Annals of Finance最新文献_第4页

The optimal financing of a conglomerate firm with hidden information and costly state verification 具有隐藏信息和昂贵的国家验证的企业集团的最优融资

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Annals of Finance Pub Date : 2023-02-05 DOI: 10.1007/s10436-022-00418-7

Rosa Ferrentino, Luca Vota

{"title":"The optimal financing of a conglomerate firm with hidden information and costly state verification","authors":"Rosa Ferrentino, Luca Vota","doi":"10.1007/s10436-022-00418-7","DOIUrl":"10.1007/s10436-022-00418-7","url":null,"abstract":"<div><p>This manuscript addresses the issue, particularly interesting for a conglomerate firm, of the choice of the optimal financing method (namely, the most efficient one) between the joint one and the separate one. In particular, the authors identify the properties of the optimal financing contract for three investment projects under the assumptions of the literature on Costly State Verification (CSV), namely, uncorrelated returns, hidden information (the return of a single project is a borrower’s private information), lender performing sequential audit and residual claimant borrower. The authors’ research method consists of solving the optimization problem of the borrower’s expected utility subject to appropriate incentive constraints and the lender’s participation constraint. The novelty of this contribution is the demonstration that joint financing with return pooling between the high and low states is more efficient than separate financing, as it implies a lower expected audit cost for the lender and, if the investment cost is not too high, also less credit rationing for the borrower. Joint financing with return pooling between the intermediate and low states, instead, is found to be less efficient than separate financing in terms of expected audit cost and, in the presence of sufficiently high investment cost, also credit rationing.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2023-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00418-7.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47329596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits 保证终身退出的公平费用与马尔可夫健康效益分析

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Annals of Finance Pub Date : 2023-01-17 DOI: 10.1007/s10436-022-00422-x

Guglielmo D’Amico, Shakti Singh, Dharmaraja Selvamuthu

{"title":"Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits","authors":"Guglielmo D’Amico, Shakti Singh, Dharmaraja Selvamuthu","doi":"10.1007/s10436-022-00422-x","DOIUrl":"10.1007/s10436-022-00422-x","url":null,"abstract":"<div><p>This study proposed and evaluated a new insurance product, i.e., the variable annuity product, accompanied by the health status and the guaranteed lifelong withdrawal benefit (GLWB). Due to specific problems, the insurance sector is now one of the riskiest industries. The aging of the population and rising medical service costs as a result of technological advancements are to blame for this. Thus one of the most basic needs in the health insurance sector is to design an innovative product. In this article, a mixed discrete-continuous time model is proposed to calculate the fair fee of the product, calculated using equilibrium condition between premium and benefits. We considered constant volatility and rate of interest along with health status benefits and hospitalization coverage. For an illustration of the capability of this product and some possible improvements in the product, a numerical study, and sensitivity analysis have been conducted. The results showed that the withdrawal amount and age have a significant impact on the cost. A rise in the initial insured age and withdrawal amount increases the fair fee of the product. The GLWB rider’s guaranteed amount and medical expenses are included in the withdrawal amount.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2023-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00422-x.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44474124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Uncertainty in firm valuation and a cross-sectional misvaluation measure 企业估值的不确定性与横截面错估度量

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Annals of Finance Pub Date : 2023-01-17 DOI: 10.1007/s10436-022-00423-w

Giulio Bottazzi, Francesco Cordoni, Giulia Livieri, Stefano Marmi

{"title":"Uncertainty in firm valuation and a cross-sectional misvaluation measure","authors":"Giulio Bottazzi, Francesco Cordoni, Giulia Livieri, Stefano Marmi","doi":"10.1007/s10436-022-00423-w","DOIUrl":"10.1007/s10436-022-00423-w","url":null,"abstract":"<div><p>The degree of uncertainty associated with the value of a company plays a relevant role in valuation analysis. We propose an original and robust methodology for company market valuation, which replaces the traditional point estimate of the conventional Discounted Cash Flow model with a probability distribution of fair values that convey information about both the expected value of the company and its intrinsic uncertainty. Our methodology depends on two main ingredients: an econometric model for company revenues and a set of firm-specific balance sheet relations that are estimated using historical data. We explore the effectiveness and scope of our methodology through a series of statistical exercises on publicly traded U.S. companies. At the firm level, we show that the fair value distribution derived with our methodology constitutes a reliable predictor of the company’s future abnormal returns. At the market level, we show that a long-short valuation (LSV) factor, built using buy-sell recommendations based on the fair value distribution, contains information not accessible through the traditional market factors. The LSV factor significantly increases the explanatory and the predictive power of factor models estimated on portfolios and individual stock returns.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2023-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00423-w.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42628871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

The market value of SMEs: a comparative study between private and listed firms in alternative stock markets 中小企业的市场价值:另类股票市场中民营与上市公司的比较研究

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Annals of Finance Pub Date : 2023-01-05 DOI: 10.1007/s10436-022-00420-z

Leslie Rodríguez-Valencia, Prosper Lamothe-Fernández, David Alaminos

{"title":"The market value of SMEs: a comparative study between private and listed firms in alternative stock markets","authors":"Leslie Rodríguez-Valencia, Prosper Lamothe-Fernández, David Alaminos","doi":"10.1007/s10436-022-00420-z","DOIUrl":"10.1007/s10436-022-00420-z","url":null,"abstract":"<div><p>This study aims to compare the market value of private firms and publicly listed small and medium-sized firms (SMEs) in alternative stock markets through a private discount approach with estimates of value based on discounted cash flow projections and along with a comparable multiples approach. The valuation methodology applied in this study yielded a final sample that included 232 observations between public and private companies in the Spanish market. To calculate the discount, we apply the different approaches of discounted cash flow and multiples, such as valuation, earnings, book value, and revenue. Our results conclude there is no private discount, instead, the outcomes of this article suggest a premium over public firms for some ratios. The negative private company discounts mean a premium and, on the other hand, some multiples suggest a discount according to the method of valuation. This paper proves private discounts resulted does not have any comparable value within the same country although all firms in Spain use the same currency. We value the discounted cash flows of our forecasts using a discount rate based on the Capital Asset Pricing Model (CAPM), so our study can also be viewed as a test sensitivity of CAPM-based approaches to equity risk premium, terminal value, and growth rate. Furthermore, we compare historical transaction multiples of privately held companies with transaction multiples of similar publicly held firms.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2023-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00420-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45201652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Drawdown risk measures for asset portfolios with high frequency data 具有高频数据的资产组合的回撤风险度量

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Annals of Finance Pub Date : 2022-12-30 DOI: 10.1007/s10436-022-00421-y

Giovanni Masala, Filippo Petroni

引用次数: 0

A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology 基于层次分析法的跨期选择不一致行为研究

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Annals of Finance Pub Date : 2022-12-05 DOI: 10.1007/s10436-022-00419-6

Viviana Ventre, Cruz Rambaud Salvador, Roberta Martino, Fabrizio Maturo

引用次数: 2

Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? 将市场条件纳入小额信贷利率的监管决策:竞争重要吗?

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Annals of Finance Pub Date : 2022-11-21 DOI: 10.1007/s10436-022-00417-8

Tristan Caballero-Montes

引用次数: 0

Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks 银行间网络的连通性、集中化和“稳健但脆弱”

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Annals of Finance Pub Date : 2022-11-15 DOI: 10.1007/s10436-022-00416-9

Mario Eboli, Bulent Ozel, Andrea Teglio, Andrea Toto

{"title":"Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks","authors":"Mario Eboli, Bulent Ozel, Andrea Teglio, Andrea Toto","doi":"10.1007/s10436-022-00416-9","DOIUrl":"10.1007/s10436-022-00416-9","url":null,"abstract":"<div><p>This paper studies the effects that connectivity and centralisation have on the response of interbank networks to external shocks that generate phenomena of default contagion. We run numerical simulations of contagion processes on randomly generated networks, characterised by different degrees of density and centralisation. Our main findings show that the degree of robustness-yet-fragility of a network grows progressively with both its degree of density or centralisation, although at different paces. We also find that sparse and decentralised interbank networks are generally resilient to small shocks, contrary to what so far believed. The degree of robustness-yet-fragility of an interbank network determines its propensity to generate a too-many-to-fail problem. We argue that medium levels of density and high levels of centralisation prevent the emergence of a too-many-to-fail issue for small and medium shocks whilst drastically creating the problem in the case of large shocks. Finally, our results shed some light on the actual robustness-yet-fragility of the observed core-periphery national interbank networks, highlighting the existing risk of systemic crises.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00416-9.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43950331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Delta-hedging in fractional volatility models 分数波动率模型中的Delta套期保值

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Annals of Finance Pub Date : 2022-11-09 DOI: 10.1007/s10436-022-00415-w

Qi Zhao, Alexandra Chronopoulou

引用次数: 0

Bargaining power and renegotiation of small private debt contracts 小额私人债务合同的议价能力和重新谈判

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Annals of Finance Pub Date : 2022-09-14 DOI: 10.1007/s10436-022-00413-y

José Valente, Mário Augusto, José Murteira

引用次数: 0