Investment Timing and the Business Cycle (Frontiers in Finance Series)

leondumoulin.nl: Investment Timing and the Business Cycle (Frontiers in Finance Series): Jon Gregory Taylor.
Table of contents

We find that implied volatility contains more information than past realized volatility. In other words the predictability of implied volatility is more than that of past realized volatility. In fact, implied volatility remains significant even in the multiple regressions where historical volatility is included.

Thus, we find that it is an efficient albeit slightly biased estimator of realized return volatility. Individual bank characteristics explain a substantial part of the within-country variation in bank interest margins and net profitability. High net interest margin and profitability tend to be associated with banks that hold a relatively high amount of capital, and with large overheads.

Size is found to impact negatively on profitability which implies that Tunisian banks are operating above their optimum level. This reflects the complementarities between bank and stock market growth. We have found that the disintermediation of the Tunisian financial system is favourable to the banking sector profitability. On the ownership side, we reach the conclusion that private banks tend to perform better than state owned ones. Finally, interest rate liberalization has contrasting effect on net interest margins.

In fact, partial liberalization has a negative impact on the interest margin whereas complete liberalization strengthens the ability of Tunisian banks to generate profit margins. Unlike first-passage time approaches, excursion time models allow for a non-absorbing state of default. This corresponds, for instance, to a situation in which a firm is temporarily allowed to be short of funds, but enters default immediately when the financial distress becomes severe.

We also examine the effects of different default time specifications on bond prices and credit spreads. Credit risk, structural models, default boundary, first-passage time, excursion time. The Empirical Probability EP technique is proposed as an effective support tool to assist agents operating in a global fusion of financial markets. This technique facilitates the identification and prediction of primary, secondary and tertiary trends in addition to the recognition of trend reversals and the detection of changes in trend momentum.

In addition, trend characteristics of the data are used to develop a trading system that not only provides buy and sell indicators but also supplies directional probabilities associated with the signalled actions. A multinational firm operating under various tax regimes can minimize the total after-tax cost of its debt by allocating it optimally between its projects.

To value a marginal project in this context, we build a multi-period model for the selection of projects, assuming that the firm maintains a target debt ratio on a firm-wide basis. This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a multivariate distribution that can be different from the conditional normal one.

Moreover, we consider marginal functions able to model higher moments than the second, as in the normal. This enables us to better understand why VaR estimates are too aggressive or too conservative. We use the initial part of the sample to estimate the models, and the the remaining part to compare the out-of-sample performances of the different approaches, using various back-testing techniques. The complexity involved in the pricing of American style basket options requires careful consideration of both computational efficiency and accuracy. The conventional assumption of lognormal distribution for the value of a basket is the key for the trade-off.

This paper examines the mispricing errors of Bermudan basket options based on the assumption. Basket option , Bermudan option, mispricing , lognormal, simulation. A Risk Management Strategy. Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: We discuss the choice of the best method with respect to the policy management of bank supervisors.

The copula approach seems to be a good compromise between all these models. It permits taking financial crises into account and obtaining a low capital requirement during the most important crises. A Note on Stakeholder Theory and Risk: According to Zingales , corporate governance is defined as the complex set of constraints that shape the ex-post bargaining over the quasi-rents generated by a firm. This paper argues that corporate cash holdings and dividend policy can be used as soft constraints in this regard in order to mitigate the holdup situation of corporate stakeholders and to enhance incentives for firm-specific investments in the face of high total firm risk.

Hence stakeholder theory contributes to answering the question why firms choose conservative financial policies. The Peso crisis is examined by using the exchange market pressure model EMP over the period Different estimators are used to obtain robust results. Sensitivity tests of the EMP to its composition between changes in exchange rate and foreign reserves, confirms that the Mexican economy absorbs the EMP through the loss of foreign reserves instead of the depreciation of the peso. This suggests that a fixed exchange rate regime is optimal for Mexico, and that timely external loans assistance from international institutions could have avoided the crisis.

The later explains why Mexico recovered swiftly from the peso crisis after receiving external assistance. The purpose of this article is to provide an overview of corporate treasury management, understood as the application of cash management. The decision-making actions of treasury department heads are analysed and have been confirmed by empirical evidence. This article seeks to contribute to the ongoing debate in financial literature by analysing the extent to which the size of companies, the sectors in which they operate and the training of financial decision-makers influence treasury management.

In this way, companies seek maximise results obtained by the treasury department and, therefore, maximise the value of the firm. The results confirm the idea that there is a culture of cash management and that whether or not new treasury management techniques are used depends more on the initiative of the treasury manager than on the size of the corporation, the sector to which it belongs or the training of the decision-maker. Counterfactual conditionals are cognitive tools that we incessantly use during our lives for judgments, evaluations, decisions.

Counterfactuals are used for defining concepts as well; an instance of this is attested by the notions of opportunity cost and excess profit residual income , two all-pervasive notions of economics: They are defined by undoing a given scenario and constructing a suitable counterfactual milieu.

A brief discussion of the results obtained is also provided. In this paper we explore the optimal policy reaction to an asset price boom.

Empirical evidence shows that the monetary policy stance is typically loose during asset price booms. Agents incorporate the macroeconomic consequences of a looming asset price bust in their expectations. The expectation-induced deviations of output and inflation from their targets enforce a monetary loosening before the bust occurs. Furthermore, we argue that a policy of benign neglect towards asset price movements, as often advanced by monetary practitioners, is generally not optimal in welfare terms. We investigate the shape of the term structure reaction of the US swap rates to announcements using several linear and non-linear time series models.

We document the non-linearity of the market reaction to macroeconomic news. First, we find that the introduction of non linear models leads to the finding of a significant number of macroeconomic figures that actually produce an effect over the yield curve. Second, we noticed at least four types of patterns in the term structure reaction of interest rates across maturities, including the humpshaped one that is generally considered.

Third, we propose a first interpretation and classification of these different shapes. Fourth we find that the existence of outliers in interest rates leads to an underestimation of the reaction of interest rates to announcements, explaining the different results obtained between high-frequency and daily datasets. Using a unique dataset of private equity firms PEFs , this paper analyses the investment behaviour of private equity fund managers. This paper uses a multi-country sample of PEFs to compare the approaches to investee valuation, contractual agreements and financial tools in Europe.

Univariate analyses describe practices of PEFs and multivariate analyses identify groups of homogeneous countries i. The comparison of these groups with traditional classifications based on legal regimes does not perform very well. This result can illustrate either the limits of the classification of countries based on legal regimes or the increasing integration of the most developed European countries that makes practices of financial actors converge across European countries.

We assume that utility is derived from the flow of services derived from real money holdings and that money is held by firms to facilitate production. We show that the level of equilibrium depends on the rate of discount. We give conditions to guarantee uniqueness of the equilibrium. Therefore, the initial amount of the monetary emission issued by the central bank becomes essential for the long run economic equilibrium properties. The deregulation of the Swedish electricity market in affected both the market design and the pricing of electricity.

Since , the electricity price faced by consumers has increased dramatically. Due to the high electricity price and large company profits, a debate about the success of the deregulation has emerged. The theoretical framework is an equivalent variation method and the analysis is performed using monthly data for the period January to January The results indicate that deregulation has kept the power price excluding taxes down and increased consumer welfare in Sweden. Electricity Traffic over the Barriers of Networks: The Case of Germany and The Netherlands.

Since the electricity market was liberalized at the end of the last century, the authorities no longer fix prices, and there is now a variable price determined by the market. Every system has its own price-forming process. However, these systems are not completely isolated. It is possible to have a restricted measure of electricity traffic between the systems. This article describes a value-creating trade strategy on the basis of the prices of electricity in The Netherlands and Germany, making use of the restricted electricity traffic between the two countries, providing empirical evidence on exploitable pricing inefficiencies in the electricity markets and potential trading strategies based thereupon.

This research has not been conducted before and will provide a better understanding of the interaction between separate electricity markets. In , the European Commission decided to deregulate the national electricity sector with the objective of creating a single energy market. Using the theory of economic dominance developed by R. Value-at-Risk VaR has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule SRR.

We show that the SRR is theoretically incorrect and propose a correct measure. The error from employing the SRR is positive for short horizons, inducing an overestimation of the true VaR, and negative for longer horizons, inducing underestimation of the true VaR. This error is relatively small for conservative portfolios and for short horizons.

However, for risky portfolios and for long horizons — where accurate VaR is most important — the underestimation error is both substantial and systematic. Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment FDI decision. Our study assesses country risk by state-dependent preferences and introduces futures contracts as a tool of risk mitigation. We show that foreign direct investment related country risk assessments do not matter if the multinational firm enters currency futures markets.

Besides currency risk multinationals cross-hedge country risk via the derivatives market. We compare two different approaches to assess country default risk by evaluating their forecast accuracy. In particular we analyze whether market based or rating based risk assessment is superior. This paper investigates outsourcing and foreign direct investment FDI decisions based on factor price differentials in North-South trade when the production is fragmented into two independent processes.

It is shown that a when the Southern firm does not have the Northern firm-specific technology for a fragmentable process and capital is imperfectly perfectly mobile between countries, the Northern firm produces the final product by outsourcing the other fragmentable process from the South via FDI either FDI or outsourcing to a Southern outsourcee ; b when the Southern firm acquires the Northern firm-specific technology for the fragmentable process and capital is imperfectly perfectly mobile, only the Northern firm produces the final product by outsourcing the other process via FDI and drives out the Southern firm from the world market both the Northern and Southern firms produce the final product ; c in all the cases, outsourcing is unidirectional from the North to the South.

It is often1argued that financial liberalization and large external borrowing by the private sector bode ill for sovereign creditworthiness. This paper uses various un conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets un differentiated by cross-listing status and market capitalization. Based on the population of stocks listed on the Toronto Stock Exchange TSX for , the study finds that the minimum portfolio size depends upon the chosen investment opportunity set, the metric s used to measure the benefits of diversification, and the criterion chosen to determine when the portfolio is sufficiently well diversified.

New Evidence from a Small Market. This paper investigates the disposition effect on the Portuguese stock market, on the basis of a unique database that consists of trading records of individual investors. We found strong evidence of the disposition effect, studied on the basis of trades, volume and value traded.

This preference for realizing gains to losses was observed every month of the year and globally for all individual investors. Even at the end of the fiscal year, the disposition effect still holds, as opposed to the evidence found in other markets. We also studied the disposition effect related to market tendency. By dividing the data period into a bull and a bear period, we found evidence of disposition effect for both periods, but with differences in terms of its intensity. In the bull market period, the disposition effect is even more evident than in the bear market.

JEL classification

We believe these results can be explained with behavioral reasons. We divided investors on the basis of the trading frequency, volume of transactions and portfolio value and found evidence that investors in the higher percentiles are less prone to the disposition effect than the ones in the lower percentiles, even though both exhibit evidence of this effect. We investigate the ability of company capital structures to be used as a predictor for abnormal returns. We carry out robustness tests to determine the predictive ability of debt ratios, controlling for size of company, price-toearnings PE ratio, market-to-book value ratio MTBV and beta.

Fama and French investigated the superiority of value-glamour strategy in 13 developed markets as well as in 16 emerging markets. They confirmed the value premium in 12 out of 13 developed markets. However, they hesitated to give a reliable conclusion concerning the emerging market returns for two reasons. First, they used a short time period sample, nine years.

Second, they argued that such emerging market returns suffer from high volatility. This paper aims to investigate the value premium using data from Amman Stock Exchange during the period In particular, this study seeks to examine the validity of value-glamour strategy using book-to-market equity and explore the effect of stock volatility on portfolio returns. This contribution to the extant literature is significant since it introduces stock volatility as a potential explanation of value premium. The study provides evidence suggesting that the value-glamour strategy does not work in Amman Stock Exchange.

In addition, the study shall provide evidence showing that the underperformance of value-glamour strategy in Amman Stock Exchange is mainly related to stock volatility. Contrarian strategies, book-to-market, behavioral finance, stock volatility, emerging market returns. This paper presents evidence of a significant positive relationship between the ratios of life insurance premiums quoted to smokers relative to the premiums quoted to non-smokers, and the financial strength of the insurance company.

This suggests that life insurers reveal increasing relative risk aversion. This paper focuses on the use of equity market information for the monitoring of European banks. To this end, we conduct two event studies: Results show that equity market returns help to anticipate, several quarters in advance, a balance-sheet-based evaluation. RAs have an additional role especially effective in summarising positive information. However, RAs are shown to take time to downgrade banks.


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Qualitative Criteria for Credit Risk Assessment forthcoming paper. The existing vast literature on credit risk assessment and default prediction provides models building mostly in quantitative indicators. We present the results of a survey carried out of experts from the main banks in Portugal, conveying evidence on the dominant procedures undertaken by the Portuguese banking system.

Within this context the paper reflects on the role of multi-criteria decision analysis MCDA models as a way to process credit risk assessment integrating qualitative and quantitative aspects. Models for the unobserved external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. The models help reveal the factors that are important for external bank support.

Real Interest Rate and Growth Rate: Theory and Empirical Evidence forthcoming paper. This study presents an assessment of the links between the real interest rate and the growth rate. In the first part of the paper we recall the theoretical foundations of these links. In the second part, we compare empirical data with the predictions of the theory. The real interest rate should exceed the growth rate in the long run. This hierarchy has important consequences on the public finances. The Solow-Ramsey-Cass model fits better to the data than the endogenous growth theory.

Furthermore, the Sixties and Seventies have been a time of transitory dynamics with real interest rates lower than the growth rates. We study the relative positions of M1 and M2 in light of their relationships with four U. It is demonstrated that a long-term equilibrium relationship does indeed exist. Short-run dynamics are also considered and are found to be temporary departures from the long-run equilibrium. Based on a model, which yields robust estimated results and is thus considered well behaved, the direction of causality is established.

The model is then put further to test to check the predictive power of the M1 and M2 money aggregates. Based on a set of in- and out-of-sample forecast experiments, the results overwhelmingly indicate that M2 is a better predictive measure and hence a superior indicator than M1. This paper extends the evolution equation of Patton for the time variation of the copula parameters by specifying an autoregressive fractionally integrated term.

For any copula parameter there is a suitable one-to-one transformation so that the maximum likelihood estimation method may be employed. It is suggested an exploratory tool based on the copula data cross-products for detecting the presence of long range dependence on the copula level of real data. We simulate from copula models possessing long range dependence and work out two examples using real data. Modeling long range dependence on the level of dynamic copulas has the potential for providing improved forecasts and are useful for financial and economic applications.

Since the introduction of Basel II, it has been argued that the use of internal credit risk models in banks may strengthen the procyclicality of the financial system. This problem could be alleviated by using through-the-cycle TTC ratings. A TTC rating ignores cyclical fluctuations of credit risk. The evidence is mostly negative. The distance-to-default of a typical company seems to follow a unit root process.

In most cases company level credit risk does not follow cycles with a predictable regularity, and companies that suffered most from the previous downturn may not benefit particularly strongly from the following upturn. Due to continuous entry and exit of firms, average credit risk can be stationary even if the distance-to-default of each individual company is a unit root process. We estimate a probit model of insolvency risk, using a dataset of about Dutch insurance companies during the period The results suggest that surplus capital, company size, profitability, long-tailed business and being a mutual insurer reduce the risk of insolvency.

The model can be used to identify insurers with high insolvency risk one year ahead. It is shown that the choice of the threshold above which an insurer is classified as having high insolvency risk, is an important determinant of the relative occurrence of type I and type II prediction errors. Using a sample of French non-financial listed firms, we show that firms which use derivatives enjoy high levels of forecast accuracy relative to firms that do not.

This result is in accord with the arguments developed by DeMarzo and Duffie and Breeden and Vishwanathan suggesting that hedging is an important means of reducing information asymmetry. This paper presents a theoretical framework for valuation, investment decisions, and performance measurement based on a nonstandard theory of residual income. Its theoretical strength and meaningfulness is shown by deriving it from four main perspectives: Implications for asset valuation, capital budgeting and performance measurement are investigated.

Two metrics are also presented: The results obtained suggest that this theory might prove useful for real-life applications in firm valuation, capital budgeting decisions, ex post performance measurement, incentive compensation. Residual income, valuation, capital budgeting, performance measurement, lost capital, accounting rate, average, Economic Value Added. This paper reinvestigates the role of inter-trade time in price discovery. My results indicate that the price impact is negatively related to inter-trade time without model selection bias.

Additionally, I find that the inter-trade time effect reveals an inverse U-shaped intraday pattern. This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. The out-of-sample evaluation is based on a novel difference-in-proportions test that exploits the frequency of individual VaR re- jections and a block-bootstrap unconditional coverage test that is robust to estimation uncertainty and model risk.

We find that the overnight surprise does not improve the out-of-sample forecastability of the next-day VaR but there is evidence that intraday jumps have forecasting potential. The techniques are illustrated for a small portfolio of large-cap stocks. In we witnessed a major European sovereign debt crisis. Through the use of a Vector Autoregressive model and a panel data model we find that the stock market plays a leading role during the sample period, but when is isolated a change in this relationship appears: This phenomenon is most significant in countries with high risk spread.

An Application of Higher Moments. This study aims to investigate and provide further insight into the dynamics of higher moments in the estimation of optimal hedge ratios during the recent credit crisis period by applying the Gram-Charlier expansion series. Furthermore, it compares the performance of the proposed model with conventional hedge ratio methodologies such as: Overall, the results indicate that the application of the proposed model increases the performance of the hedges in terms of in- and out-of-sample variance reduction. Optimal hedge ratios; conditional volatility; skewness and kurtosis; higher moments; equity indices.

This study investigates the use of derivative instruments by banks in both emerging and recently developed countries in terms of capital market risk. Overall, the results indicate that the use of options increases total return risk and unsystematic risk, while the use of forwards and futures decreases total return risk. Swaps, in the meantime, negatively affect systematic risk. The main conclusion is that banks in the sample do not appear to be at risk by using derivative instruments.

Financial Aspects in Energy: Evidently, earlier in history it was. What are the prospects for the European Union today, when it 1 imports more than 50 percent of the energy that it consumes, 2 lacks secure sources of energy, and 3 must grapple with the impact of energy consumption on the environment? Despite the uncertainty shrouding any answer, today one may argue that the European Union has some advantages over many countries around the world in that. From a finance perspective, on energy matters where does the EU stand today?

There are three key findings: First, we confirm earlier studies which show a negative relation. Further we show that it is the month to month changes in idiosyncratic volatility that produce this observed relation.

Investment Timing and the Business Cycle

More specifically, a portfolio of stocks that move from a lower higher idiosyncratic volatility quintile to higher lower one earns positive negative abnormal returns. Eliminating all firm-month observations with idiosyncratic volatility quintile changes, we find a positive relation. Second, we link our findings with corporate related events. Third, we find that after , the idiosyncratic volatility effect disappears. Idiosyncratic volatility; stock abnormal returns; change in idiosyncratic volatility.

In this article, we demonstrate that standard and effective durations for bonds without embedded options are not equal. The two measures are nearly always different. The difference can be large enough to be of consequence in some applications. Additionally, we show that the only consistent measure of duration, one that aggregates correctly when yield curves are not flat, is effective duration.

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In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of We employ a wide range of methodologies, namely, the popular Andrews statistic and the Bai subsample procedure in conjunction with the Hansen heteroskedastic fixed-regressor bootstrap. We find strong evidence of at least two structural breaks in 22 of 23 bivariate predictive regression models. We also obtain evidence of structural instability in the multivariate predictive regression models of equity premium.

Our results also show that the predictive ability of the 23 variables can vary widely across different regimes. This paper studies the effectiveness of lifetime employment as a strategic commitment in a three-stage Cournotmodelwith twoidentical labour-managed income-per-worker-maximizing firms. In the first stage, one labour-managed firm is allowed to offer lifetime employment.

In the second stage, the other labour-managed firm is allowed to offer lifetime employment. In the third stage, both firms simultaneously and independently chooseand sell actual outputs. The paper then finds that the introduction of lifetime employment into the analysis of the quantity-setting labour-managed duopoly model is profitable for bothfirms. Create a free website or blog at WordPress. Frontiers in Finance and Economics. C61, G2, G11 Keywords: A Proof Edward E. Ghartey The paper proves that the domestic or national value of foreign exchange earnings from holding foreign assets bonds and bank deposits accounts follows a martingale process.

Staikouras This study makes use of a panel data framework to identify the economic signals that shape the debt repayment behaviour of the South American region. F34, G15, G21 Keywords: Strategic Conduct And Access Discrimination, In The Semi-Liberalized Electricity Sector In Mexico Alejandro Ibarra-Yunez Regulatory reform in the energy, and specifically the electricity sector, has ranged from full unbundling, liberalization, and privatization, to partial deregulation and liberalization, with little or no unbundling and non-privatization.

L12, L13, L94 Keywords: Duopoly, incumbent parastatals, electricity generation. Persistence, contingency tables, regressions, investment funds. Beer, Genevieve Nouyrigat This paper offers a comprehensive view of four time properties that emerge from the empirical time series literature on asset returns. C12, C23, D81, G12 Keywords: C3, D31, D63, G Payne Using several panel data estimation procedures, this study examines the impact of savings, foreign aid, the degree of capital mobility over time, and openness to international trade upon investment rates for a sample of 74 less developed countries over the time period to Prakash, Suchismita Mishra, Dipasri Ghosh Research into the efficiency of capital market has been an ongoing process, and it has given rise to two very widely-used techniques in corporate finance.

Derek Braddon, Jonathan Bradley This paper presents the findings of research into the distribution of the rewards from capital used in defence production. Option Pricing with Long-Short Spreads Pengguo Wang This paper addresses no-arbitrage pricing of options in a market with long-short spreads. Barnet, Chang Ho Kwag We incorporate aggregation and index number theory into monetary models of exchange rate determination in a manner that is internally consistent with money market equilibrium.

Wiley-VCH - Investment Timing and the Business Cycle

Crisis Anticipation at a Micro-Level: Mexico Karen Watkins The following study is concerned with the anticipation of the Mexican crisis. Gershgoren, Shmuel Hauser Most studies on monetary policy of central banks in many countries have focused primarily on price stability in the long-run.

E44, G14 The long-run performance of UK rights issuers Abdullah Iqbal, Susanne Espenlaub, Norman Strong The long-run performance of UK rights issues during —95 shows that issuers outperform the market and non-issuing peers in the pre-issue period and underperform in the post-issue period. Girijasankar Mallik In recent years the world economy has become closely integrated due to increasing trade and financial capital flows across countries. Asian crisis, cointegration, unit root. A Note Udo Broll, Stefan Schubert Using a risk management framework, a model is presented in which currency futures markets for a less common currency, in which exports are invoiced, does not exist.

Evidence from Australian Equity Returns Md. Arifur Rahman This paper presents research into the information content of firm-level and industry-level cross-sectional volatility CSV of daily equity returns for future market-level volatility in Australia. Tooma This nonparametric policy-shift event study examines the relationship between symmetric price limit mechanisms and stock market volatility. An abstract of the present development of the European Internal Market Dr. Wolfgang Berger — DDr. Marian Wakounig — Mag. H20, H30, and H50 Keywords: Kaliva — Radu Tunaru In this paper we examine the effects of consumption and financial taxes on economic growth in Greece, Spain and Portugal, testing some theoretical predictions and assumptions derived from the neo-classical and endogenous growth mechanisms.

Kaliva — Radu Tunaru In this paper the causal relationship between indirect tax revenues and expenditures is examined for Greece, Spain and Portugal using cointegration and error correction methodology. Wahl This paper analyzes hedging behavior of a risk averse management in the presence of corporate taxation. F21, F31, H20 Keywords: Corporate taxation, effective taxation. A Real Options Approach Chung Baek, Brice Dupoyet, Arun Prakash Abstract This study attempts to estimate the fundamental capital value of a growing firm by combining two separate capital valuation techniques, namely the corporate debt valuation of Merton and the rational pricing technique of internet companies of Schwartz and Moon Malhotra Abstract Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts.


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C15, C63, G12, G G31, G32, C61 Dynamic Copula Modelling for Value at Risk Dean Fantazzini Abstract This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. G11, G12, G32 Computational Efficiency and Accuracy in the Valuation of Basket Option s Pengguo Wang Abstract The complexity involved in the pricing of American style basket options requires careful consideration of both computational efficiency and accuracy.

Basket option , Bermudan option, mispricing , lognormal, simulation JEL classification: C15, C32, C52, G Implications for Corporate Cash Holdings and Dividend Policy Gerhard Speckbacher , Paul Wentges Abstract According to Zingales , corporate governance is defined as the complex set of constraints that shape the ex-post bargaining over the quasi-rents generated by a firm. The Mid s Peso Crisis in Mexico: Mexico, exchange market pressure and peso crisis. C22, C32, E44, E65 and F Evidence From Spain Txomin Iturralde , Amaia Maseda , Leire San-Jose Abstract The purpose of this article is to provide an overview of corporate treasury management, understood as the application of cash management.

G31, G32 Opportunity Cost, Excess Profit, and Counterfactual Conditionals Carlo Alberto Magni Abstract Counterfactual conditionals are cognitive tools that we incessantly use during our lives for judgments, evaluations, decisions. Opportunity cost, excess profit, residual income, counterfactual, modelling JEL classification: Consumer Welfare in the Deregulated Swedish Electricity Market Jens Lundgren Abstract The deregulation of the Swedish electricity market in affected both the market design and the pricing of electricity.

Equivalent variation, Consumer welfare, Power market. Electricity industry, mergers, graph theory JEL classification: Wahl, Udo Broll Abstract Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment FDI decision. Investment professionals know that the best investment decision-making is intimately tied to the business cycles.

Yet, there continues to be a dearth of information on how to use this major indicator as a tool for timing investments. Written by an expert in investment timing, this book provides investment professionals with a solid framework for assessing returns at different stages of the business cycle. Until now, market timing as it applies to successful investment decision-making has been an elusive, at times vague instrument.

This book provides a clear, relevant model for using the business cycle as a tool for timing investments. At last, here is a clear framework for assessing returns at different stages of the business cycle, and for determining the timing relevance as it relates to stocks, bonds, mutual funds, other specific investments and general asset allocation. A solid and dynamic approach. KGaA - Provider - www. Short Description Investment professionals know that the best investment decision-making is intimately tied to the business cycles.

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