Search Results - subject:"Asset pricing theory"

Liquidity premium and the Corwin-Schultz bid-ask spread estimate

Zhang, Xindong; Yang, Junxian; Su, Huimin; Zhang, Shun - In: China Finance Review International 4 (2014), pp. 168-186

Purpose– The purpose of this paper is to explore the price implication of a newly developed estimator of the bid-ask spread by Corwin and Schultz (2012). The paper focusses on whether the new measure as a liquidity proxy commands a significant premium. The research helps the understanding on...

Persistent link: https://www.econbiz.de/10010891202

Optimal hedging of variance derivatives

Crosby, John - In: The European journal of finance 20 (2014) 1/3, pp. 150-180

Persistent link: https://www.econbiz.de/10010462131

Liquidity premium and the Corwin-Schultz bid-ask spread estimate

Zhang, Xindong; Yang, Junxian; Su, Huimin; Zhang, Shun - In: China finance review international 4 (2014) 2, pp. 168-186

Persistent link: https://www.econbiz.de/10011337798

No Good Deals - No Bad Models

Nina, Boyarchenko; Mario, Cerrato; John, Crosby; … - Scottish Institute for Research in Economics (SIRE) - 2013

Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuations robust to model uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model uncertainty increases the investor's eff ective risk aversion. Using the...

Persistent link: https://www.econbiz.de/10010722654

Monopoly Power and the FirmÂ€Ù³ Valuation:

Basak, Suleyman; Pavlova, Anna - Sloan School of Management, Massachusetts Institute of … - 2004

Recent anti-trust cases exacerbated the concerns of investors regarding the effects of a firm's monopoly power on its production choice, shareholder value, and the overall economy. We address this issue within a dynamic equilibrium model featuring a large monopolistic firm whose actions not only...

Persistent link: https://www.econbiz.de/10005587390

MONOPOLY POWER AND THE FIRM'S VALUATION: A DYNAMIC ANALYSIS OF SHORT VERSUS LONG-TERM POLICIES

Basak, Suleyman; Pavlova, Anna - Sloan School of Management, Massachusetts Institute of … - 2003

This article develops a multi-period production model to examine the optimal dynamic behaviour of a large monopolistic value-maximizing firm that manipulates its valuation as well as the price of its output. In the pre-commitment equilibrium the firm's output and labour demand are decreased,...

Persistent link: https://www.econbiz.de/10005587417

The potential contributions of behavioral finance to Post Keynesian and institutionalist finance theories

Fung, Matthew V. - In: Journal of Post Keynesian Economics 33 (2011) 4, pp. 555-574

Keynesian and Institutionalist theories in other fields in finance, especially portfolio theory and asset pricing theory. …

Persistent link: https://www.econbiz.de/10009353100

The Experimental Study of Asset Pricing Theory

Bossaerts, Peter - In: Foundations and Trends(R) in Finance 3 (2009) 4, pp. 289-361

aversion, since asset pricing theory builds on risk aversion. The issue is — is there enough risk aversion in the laboratory … given typical levels of compensation? Asset pricing theory also builds on competitive markets and competitive equilibrium … aversion. Asset pricing theory rarely discusses how markets reach equilibrium, but experiments shed new light on price behavior …

Persistent link: https://www.econbiz.de/10010883377

Equity Valuation

Christensen, Peter O.; Feltham, Gerald A. - In: Foundations and Trends(R) in Accounting 4 (2009) 1, pp. 1-112

We review and critically examine the standard approach to equity valuation using a constant risk-adjusted cost of capital, and we develop a new valuation approach discounting risk-adjusted fundamentals, such as expected free cash flows and residual operating income, using nominal zero-coupon...

Persistent link: https://www.econbiz.de/10010693696

Valuation With Or Without Personal Income Taxes?

Richter, Frank - In: Schmalenbach Business Review (sbr) 56 (2004) 1, pp. 20-45

This paper reviews different schools of thought on the question of if and how personal taxes should be incorporated into the valuation of companies or projects. The paper shows under which conditions the risk-neutral valuation approach yields the same result as the Tax-CAPM. Special cases are...

Persistent link: https://www.econbiz.de/10005736893