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An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach

In, Francis; Kim, Sangbae - World Scientific Publishing Co. Pte. Ltd.

applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet … analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this … post-graduates in a variety of disciplines ¡ª applied economics, financial engineering, international finance, financial …

Persistent link: https://www.econbiz.de/10011156367

The use of Npv and CAPM for capital budgeting is not a good idea. A reply to De Reyck (2005)

Magni, Carlo Alberto - MASTER CONSULTORES - 2009

-present-value criterion, as currently used in finance. This paper shows that the standard use of CAPM for capital budgeting, based on …

Persistent link: https://www.econbiz.de/10010762957

Survey of Literature on Portfolio Theory

Cantillo, Andres - Volkswirtschaftliche Fakultät, … - 2013

The logical derivation of the two-factors model (The CAPM) is not empirically testable. This has paved the way for new treatments of asset pricing. However, the deterministic approach taken by most economists has prevented them to create a more useful treatment to the problems of asset pricing...

Persistent link: https://www.econbiz.de/10011109251

Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2001

This work presents a notion of residual income called Systemic Value Added (SVA). It is antithetic to Stewart’s (1991) EVA, though it is consistent with it in overall terms: a project’s Net Final Value (NFV) can be computed as the sum of capitalized EVAs or as the sum of uncapitalized SVAs....

Persistent link: https://www.econbiz.de/10005790189

Detecting intentional herding: what lies beneath intraday data in the spanish stock market

Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra - Facultad de Economía y Empresa, Universidad de Zaragoza - 2009

This paper examines the intentional herd behaviour of market participants using a new bootstrap-based approach that compares the scaled cross-sectional deviation of returns in the intraday market with the cross-sectional deviation of returns of an “artificially created” market free of...

Persistent link: https://www.econbiz.de/10008520377

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

Persistent link: https://www.econbiz.de/10005198022

Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2000

This paper proposes a new way of decomposing net present values and net final values in periodic shares. Such a decomposition generates a new notion of residual income, radically different from the classical one available in the financial and accounting literature. While the standard residual...

Persistent link: https://www.econbiz.de/10005619703

Splitting Up Value: A Critical Review of Residual Income Theories

Carlo Alberto, Magni - Volkswirtschaftliche Fakultät, … - 2008

connecting management accounting, corporate finance and financial mathematics (Peasnell, 1981, 1982; Peccati, 1987, 1989, 1991 …

Persistent link: https://www.econbiz.de/10005621680

Firms vs. insiders as traders of last resort

Marín, José M.; Sureda-Gomila, Antoni - Instituto de Ciencias Sociales, Instituto Madrileño de … - 2007

We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders’ trading...

Persistent link: https://www.econbiz.de/10005823551

Portfolio Constraints and Contagion in Emerging Markets

Ilyina, Anna - In: IMF Staff Papers 53 (2006), pp. 1-1

The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and (2) to...

Persistent link: https://www.econbiz.de/10005825585

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