已实现夏普比率与企业收益分配的不确定性(从莫迪利亚尼·米勒开始)

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2013-05-01 DOI:10.2139/ssrn.1079662

William A. Barr

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引用次数: 0

摘要

股票和信贷是公司资产的期权。作为期权，股权和信贷的实际回报是两种不同价值来源的函数;1)企业资产预期收益，2)期权隐含价格与随后实现的企业资产波动率之差。股票和信贷受制于期权价值套利定价，因此对于随机企业资产波动，股票和信贷没有补偿收益。相对于有资本结构期权敞口的投资，消除资本结构期权敞口的投资组合构建将增加已实现的风险调整收益。

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The Realized Sharpe Ratio and Uncertainty of Firm Earnings Distribution (Starting with Modigliani Miller)

Equity and credit are options on firm assets. As options, actual returns to equity and credit are functions of two distinct sources of value; 1) expected firm asset returns and 2) the difference between option price implied and subsequent realized firm asset volatility. Equity and credit are subject to option value arbitrage pricing and therefore no compensating returns accrue to equity and credit for stochastic firm asset volatility. Portfolio construction that eliminates the capital structure option exposure will increase realized risk adjusted returns relative to investments with capital structure option exposure.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets