EFA 2002 Submissions最新文献_第4页

Will the True Marginal Investor Please Stand Up?: Asset Prices with Immutable Security Trading by Investors 真正的边际投资者会站起来吗?:投资者进行不可变证券交易的资产价格

EFA 2002 Submissions Pub Date : 2002-02-11 DOI: 10.2139/ssrn.300580

P. Swan

引用次数: 3

Rule of Law, Risk Sharing, and the Cost of Funds 法治、风险分担和资金成本

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.300926

Mariassunta Giannetti

引用次数: 4

The Determinations of Equity Value with Stochastic Term Structure of Discount Factors 贴现因子随机期限结构下股权价值的确定

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.301970

Pengguo Wang

{"title":"The Determinations of Equity Value with Stochastic Term Structure of Discount Factors","authors":"Pengguo Wang","doi":"10.2139/ssrn.301970","DOIUrl":"https://doi.org/10.2139/ssrn.301970","url":null,"abstract":"This paper discusses equity valuation on a per share basis and in a stochastic term structure of discount factors framework. The value of equity has been explicitly expressed in a no-growth component, which is proxied by either capitalised next period earnings or open book value, and growth components, which links short term performance of book value and growth rates of earnings performance adjusted by market systematic risk. Consistent with asset pricing theory discounting risk-adjusted future cash stream bases on short term interest rate rather than risk-adjusted cost of capital. The growth value is shown to be a function of retention rate and persistence of returns on earnings retained and the market risk. The constant dividend growth model and Ohlson and Juettner (2000) are special cases if one assumes that the interest rate is constant and the future investment opportunities have the same risk as the existing business. In a constant earnings growth setting, it is shown that only when return on equity is greater than a risk adjusted rate of return should the firm increase the retention rate, and the implied risk premium is positively linked to the systematic market risk in a nonlinear fashion.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122411420","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: 0

The Option Value of Non-Recourse Lending and Inflated Asset Prices 无追索权贷款的期权价值与资产价格膨胀

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302939

Andrey Pavlov, Susan M. Wachter

引用次数: 6

Bank Size, Specialization and Efficiency: The Netherlands, 1992-1998 银行规模、专业化和效率:荷兰，1992-1998

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/SSRN.302712

J. Bos, C. Kool

引用次数: 15

Geared Equity Investments: Tax Arbitrage Down Under 负债股权投资:税收套利

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302067

C. Corrado, Joseph K. Cheung

引用次数: 0

Common Factors in International Bond Returns Revisited: A Common Principal Component Approach 再论国际债券收益的共同因素:一个共同的主成分方法

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302086

Franck Moraux, C. Pérignon, Christophe Villa

引用次数: 2

Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1) 多时刻近似期权定价模型的一般比较(上)

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.300922

Emmanuel Jurczenko, Bertrand B. Maillet, Bogdan Negrea

{"title":"Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1)","authors":"Emmanuel Jurczenko, Bertrand B. Maillet, Bogdan Negrea","doi":"10.2139/ssrn.300922","DOIUrl":"https://doi.org/10.2139/ssrn.300922","url":null,"abstract":"After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and Su, 1996-b and 1997-b), the log-normal Gram- Charlier series expansion (Jarrow and Rudd, 1982) and the Edgeworth series expansion (Rubinstein, 1998). The purpose of this paper is to compare these different multimoment approximate option pricing models. We first recall the link between the riskneutral density and moments in a general statistical series expansion framework under the martingale hypothesis. We then derive analytical formulae for several four-moment approximate option pricing models, namely, the Jarrow and Rudd (1982), Corrado and Su (1996-b and 1997-b) and Rubinstein (1998) models. We investigate in particular the conditions that ensure the respect of the martingale restriction (see Longstaff, 1995) and consequently revisit the approximate option pricing models under study. We also get for these models the analytical expressions of implied probability densities, implied volatility smile functions and several hedging parameters of interest.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130085573","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: 19

Conditional Asset Allocation, Hedging and Intertemporal Asset Pricing 条件资产配置、套期保值与跨期资产定价

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302741

Guojun Wu, Bruno Gerard

引用次数: 2

Asset Allocation: Emerging Markets and Technology Stocks 资产配置:新兴市场和科技股

EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.301372

Nuno Fernandes

{"title":"Asset Allocation: Emerging Markets and Technology Stocks","authors":"Nuno Fernandes","doi":"10.2139/ssrn.301372","DOIUrl":"https://doi.org/10.2139/ssrn.301372","url":null,"abstract":"During the last two decades, liberalization of capital markets in emerging markets was a common trend. Liberalization caused an increased responsiveness to world factors. Indeed, as argued in this paper, emerging markets are now behaving like certain developed markets' asset classes. This study develops a framework for asset classes' comparisons in an increasingly integrated world market, focusing on two aspects - diversification benefits and risk profiles. The set of tools used includes the standard Markowitz mean-variance analysis, spanning tests, the International CAPM, lower-moment CAPM and a conditional asset pricing model which allows time-variation in the betas. The empirical analysis focuses on two asset classes: emerging markets and technology stocks. It is found that after allowing investment in technological stocks, there are no significative gains from an aggregate investment in emerging market equities. Furthermore, the mean variance spanning test shows that emerging markets as a whole are spanned by developed market indices. The conditional framework shows that global risk factors have similar impact on the two asset classes in consideration, and in particular that conditional betas tend to covary simultaneously with business cycle proxies. These results contrast with previous studies, and can be justified by the increasing integration of emerging markets and a longer (and more realistic) time frame. The results show that the value added of diversified index funds of emerging markets' equities is low, and that individual country selection can provide very distinct results. The study has implications for global asset allocation, home bias and cost of equity estimation.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126934926","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: 0