Showing 1 - 10 of 19,487
Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward...
Persistent link: https://www.econbiz.de/10011800871
Persistent link: https://www.econbiz.de/10001498022
Persistent link: https://www.econbiz.de/10011793548
Prices of contracts with risky aspects are typically linked to specific uncertainties and probabilities of adverse scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution. Another example where risk is exchanged for a fixed price...
Persistent link: https://www.econbiz.de/10012392510
It is evident that linear programming model remains the most potent mathematical tool for the efficient allocation of scarce operational resources of an organization. Whilst projecting the graphical method as the easiest solution approach to linear programming where only two constraining factors...
Persistent link: https://www.econbiz.de/10013103795
I/B/E/S removes 6% of one-quarter-ahead earnings forecasts from the calculation of the consensus forecast. This study examines managers' role in these removals. We show optimistic forecasts are removed more often than pessimistic forecasts, after controlling for removal policies that I/B/E/S...
Persistent link: https://www.econbiz.de/10012898780
A not-for-profit organization's reported ratio of expenditures on program services to total expenditures is a key performance metric for many donors, which may lead the manager of a not-for-profit organization to manipulate this ratio. This paper presents a theoretical model to examine when and...
Persistent link: https://www.econbiz.de/10013293625
Consensus estimates, formed by taking an average of analyst forecasts, play an important role in capital markets (e.g., provide investors with a proxy for earnings expectations). We show I/B/E/S, a prominent information intermediary, removes 6% of one-quarter-ahead earnings forecasts before...
Persistent link: https://www.econbiz.de/10013311229
We complement and extend the literature on real options and behavioral agency by identifying and documenting three drivers of asymmetry in the value-earnings convexity. Observing that financial reporting and disclosure play a feedback role in corporate investment decisions, the real options...
Persistent link: https://www.econbiz.de/10014349735
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10001600011