Annals of Finance最新文献_第8页

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

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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":"19 1","pages":"95 - 117"},"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":"19 2","pages":"169 - 200"},"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

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate 随机波动率和随机利率下的动态最优均值方差投资组合选择

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Annals of Finance Pub Date : 2022-09-01 DOI: 10.1007/s10436-022-00414-x

Yumo Zhang

{"title":"Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate","authors":"Yumo Zhang","doi":"10.1007/s10436-022-00414-x","DOIUrl":"10.1007/s10436-022-00414-x","url":null,"abstract":"<div><p>This paper studies optimal portfolio selection problems in the presence of stochastic volatility and stochastic interest rate under the mean-variance criterion. The financial market consists of a risk-free asset (cash), a zero-coupon bond (roll-over bond), and a risky asset (stock). Specifically, we assume that the interest rate follows the Vasicek model, and the risky asset’s return rate not only depends on a Cox-Ingersoll-Ross (CIR) process but also has stochastic covariance with the interest rate, which embraces the family of the state-of-the-art 4/2 stochastic volatility models as an exceptional case. By adopting a backward stochastic differential equation (BSDE) approach and solving two related BSDEs, we derive, in closed form, the static optimal (time-inconsistent) strategy and optimal value function. Given the time inconsistency of the mean-variance criterion, a dynamic formulation of the problem is further investigated and the explicit expression for the dynamic optimal (time-consistent) strategy is derived. In addition, analytical solutions to some special cases of our model are provided. Finally, the impact of the model parameters on the efficient frontier and the behavior of the static and dynamic optimal asset allocations is illustrated with numerical examples.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 4","pages":"511 - 544"},"PeriodicalIF":1.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46088806","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

Some properties of portfolios constructed from principal components of asset returns 由资产回报的主要组成部分构建的投资组合的一些性质

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Annals of Finance Pub Date : 2022-07-30 DOI: 10.1007/s10436-022-00412-z

Thomas A. Severini

引用次数: 0