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Endogenous completeness of diffusion driven equilibrium markets
Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009
We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...
Persistent link: https://www.econbiz.de/10003971255
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Optimal dividend policies with random profitability
Reppen, Max; Rochet, Jean-Charles; Soner, Halil Mete - 2017
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy …
Persistent link: https://www.econbiz.de/10011870659
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Dynamical internal cost of capital driven by cash flow growth
Solo, David; Sornette, Didier; Ulmann, Florian Michael Till - 2021
Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure...
Persistent link: https://www.econbiz.de/10012487967
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Was wissen wir über die Höhe der Marktrisikoprämie bei Aktien? : Überlegungen zur Ermittlung sinnvoller Eigenkapitalkosten im Rahmen von Shareholder-Value-Konzepten
Albrecht, Thomas - In: Betriebswirtschaftliche Forschung und Praxis : BFuP 49 (1997) 5, pp. 567-579
Persistent link: https://www.econbiz.de/10001228729
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Optimal financing with tokens
Gryglewicz, Sebastian; Mayer, Simon; Morellec, Erwan - 2019
We develop a model in which a startup firm issues tokens to finance a digital platform, which creates agency conflicts between platform developers and outsiders. We show that token financing is generally preferred to equity financing, unless the platform expects strong cash flows or faces severe...
Persistent link: https://www.econbiz.de/10012179618
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Dividends: from refracting to ratcheting
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin - 2018
In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … the dividend rate can be increased and derive corresponding formulae for the resulting expected discounted dividend …
Persistent link: https://www.econbiz.de/10011899803
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Signalisierung und Dividendenpolitik : Theorie und Empirie
Basner, Reno; Hirth, Hans - In: Betriebswirtschaftliche Forschung und Praxis : BFuP 63 (2011) 1, pp. 76-100
Persistent link: https://www.econbiz.de/10008839701
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A simple model of the firm life cycle
Schenk-Hoppé, Klaus Reiner; Schweri, Urs - 2010
The optimal investment-dividend policy of a financially constrained firm whose earnings are subject to additive shocks …
Persistent link: https://www.econbiz.de/10008797762
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Portfolio selection with active risk monitoring
Paolella, Marc S.; Polak, Pawel - 2015
The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...
Persistent link: https://www.econbiz.de/10011410659
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974