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A General Theory of Stock Market Valuation and Return

Faugere, Christophe; Erlach, Julian Van - EconWPA - 2003

We show that the long-term total market and average investor’s compounded stock returns are determined by GDP growth and are much less than believed because of the infeasible assumption that dividends can be fully reinvested. The long-term stock return closely approximates the return on...

Persistent link: https://www.econbiz.de/10005413150

What is hidden in the Fed's model? The second approximation

Baryshevsky, Dmitry - EconWPA - 2003

There are a lot of approaches for estimation of the equity market attractiveness. Fed's model has received a wide prevalence. However this model has a number of essential restrictions. In particular the Fed's model uses current earnings yield, which is based on analysts’ estimates of earnings...

Persistent link: https://www.econbiz.de/10005561649

A General Theory of Stock Market Valuation and Return

Faugere, Christophe; Erlach, Julian Van - EconWPA - 2004

We show that the long-term total market and average investor's compounded stock returns are determined by GDP growth and are much less than believed because of the infeasible assumption that dividends can be fully reinvested. The long-term stock return closely approximates the return on...

Persistent link: https://www.econbiz.de/10005134895

Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes

Raviv, Alon - EconWPA - 2004

Several studies have recommended reliance on subordinated debt as a tool for monitoring banks by investors and for enhancing depositors’ protection. However, subordinated debenture increases the level of leverage and thus the probability of costly failure. We propose a novel financial...

Persistent link: https://www.econbiz.de/10005413031

Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market

Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002

We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is approximated by four indirect measures: issued amount, age, number...

Persistent link: https://www.econbiz.de/10005413035

International Diversification Benefits in ASEAN Stock Markets: a Revisit

Lim, Kian-Ping; Lee, Hock-Ann; Liew, Venus Khim-Sen - EconWPA - 2003

and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data … using a more robust test. Specifically, the Bierens’s (1997) non- parametric cointegration test is selected in views of its … potential superiority over standard linear Johansen and Juselius (1990) method at detecting cointegration when the data …

Persistent link: https://www.econbiz.de/10005413036

Tradable Schemes

Hoogland, Jiri; Neumann, Dimitri - EconWPA - 2001

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite difference scheme to exact solutions of the pricing PDE. This...

Persistent link: https://www.econbiz.de/10005413042

Innovation and Market Value

Hall, Bronwyn H. - EconWPA - 1999

This paper surveys recent findings about how the financial markets value the knowledge assets of publicly traded firms. The motivation for using market value equation to price knowledge assets is discusssed and the theory behind this equation is briefly presented. Then the empirical literature...

Persistent link: https://www.econbiz.de/10005413048

Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities

Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004

In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...

Persistent link: https://www.econbiz.de/10005413049

Consensus consumer and intertemporal asset pricing with heterogeneous beliefs

Jouini, Elyès; Napp, Clotilde - EconWPA - 2003

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus belief, as well as a consensus consumer, are shown to be valid modulo a finite variation aggregation bias, which takes the form of...

Persistent link: https://www.econbiz.de/10005413051