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The choice of valuation techniques in practice : education versus profession

Mukhlynina, Lilia; Nyborg, Kjell G. - 2016

practice. The survey design allows us to control for a respondent's professional subgroup (e.g., consulting), education … than education; different professions have different valuation cultures. Other factors are less important. There are also … capital allocation process. The relative unimportance of education raises questions about the role and benefit of higher level …

Persistent link: https://www.econbiz.de/10011518764

Homogeneous volatility bridge estimators

Saičev, Aleksandr I.; Sornette, Didier; Filimonov, Vladimir - 2009

We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...

Persistent link: https://www.econbiz.de/10003971317

An option to cheat : an application of option theory to realize flipping in underpricing

Stojkovic, Jovan - 2013

The paper proposes a novel direction to rationalize and quantify investors' flipping behavior and its effect on underpricing in IPOs through the use of a structural approach mode. The outcome is a proxy value that replicates investors' flipping behavior. When tested empirically, the model...

Persistent link: https://www.econbiz.de/10010258983

Strategic complementarity and substitutability of investment strategies

Doskov, Nikolay; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2022

Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as size, value, momentum, quality, dividend yield and other stock characteristics. This paper explores the impact of capital flows between investment strategies on the cross-section...

Persistent link: https://www.econbiz.de/10012800936

Polynomial processes for power prices

Filipović, Damir; Larsson, Martin; Ware, Tony - 2018

Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree n) of the current state. Here we explore the application of polynomial processes in the...

Persistent link: https://www.econbiz.de/10011899816

Discriminatory pricing of over-the-counter derivatives

Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2017

For the first time, new regulatory data allow precise measurement of price discrimination against non-financial clients in the FX derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays...

Persistent link: https://www.econbiz.de/10011875673

The geography of mortgage lending in times of FinTech

Basten, Christoph; Ongena, Steven - 2019

How do banks offer mortgages through on online platform to areas without their branch presence? Unique data on responses from different banks to applicant households yield three salient findings: First, banks offer 4% more often and 6 basis points cheaper credit when markets have high versus low...

Persistent link: https://www.econbiz.de/10012052445

The global impact of COVID-19 on fintech adoption

Fu, Jonathan; Mishra, Mrinal - 2020 - This version: April 22, 2020

We document the effects of the COVID-19 pandemic on digital finance and fintech adoption and usage. Drawing on mobile application data from 71 countries, we estimate that the spread of COVID-19 and related government lockdowns led to between a 33.1 and 36.6 percent increase in the relative rate...

Persistent link: https://www.econbiz.de/10012219350

Financial technology and the inequality gap

Mihet, Roxana - 2020

Information-based models of capital income inequality that link return heterogeneity to investor sophistication levels need to assume an increase in data costs to generate an increase in inequality. Empirically, this assumption contradicts the fact that investment markets have become more...

Persistent link: https://www.econbiz.de/10012421457

Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...

Persistent link: https://www.econbiz.de/10011410718

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