas J. Cumming

引用次数: 130

The International Evidence on Performance and Equity Ownership by Insiders, Blockholders, and Institutions 内部人、大股东和机构的绩效与股权关系的国际证据

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2005-02-04 DOI: 10.2139/ssrn.314276

Bruce Seifert, H. Gonenc, Jim Wright

引用次数: 144

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface 标准普尔500指数期权隐含波动率面的可预测动态

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2004-11-01 DOI: 10.2139/ssrn.406697

Sílvia Gonçalves, Massimo Guidolin

{"title":"Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface","authors":"Sílvia Gonçalves, Massimo Guidolin","doi":"10.2139/ssrn.406697","DOIUrl":"https://doi.org/10.2139/ssrn.406697","url":null,"abstract":"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data. However, recent empirical evidence suggests that the parameters characterizing the IVS change over time. In this paper we study whether the resulting predictability patterns in the IVS coefficients may be exploited in practice. We propose a two-stage approach to modeling and forecasting the S&P 500 index options IVS. In the first stage we model the surface along the cross-sectional moneyness and time-to-maturity dimensions, similarly to Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface coefficients by means of vector autoregression models. We find that not only the S&P 500 implied volatility surface can be successfully modeled, but also that its movements over time are highly predictable in a statistical sense. We then examine the economic significance of this statistical predictability with mixed findings. Whereas profitable delta-hedged positions can be set up that exploit the dynamics captured by the model under moderate transaction costs and when trading rules are selective in terms of expected gains from the trades, most of this profitability disappears when we increase the level of transaction costs and trade multiple contracts off wide segments of the IVS. This suggests that predictability of the time-varying S&P 500 implied volatility surface may be not inconsistent with market efficiency.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127813008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 123

Stock Price Synchronicities in Emerging Markets 新兴市场的股价同步性

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2003-06-27 DOI: 10.2139/ssrn.407724

Chin-Wen Hsin, Yuehtzu Liao

{"title":"Stock Price Synchronicities in Emerging Markets","authors":"Chin-Wen Hsin, Yuehtzu Liao","doi":"10.2139/ssrn.407724","DOIUrl":"https://doi.org/10.2139/ssrn.407724","url":null,"abstract":"This study examines the intra-market stock price synchronicities of emerging markets and attempts to explain the phenomenon in terms of factors that characterize the market structure, the market's speculative trading behavior, and the degree of integration with the world market. Panel data are collected and computed for synchronicities and relevant measures. Our results suggest that firm-specific information, in comparison to market-level information, becomes less significant in terms of pricing stocks as the holding period is extended, perhaps due to lagged spillover effects among stocks, a pattern that is particularly evident in those markets experiencing high price synchronicities. It is also found that the hypothesis supported in previous studies that low-income economies experience higher price synchronicities no longer holds within the spectrum of emerging markets. Instead, stronger speculative behavior and a lower degree of integration with the world market lead to greater stock price synchronicity in a market. These results are consistent with the hypotheses that firm-level fundamentals are difficult to price in a speculative market where noise trades prevail and that a more segmented market attaches more weight to local-market-specific information relative to global information in terms of pricing. Finally, the stock price synchronicity in many markets varies asymmetrically with negative market conditions, suggesting that firm-level fundamentals become more difficult to be capitalized into stock prices when markets are bearish.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130715505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Robust Measurement of Size and Book-to-Market Premia 稳健的规模测量和账面市值溢价

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2003-06-27 DOI: 10.2139/ssrn.407726

Chih-Chiang Hsu, Robin K. Chou

引用次数: 3

Investment Strategies Using Orthogonal Portfolios 正交投资组合的投资策略

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2003-06-23 DOI: 10.2139/ssrn.407707

Hossein Asgharian, B. Hansson

{"title":"Investment Strategies Using Orthogonal Portfolios","authors":"Hossein Asgharian, B. Hansson","doi":"10.2139/ssrn.407707","DOIUrl":"https://doi.org/10.2139/ssrn.407707","url":null,"abstract":"This paper evaluates the usefulness of the orthogonal portfolio approach proposed by MacKinlay and Pastor (2000), for the estimation of the expected returns of Swedish industrial portfolios from 1980 to 1997. In this approach the expected returns are linked to the residual covariance matrix of a given factor model. The analysis consists of two related but distinct parts. We first examine the significance of the orthogonal approach as an asset-pricing model. The second part judges the ability of the orthogonal portfolio approach in forming investment strategies. The estimation of the parameters of the applied models requires solution of a difficult and nonlinear likelihood function. We use simulated annealing as our procedure to find the global optimum of the likelihood function. Thus, in contrast to MacKinlay and Pastor (2000) we can let the model determine the importance of the unobserved factor, the orthogonal portfolio, and allow for heteroskedasticity in the idiosyncratic risk of the test assets. We first compare the estimated expected returns and the characteristics of the factor portfolios from different models. Then, all models are evaluated from a portfolio perspective: We calculate the weights of the portfolio with the maximum Sharpe-ratio, the tangency portfolio, and the out of sample Sharpe-ratios of these portfolios are used as the evaluation metric.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116411920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias 围绕区块的价格行为:不对称或买卖偏差

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2003-06-14 DOI: 10.2139/ssrn.394987

A. Frino, Vito Mollica, T. Walter

引用次数: 1