Статьи
Всего статей в данном разделе : 979
Implied Binomial Trees [статья]
Опубликовано на портале: 26-10-2004
Mark Rubinstein
Journal of Finance.
1994.
Vol. 49.
No. 3.
P. 771-818.
This article develops a new method for inferring risk-neutral probabilities (or state-contingent
prices) from the simultaneously observed prices of European options. These probabilities
are then used to infer a unique fully specified recombining binomial tree that is
consistent with these probabilities (and, hence, consistent with all the observed
option prices). A simple backwards recursive procedure solves for the entire tree.
From the standpoint of the standard binomial option pricing model, which implies
a limiting risk-neutral lognormal distribution for the underlying asset, the approach
here provides the natural (and probably the simplest) way to generalize to arbitrary
ending risk-neutral probability distributions.
Опубликовано на портале: 13-10-2003
Иван Вадимович Розмаинский
Статья Розмаинского И.В. посвящена особой роли, которую играют внутренние деньги
в ходе
деловых циклов в современных рыночных экономиках. Показано, что стагфляция
оказывается следствием того, что циклы проходят в денежной системе с
внутренними деньгами.
Опубликовано на портале: 14-06-2006
Maretno Harjoto, John Garen
Journal of Corporate Finance.
2005.
Vol. 11.
No. 4.
P. 661-679.
This study examines the firm's equity ownership by insiders and blockholders starting
right after the firm goes public, its decline thereafter, and what alters the decline.
Previous literature has shown the incentive of insiders to let their ownership fall
after their initial public offering (IPO). After the IPO, management attains only
a fraction of the benefits of good governance, so has an incentive to let inside
ownership erode. We verify this, but examine the effect that re-entry into capital
market via a seasoned equity offering (SEO) has on insider ownership. The incentive
of management to hold stock is restored by a desire to raise additional capital because
it implicitly raises management's stake. We show empirically that it raises insider
stockholding relative to what it otherwise would have been, thus providing an avenue
by which this aspect of corporate governance is improved. This, and other results,
is shown with a sample of IPO firms during 1996 and 1997. Our findings indicate that,
in expectation, the increased holdings due to re-entry into the capital market almost
exactly offsets 1 year's downward trend in management shareholdings. Also, we find
an interesting interplay between types of blockholders in that CEOs tend to hold
less stock after the IPO if external blockholders initially hold more.
Опубликовано на портале: 25-01-2003
Colin P. Mayer
A recent report by Paul Myners for the UK Treasury has provided a wealth of information
on the structure and operation of the pension fund industry in the UK. The report
points to serious deficiencies in the governance of pension funds. These concerns
are of considerable significance in their own right. But a fundamental focus of the
Review is on their impact on the provision of private equity in the UK. This paper
summarizes evidence from the Review and evaluates its proposed remedies. It concludes
that to the extent that there is a private equity failure in the UK, it has less
to do with the governance of institutions than with diversity and innovation in institutional
design. The paper argues that financial regulation bears critically on the extent
of institutional innovation and that US regulation has allowed its financial sector
to respond more readily to the needs of high technology sectors than the UK`s.
Опубликовано на портале: 14-06-2006
Raihan Khan, Ravi Dharwadkar, Pamela Brandes
Journal of Business Research.
2005.
Vol. 58.
No. 8.
P. 1078-1088.
Limited research has looked at how the aspects of institutional ownership affect
executive compensation. Using an agency theory approach, we investigate how institutional
ownership concentration and dispersion affect levels of CEO compensation, pay mix,
and stock option pay sensitivity. We find that the largest owner's concentration
is associated with lower levels of compensation, as well as with higher ratios of
salary to total compensation and lower ratios of options to total compensation, but
that the number of blockholders does not predict any aspects of CEO compensation.
In addition, institutional ownership dispersion is associated with increased levels
of compensation and greater use of incentive compensation. Finally, higher levels
of CEO ownership lead to a significant reduction in the level of options compensation,
as well as higher ratios of salary to total compensation and lower ratios of options
to total compensation.
Опубликовано на портале: 14-06-2006
Baruch Lev, Stefano Zambon
European Accounting Review.
2003.
Vol. 12.
No. 4.
P. 597-603.
The authors believe that intangibles are the major drivers of company growth. In
an economy where innovation, information and communication technologies, networks
and alliances, as well as the quality of human resources and the way in which they
are organized, intangibles will continue to be vital to companies, and the challenge
of how to manage, measure and visualize them has to be addressed in theoretical and
practical terms. As is well known, intangible assets have a value in use and in some
cases also a value in exchange. Beyond their potential informativeness for external
stakeholders, intellectual capital (IC) statements seem to have a fundamental function
of self-analysis for the firm, forcing it to recognize both its implicit assets and
the different links between the various types of capital. The relationship between
IC statements and other forms of company reporting, such as social, ethical and environmental
reports, should also be explored in depth, to avoid a proliferation of statements
which increases the reporting burden on companies and decision-makers.
Опубликовано на портале: 14-06-2006
Chun-Yao Tseng, Yeong-Jia James Goo
R & D Management.
2005.
Vol. 35.
No. 2.
P. 187-201.
Competitive success now is based less on the strategic allocation of physical and
financial resources, and more on the strategic management of intellectual capital.
Although intellectual capital is intangible and cannot be accurately measured, companies
must develop methods of increasing corporate value by proactively focusing on intellectual
capital management. This study examines the relationship between intellectual capital
and corporate value in an emerging economy. This study employs an intellectual capital
perspective, resource-based view and a financial perspective, and investigates how
to apply the concept of intellectual capital to value creation. After reviewing the
relevant literature, this study identifies human capital, organizational capital,
innovation capital and relationship capital as four constructs of intellectual capital.
Corporate value is measured using three selection methods: (1) Market/Book value,
(2) Tobin'Qand (3) Value Added Intellectual Coefficient (VAIC™). Through a
questionnaire survey and secondary data collection, this study applies the Structure
Equation Model to analyze the relationships among four constructs of intellectual
capital, as well as the relationship between intellectual capital and corporate value. From
the empirical findings, for Taiwanese manufacturers, a positive relationship exists
between intellectual capital and corporate value. This study visualizes and mobilizes
intellectual capital to articulate eight value creation paths.
Опубликовано на портале: 14-06-2006
Norma Juma, G. Tyge Payne
International Journal of Innovation Management.
2004.
Vol. 8.
No. 3.
P. 297-318.
Intellectual capital (IC) has been proposed as an essential factor for organizational
survival and maintenance of competitive strength. However, there has been very limited
consensus on what encompasses IC and how it can best be conceptualized and measured.
Further, very little empirical work has specifically examined the relationship between
IC and financial performance. Given these shortcomings, this paper focuses first
on the impact IC has on performance and secondly on the role strategic alliances
may have on this relationship. While we argue that IC will impact performance, we
anticipate this relationship will be moderated by strategic alliances and other inter-firm
collaborations. Findings reveal interesting relationships that suggest further effort
should be placed on the conceptualization and measurement of IC, specifically regarding
its relationship to firm performance.
Internal Capital Markets, Bank Borrowing, and Financing Constraints: Evidence from
Belgian Firms [статья]
Опубликовано на портале: 14-06-2006
Marc Deloof
Journal of Business Finance & Accounting.
1998.
Vol. 25.
No. 7/8.
P. 945-968.
Presents information on the interpretation regarding the Belgian firms belonging
to a corporate group, where investment is incompletely financed on an internal capital
market of the group. How many firms are indirectly controlled; Important role the
holding companies and corporate groups play in the financing of Belgian firms; Reference
to the tracing of origins of these networks.
Опубликовано на портале: 14-06-2006
Julia Porter Liebeskind
Organization Science.
2000.
Vol. 11.
No. 1.
P. 58-77.
Diversification not only internalizes transactions of goods and services, but it
also internalizes transactions of capital. Hence, the value of diversification will
depend, inter alia, on whether internal capital markets are relatively efficient
or inefficient. This essay reviews and discusses the possible benefits and costs
of internal capital markets by conducting a careful comparative institutional analysis.
The essay concludes that internal capital markets can add value to lines of business
only under a limited number of circumstances. Some recent developments in the organization
of internal capital markets in diversified firms can be understood as attempts to
increase their efficiency.
Опубликовано на портале: 05-06-2006
Murillo Campello
Journal of Finance.
2002.
Vol. 57.
No. 6.
P. 2773-2805.
This paper looks at internal capital markets in financial conglomerates by comparing
the responses of small subsidiary and independent banks to monetary policy. I find
that internal capital markets in financial conglomerates relax the credit constraints
faced by smaller bank affiliates. Further analysis indicates that those markets lessen
the impact of Fed policies on bank lending activity. The paper also examines the
role of internal capital markets in influencing the investment allocation process
of those conglomerates. My findings suggest that frictions between conglomerate headquarters
and external capital markets are at the root of investment inefficiencies generated
by internal capital markets.
Опубликовано на портале: 13-12-2012
Павел Разумовский
Экономическая политика.
2010.
№ 4.
С. 154-175.
В данной работе подробно рассмотрены две методологии определения экономического капитала на покрытие убытков от кредитных рисков с точки зрения источников потерь: индивидуального кредитного риска заемщиков (CreditRisk+) и влияния общего риск фактора (IRB Approach, предложенная Базельским Комитетом по банковскому регулированию и надзору). указаны плюсы и минусы моделей, описаны некоторые способы преодоления недостатков, предложенные исследователями ранее. чтобы обеспечить контроль над точностью модели IRB Approach, цБ РФ должен сопровождать внедрение принципов регулирования Базеля-2 в России при помощи механизма контроля концентрации.
Опубликовано на портале: 01-10-2003
Fisher Black
Journal of Financial Economics.
1974.
Vol. 4.
No. 1.
P. 337-52 .
Outlines models of capital market equilibrium when there are explicit barriers to
international investment. Taxes levied on holdings of assets in one country by residents
of another country; Deviation of asset prices from the predictions of the world capital
asset pricing.
Опубликовано на портале: 25-10-2007
Wilson Tong
The Journal of Financial Research.
2000.
Vol. 13.
No. 4.
P. 495-522.
Recent studies on the U.S. market find that the Monday effect is observed mainly
when the rettim on the previous Friday is negative or when the Monday falls within
the last two weeks of the month. I look for international evidence and examine whether
such properties of the Monday effect are related to another anomalous phenomenon—high
weekend correlation. By examining
twenty-three equity market indexes, I find that the negative Friday is, in general,
important to the Monday effect. Furthermore, Monday returns tend to be lowest on
the fourth week of the month. Although high weekend correlation is also common to
these markets, it seems not related to the bad-Friday factor and shows no seasonality
across weeks of the month.
Опубликовано на портале: 11-10-2004
Catherine Bonser-Neal, Greggory Brauer, Robert Neal, Simon Wheatley
Journal of Finance.
1990.
Vol. 45.
No. 2.
P. 523-547.
Some closed-end country funds trade at large premiums relative to their net asset
values. This paper examines whether international investment restrictions raise country
fund price-net asset value ratios by segmenting international capital markets. We
test whether a relation exists between announcements of changes in investment restrictions
and changes in these ratios using weekly data from May 1981 to January 1989. The
results provide evidence that some foreign markets are at least partially segmented
from the U.S. capital market.
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