Всего статей в данном разделе : 977
Implied Binomial Trees [статья]
Опубликовано на портале: 26-10-2004Mark 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: 13-10-2003Иван 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: 14-06-2006Maretno 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: 25-01-2003Colin 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: 14-06-2006Raihan 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: 14-06-2006Baruch 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.
Intellectual Capital and Corporate Value in an Emerging Economy: Empirical Study of Taiwanese Manufacturers. [статья]
Опубликовано на портале: 14-06-2006Chun-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: 14-06-2006Norma 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: 14-06-2006Marc 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: 14-06-2006Julia 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.
Internal Capital Markets in Financial Conglomerates: Evidence from Small Bank Responses to Monetary Policy [статья]
Опубликовано на портале: 05-06-2006Murillo 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.
Internal Ratings-based Approach и Creditrisk+: преимущества и недостатки методологий (концентрация портфелей российских банков и ошибка IRB Approach) [статья]
Опубликовано на портале: 13-12-2012Павел 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: 01-10-2003Fisher 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: 25-10-2007Wilson 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: 11-10-2004Catherine 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.