Всего статей в данном разделе : 979
Factor Saving Innovation [статья]
Опубликовано на портале: 14-02-2005Michele Boldrin, David Knudsen Levine Journal of Economic Theory. 2002. Vol. 105. No. 1. P. 18-41.
It has been argued that concave models exhibit less "endogeneity of growth" than models with increasing returns to scale. Here we study a simple model of factor saving technological improvement in a concave framework. Capital can be used either to reproduce itself, or, at some additional cost, to produce a higher quality of capital, which requires less labor input. If better quality capital can be produced quickly, we get a model of exogenous balanced growth as a special case of ours. If, however, better quality capital can be produced slowly, we get a model of "endogenous growth" in which the growth rate of the economy and the rate of adoption of new technologies is determined by preferences, technology and initial conditions. Moreover, in the latter case, the process of growth is necessarily uneven, exhibiting a natural cycle with alternating periods of high and slow growth. Growth paths and technological innovations also exhibit dependence upon initial conditions. The model provides a step toward a theory of endogenous innovation under conditions of perfect competition.
Family firms [статья]
Опубликовано на портале: 06-11-2008Mike Burkart, Fausto Panunzi, Andrei Shleifer Journal of Finance. 2003. Vol. 58. No. 5. P. 2167-2201 .
We present a model of succession in a firm owned and managed by its founder. The founder decides between hiring a professional manager or leaving management to his heir, as well as on what fraction of the company to float on the stock exchange. We assume that a professional is a better manager than the heir, and describe how the founder's decision is shaped by the legal environment. This theory of separation of ownership from management includes the Anglo-Saxon and the Continental European patterns of corporate governance as special cases, and generates additional empirical predictions consistent with cross-country evidence.
Опубликовано на портале: 21-06-2006Pere Vinolas, Xavier Adsera Financial Analysts Journal. 2003. Vol. 59. No. 2.
This paper presents a financial and economic approach to valuation. In addition to traditional discounted cash flow methods, one family of valuation models, economic value added (EVA) and other franchise factor approaches, has become a favorite methodology for corporate valuation. In EVA approaches, the key value driver is the spread between the return on the existing investments and their average cost of capital. Therefore, this approach focuses on the left-hand side of the balance sheet. The important aspect of this issue is not its technical interest or which of the different values of a company is correct, but what the value drivers are that each method identifies
Опубликовано на портале: 16-11-2007Eugene F. Fama, Marshall E. Blume Journal of Business. 2007. Vol. 39. No. 1. P. 226-241.
Finance: A Selective Survey [статья]
Опубликовано на портале: 19-11-2007Andrew W. Lo Journal of the American Statistical Association. 2000. Vol. 95. No. 450. P. 629-635.
Ever since the publication in 1565 of Girolamo Cardano's treatise on gambling, Liber de Ludo Aleae (The Book of Games of Chance), statistics and financial markets have become inextricably linked. Over the past few decades many of these links have become part of the canon of modern finance, and it is now impossible to fully appreciate the workings of financial markets without them. This selective survey covers three of the most important ideas of finance---efficient markets, the random walk hypothesis, and derivative pricing models---that illustrate the enormous research opportunities that lie at the intersection of finance and statistics
Financial Systems and Industrial Policy in Germany and Great Britain: The Limits of Convergence [статья]
Опубликовано на портале: 17-11-2008Sigurt Vitols WZB Discussion Paper. 1995. No. 95 – 311.
A widely held view is that, since the 1970s, the nation-state has suffered a significant reduction in its capacity to achieve national economic policy goals through the regulation of the financial system; as a result, national political economies are now characterized by a market-driven convergence towards financial systems dominated by privately-owned, internationally-active “financial supermarkets” with weak links to both industry and government. Through a comparison of Germany and Great Britain, this paper critically examines this thesis and poses the following two questions: (1) What implications do the lifting of capital and exchange controls and the reorientation of monetary policy to anti-inflationary policies have for the state’s capacity to regulate financial systems? and (2) What implications does this regulatory discretion (if any) have for industrial finance and the state's capacity to utilize the financial system to achieve microeconomic industrial policy goals? In response to these questions, it is demonstrated how the state has retained significant regulatory autonomy in ways which have significant consequences for industrial finance and industrial policy.
Опубликовано на портале: 25-11-2008M. Chui, A. Maddaloni, Franklin Allen Oxford Review of Economic Policy. 2004. Vol. 20. No. 4. P. 490-508.
Financial structure is an important determinant of the efficiency and stability of financial systems and the channels through which monetary policy is transmitted. We document the substantial differences in the financial systems of the euro area, the UK, the USA, Japan, and non-Japan Asia. The traditional classification of bank-based and market-based systems is shown to be too simplistic. We focus on two particular aspects of financial structure: financial institutions and the housing and mortgage markets. It is shown that institutional investors differ in important ways across the regions considered. One recent change is that Central Banks, particularly those in Asia, have become significant institutional investors. Housing and mortgage markets differ even more. We are still a long way from understanding which kind of financial structure is best.
Опубликовано на портале: 14-06-2006Leonard L. Lundstrum Review of Quantitative Finance & Accounting. 2003. Vol. 21. No. 2. P. 141-156.
Examines how information problems between the firm and the investor affect the value of an internal capital market. Relation of the firm's access to an internal capital market to firm value; Asymmetric information and excess firm value.
Опубликовано на портале: 14-03-2005Ulrike Schaede Journal of Banking & Finance. 1989. Vol. 13. No. 4-5. P. 487-513.
The first thoroughly organized futures exchange that fulfilled all the technical criteria specified by modern research in finance can be traced back to 18th century Japan. The Djima rice market in saka developed as a trading center for rice in the 17th century, and the futures market materialized according to the traders' needs; differences to modern futures exchanges can be observed in early mark-to-market procedures and margin requirements. If the role of rice in the pre-modern Japanese economy is acknowledged to be monetary, rice bill futures can also be regarded as financial futures.
Опубликовано на портале: 03-12-2007Werner De Bondt, Richard H. Thaler Journal of Finance. 1987. Vol. 42. No. 3. P. 557-581.
In a previous paper, we found systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The seasonal pattern of returns is also examined. Excess returns in January are related to both short-term and long-term past performance, as well as to the previous year market return.
Опубликовано на портале: 15-11-2004Robert C. Higgins Journal of Finance. 1974. Vol. 29. No. 4. P. 1189-1201.
Because growth, dividend policy and capital costs are central to mach of modern valuation and regulatory theory, it is deemed important to examine them anew in light of existing criticism. The purpose of this paper is , therefore, threefold: to derive and test a finite-growth model for electric utility shares which accurately reflects the present value of future investment, to provide new evidence on the dividend policy-share price controversy, and to present estimates of the required rate of return, or cost of equity capital, to the electric utility industry over the period 1960-68.
Опубликовано на портале: 17-09-2004David Durand Journal of Finance. 1957. Vol. 12. No. 3. P. 348-363.
At a time like the present, when investors are avidly seeking opportunities for appreciation, it is appropriate to consider the difficulties of appraising growth stocks. There is little doubt that when other things are equal the forward-looking investor will prefer stocks with growth potential to those without. But other things rarely are equal - particularly in a sophisticated market that is extremely sensitive to growth. When the growth potential of a stock becomes widely recognized, its price is expected to react favorably and to advance far ahead of stocks lacking growth appeal, so that its price-earnings ratio and dividend yield fall out of line according to conventional standards. Then the choice between growth and lack of growth is no longer obvious, and the astute investors must ask whether the market price correctly discounts the growth potential.
Опубликовано на портале: 22-06-2006David Yermack Journal of Financial Economics. 2003. Vol. 40. No. 2. P. 185-211.
The author presents evidence consistent with theories that small boards of directors are more effective. Using Tobin's Q as an approximation of market valuation, he finds an inverse association between board size and firm value in a sample of 452 large U.S. industrial corporations between 1984 and 1991. The result is robust to numerous controls for company size, industry membership, inside stock ownership, growth opportunities, and alternative corporate governance structures. Companies with small boards also exhibit more favorable values for financial ratios, and provide stronger CEO performance incentives from compensation and the threat of dismissal
History and the Equity Risk Premium [статья]
Опубликовано на портале: 21-06-2006Roger G. Ibbotson, William N. Goetzmann Yale ICF Working Paper. 2005. No. 05-04.
We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.
Опубликовано на портале: 12-11-2004Meir Statman Journal of Financial and Quantitative Analysis. 1987. Vol. 22. No. 3. P. 353-363.
We show that a well-diversified portfolio of randomly chosen stocks must include at least 30 stocks for a borrowing investor and 40 stocks for a lending investor. This contradicts the widely accepted notion that the benefits of diversification are virtually exhausted when a portfolio contains approximately 10 stocks. We also contrast our result with the levels of diversification found in studies of individuals' portfolios.