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We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates...
Persistent link: https://www.econbiz.de/10012459494
By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy of the firm, we develop a theoretical model, determine the optimal investment policy and, given this policy, calculate the ratio of the current...
Persistent link: https://www.econbiz.de/10012462843
Persistent link: https://www.econbiz.de/10012807724
By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy of the firm, we develop a theoretical model, determine the optimal investment policy and, given this policy, calculate the ratio of the current...
Persistent link: https://www.econbiz.de/10013146947
We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates...
Persistent link: https://www.econbiz.de/10013079761
Persistent link: https://www.econbiz.de/10013412820
Persistent link: https://www.econbiz.de/10003501285
Persistent link: https://www.econbiz.de/10003951821
Persistent link: https://www.econbiz.de/10015162611
Valuation multipliers are frequently used in practice. By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy, we develop a stylized model that links the cash flow multiplier to the optimal...
Persistent link: https://www.econbiz.de/10013095067