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Effect of IMF Structural Adjustment Programson Expectations; The Case of Transition Economies
Imam, Patrick A. - International Monetary Fund (IMF) - 2007
We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...
Persistent link: https://www.econbiz.de/10005768769
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Subordinated Levy Processes and Applications to Crude Oil Options
Krichene, Noureddine - International Monetary Fund (IMF) - 2005
One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...
Persistent link: https://www.econbiz.de/10005605320
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A jump-diffusion Libor model and its robust calibration
Belomestny, Denis; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (Rm) and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply structured Lévy densities, and penalizes...
Persistent link: https://www.econbiz.de/10005489951
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Modelos econometricos de valoracion de la tierra de uso agricola. Una aplicacion al Estado espanol
Caballer Mellado, Vincente; Guadalajara Olmeda, Natividad - In: Revista Española de Estudios Agrosociales y Pesqueros (2005) 205
valuation and their application to the determination of the farmland market value in Spain, using a multivariate static model …
Persistent link: https://www.econbiz.de/10010921638
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Valuing Risky Projects: Option Pricing Theory and Decision Analysis
Smith, James E.; Nau, Robert F. - In: Management Science 41 (1995) 5, pp. 795-816
In the academic literature and professional practice, there are a number of alternative and apparently competing methods for valuing risky projects. In this paper, we compare and contrast three different approaches: risk-adjusted discount-rate analysis, option pricing analysis, and decision...
Persistent link: https://www.econbiz.de/10009191445
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CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn … Present Value and the disequilibrium Net Future Value may be used for valuation, given that they are additive. However …
Persistent link: https://www.econbiz.de/10005055505
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Unbiased Estimation of Expected Return Using CAPM
Bartholdy, Jan; Peare, Paula - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002
Persistent link: https://www.econbiz.de/10005802147
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The Changing Nature Of Market Risk
FRANZONI, Francesco
In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...
Persistent link: https://www.econbiz.de/10005162950
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Project valuation and investment decisions: CAPM versus arbitrage
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing …-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should …, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM …
Persistent link: https://www.econbiz.de/10005260104
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Asymmetry between insiders and outsiders: Aspects of valuation duality
Bukhvalov, Alexander V. - Graduate School of Management, St. Petersburg State … - 2008
The paper deals with a modification of CAPM, which takes into account distinction between insiders as agents who … new interpretation of the Mayers’ model, which is an extension of CAPM where nonmarketable assets are taken into account …
Persistent link: https://www.econbiz.de/10008458652