In the dual model, the surplus of a company is a Levy process with sample paths that are skip-free downwards. In this paper, the aggregate gains process is the sum of a shifted compound Poisson process and an independent Wiener process. By means of Laplace transforms, it is shown how the...

We examine whether governance matters for acquisitions. Acquisitions are frequently beneficial to the CEO of the acquiring firm, but can often be value-destructive to acquirer shareholders and other stakeholders such as employees. We find that corporate governance does not appear to influence...

The valuation of multi-staged pharmaceutical R&D can be interpreted as a chain of real options. In valuing these compound option models, a crucial problem is how to deal with the different types of risk. Previous models, such as Cassimon et al. (2004), offer a closed-form solution for the...

This research investigated Social impact investment (SII), which aims to generate and actively measure social and financial returns. There are several promising SII models—including housing supply bonds, property funds, funding social enterprises, social impact bonds and social impact loans....

Today’s human-race lives in world of business-mentality where services are carried-out n a competitive manner. It has resulted technology-driven lifestyles. Meeting these advancement-needs in multi-faucets, maintaining customer-loyalty has become a strategic mandate in today's service-markets....

We discuss how Contingent Payment Mechanisms (also known as Contingent Earn-Outs) enable of Entrepreneurial Financing decisions. First, we introduce a taxonomy of contingent payment mechanisms, by combining features regarding their term and amount. Second, we introduce each of these alternative...

We develop an analytical framework that divides the contribution of pension risk to the total systematic risk of the firm into two parts: (1) the risk due to the investment strategy of the pension plan (“Mismatch Risk”); and (2) the risk due to the funded status of the pension plan...

Polish Abstract: Koncepcja inteligentnej bety (ang. smart beta) odzwierciedla ewolucję procesu zarządzania aktywami, jaka dokonała się w ślad za ostatnimi kryzysami ekonomicznymi – na czele z globalnym kryzysem finansowym lat 2007-2008. Odnoszenie wyników inwestycyjnych do tradycyjnych...

I study the impact of Lehman Brothers' bankruptcy and resultant inability to honor its obligations as a lender under committed credit lines. Firms that lost access to a credit line committed by Lehman Brothers experienced abnormal stock returns of -3%, on average, on the day of and day after...

We provide a formal and rigorous justification for the Kaplan and Schoar (2005) public market equivalent (“PME”) measure of historical performance of private equity (“PE”) funds. The PME provides a valid economic performance measure when the investor (“LP”) has log-utility...