{"title":"Fair Value Measurement for Private Equities: A Plus or a Minus for Stakeholders?","authors":"V. Palea, Renato Maino","doi":"10.2139/ssrn.2117116","DOIUrl":"https://doi.org/10.2139/ssrn.2117116","url":null,"abstract":"In this paper, we discuss the potential economic consequences of IFRS 13 endorsement in the European Union. Our focus is on private equity valuation. We review prior research and perform a field-test in order to shed light on the possible effects of its adoption. Our paper questions whether fair value, as defined by IFRS 13, is an appropriate measure for private equities and can effectively contribute to enhance transparency and comparability in financial statement, which is one of the explicit purposes of both the IASB and the European Union Regulation 1606/2002. Our field-test supports this claim and shows that market-based valuation techniques fail to provide fair values which are a faithful representation of the economic real world phenomena they purport to represent. Consistently with previous research, we show that market and transaction multiples do a poor job and relevant entity-specific adjustments will be necessary.","PeriodicalId":168263,"journal":{"name":"CAREFIN: Centre for Applied Research in Finance Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117256510","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}
{"title":"New Efficient Frontier: Can Structured Products Really Improve Risk-Return Profile?","authors":"Gianluca Fusai, Giovanna Zanotti","doi":"10.2139/SSRN.2140678","DOIUrl":"https://doi.org/10.2139/SSRN.2140678","url":null,"abstract":"In this paper we investigate the contribution of structured bonds to the efficient frontier. We conduct our analysis by simulating the term structure according to a no-arbitrage multifactor model (G2 ) and comparing the performance of basic products (like zero-coupon bond, coupon bond and floating rate notes) with respect to more sophisticated products (like cms, collars, spread and volatility notes). In particular, our analysis considers different initial market environment like interest rate term structure shapes, as well as volatility and correlation in its changes and takes into account how the combined effect of risk-premium required by investors and fees that they have to pay can change the portfolio allocation respect to the one made only of basic securities. Our simulation results show that structured products can be an interesting investment only under particular scenarios. However, in general the return net of the fees in these securities is in average lower than the return in basic securities.","PeriodicalId":168263,"journal":{"name":"CAREFIN: Centre for Applied Research in Finance Research Paper Series","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133092647","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}
M. Dash, Lalremtluangi C., Snimer Atwal, Supriya Thapar
{"title":"A Study on Risk-Return Characteristics of Life Insurance Policies","authors":"M. Dash, Lalremtluangi C., Snimer Atwal, Supriya Thapar","doi":"10.2139/SSRN.1303350","DOIUrl":"https://doi.org/10.2139/SSRN.1303350","url":null,"abstract":"Life insurance policies are no longer seen solely as a means of insuring life. Due to many new features introduced by life insurers, they are seen in the new light of serving savings and even investment purposes besides the basic purpose of insuring life. The present study discusses the rates of return given by different types of policies, and the effect of mortality on these rates of return across age, sum assured, and maturity period in each type of policy studied. Comparisons in different categories were made for both the unadjusted and mortality-adjusted rates of return. Analysis was made to determine the type of relationship that the unadjusted and mortality-adjusted rates of return follow and to determine their degree of sensitivity to mortality. The findings indicate that different types of policies give different rates of return and that mortality does have an effect on the rates of return. Endowment plans have higher rate of return with mortality incorporated, while for unit-linked investment plans, the rate of return is higher when it is treated purely as an investment instrument. The study also revealed that the unadjusted and mortality-adjusted rates of return follow a linear relationship that is very similar to the capital asset pricing model. The study opens a further scope of research by extending the methodology to include other relevant risk factors besides mortality, and for different types of policies across companies.","PeriodicalId":168263,"journal":{"name":"CAREFIN: Centre for Applied Research in Finance Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131093811","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}