Arbeitsbericht Nr. 14 aus der Reihe "Computergestütztes Controlling"

Seit Ende der 70er Jahre wurde mit dem Realoptionsansatz ein Instrument zur Beurteilung der Vorteilhaftigkeit von Investitionen entwickelt, der es - im Gegensatz zum net present value Ansatz - erlaubt, die sich aus einem Investitionsprojekt ergebenden zukünftigen Handlungsmöglichkeiten...

Der Begriff Realoptionen umfasst jene Investitionsrechnungsverfahren, die Handlungsoptionen mithilfe finanzmathematischer Methoden aus der Optionstheorie quantitativ bewerten. Aus der Sicht von Softwareinvestitionen sind aufgrund der Rahmenbedingungen, Flexibilität spielt hierbei eine wichtige...

This thesis examines risk factors in the UK Stock Market. This objective is achievedby testing the validity of the Capital Asset Pricing Model (CAPM) and the ArbitragePricing Theory (APT). The models were tested using data for the period between 1972to 1993.Test of the CAPM was conducted by...

Investment on stock needs analyisis about valuation of stocks to calculate the intrinsic value of each stocks based on the its fundamental data. The aim of this research is to calculate the intrinsic stock prices of the two company which included in financial sectors and to see whether the...

This project applies the methods of functional data analysis (FDA) to intra-daily returns of US corporations. It focuses on an extension of the Capital Asset Pricing Model (CAPM) to such returns. The CAPM is essentially a linear regression with the slope coefficient . Returns of an asset are...

By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary,...

Since the study by Fama & French (1992) there has been an academic debate aboutthe usefulness of the Capital Asset Pricing Model (CAPM). Some researchersbelieve that the CAPM should be abandoned for a new model, like the dual betamodel, which provides a better explanation of share returns than...

This study seeks to disentangle the effects of size, book-to-market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book-to-market. Three key findings...