Всего статей в данном разделе : 974
Optimal Financial Crises [статья]
Опубликовано на портале: 16-03-2005Franklin Allen, Douglas Gale Journal of Finance. 1998. Vol. 53. No. 4. P. 1245 - 1284.
Empirical evidence suggests that banking panics are related to the business cycle and are not simply the result of “sunspots.” Panics occur when depositors perceive that the returns on bank assets are going to be unusually low. We develop a simple model of this. In this setting, bank runs can be first-best efficient: they allow efficient risk sharing between early and late withdrawing depositors and they allow banks to hold efficient portfolios. However, if costly runs or markets for risky assets are introduced, central bank intervention of the right kind can lead to a Pareto improvement in welfare.
Опубликовано на портале: 21-06-2006Rogir E. Cannaday, Tyler T. Yang Journal of Real Estate Finance & Economics. 1996. Vol. 13. No. 3. P. 263-271.
This article examines the optimal leverage strategy for real estate investors who are investing in income-producing properties. Within a discounted cash-flow context, the investment objective for the equity investor is to maximize the contribution to net present value of using mortgage financing. Utilizing more debt decreases the required equity investment and increases the size of the tax shelter. On the other hand, as the loan-to-value ratio increases, the interest rate charged by the lender increases, which indicates a higher cost of debt. This article goes beyond the simple conventional wisdom that debt financing should be used when financial leverage is positive by developing an equation that allows one to determine the optimal level of debt financing to use when positive leverage is possible. The optimal loan-to-value ratio is found to be a function of the investor's characteristics. Several hypotheses about the relationships between such an optimal loan-to-value ratio and the investor's characteristics are derived.
Опубликовано на портале: 03-05-2005Emmanuel Saez NBER Working Paper Series. 2005. No. 9046.
This paper analyzes optimal progressive capital income taxation in an infinite horizon model where individuals differ only through their initial wealth. We show that, in that context, progressive taxation is a much more powerful and efficient tool to redistribute wealth than linear taxation on which previous literature has focused. We consider progressive capital income tax schedules taking a simple two-bracket form with an exemption bracket at the bottom and a single marginal tax rate above a time varying exemption threshold. Individuals are taxed until their wealth is reduced down to the exemption threshold. When the intertemportal elasticity of substitution is not too large and the top tail of the initial wealth distribution is infinite and thick enough, the optimal exemption threshold converges to a finite limit. As a result, the optimal tax system drives all the large fortunes down a finite level and produces a truncated long-run wealth distribution. A number of numerical simulations illustrate the theoretical result.
Опубликовано на портале: 03-10-2003John C. Cox, Stephen A. Ross, Mark Rubinstein Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 229-263.
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
Options: A Monte Carlo approach [статья]
Опубликовано на портале: 06-10-2004Phelim P. Boyle Journal of Financial Economics. 1977. Vol. 4. No. 3. P. 323-338 .
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional applications are suggested.
Опубликовано на портале: 06-10-2004Rene M. Stulz Journal of Financial Economics. 1982. Vol. 10. No. 2. P. 161-185.
This paper provides analytical formulas for European put and call options on the minimum or the maximum of two risky assets. The properties of these formulas are discussed in detail. Options on the minimum or the maximum of two risky assets are useful to price a wide variety of contingent claims of interest to financial economists. Applications discussed in this paper include the valuation of foreign currency debt, option-bonds, compensation plans, risk-sharing contracts, secured debt and growth opportunities involving mutually exclusive investments.
Опубликовано на портале: 03-12-2007Narasimhan Jegadeesh, Sheridan Titman Review of Financial Studies. 1995. Vol. 8. No. 4. P. 973-993.
This article examines the contribution of stock price overreaction and delayed reaction to the profitability of contrarian strategies. The evidence indicates that stock prices overreact to firm-specific information, but react with a delay to common factors. Delayed reactions to common factors give rise to a size-related lead-lag effect in stock returns. In sharp contrast with the conclusions in the extant literature, however, this article finds that most of the contrarian profit is due to stock price overreaction and a very small fraction of the profit can be attributed to the lead-lag effect
Опубликовано на портале: 14-06-2006Maciej Dzierzanowski, Piotr Tamowicz Corporate Ownership & Control. 2004. Vol. 1. No. 3. P. 20-30.
With the company-level data on listed and unlisted companies we analyse ownership and control of Polish corporations. We find that voting control in listed corporations is remarkably concentrated with the median size of the largest block amounting to 39,5%. A sustainable concentration trend has been observed over the whole last decade. Other companies and individuals/families (mostly founders) dominate among the largest block-holders of Polish corporations. Banks' involvement in control is below common expectations. It is also observed that-especially in smaller firms-managerial ownership is quite large. Frequently, managers are also the company founders and first or second largest block-holder. The extent of ownership and control separation is very modest with dual-class shares being the most popular device to leverage control over ownership; control through subsidiaries is applied to a lesser extent. The presence of large blockholders in listed corporations puts the minority rights and conflict of interests among stakeholders on the top of the policy agenda. Our analysis shows that the Polish capital market may be in desperate need of improvement in this respect.
Опубликовано на портале: 14-06-2006Steen Thomsen, Torben Pedersen Strategic management journal. 2000. Vol. 21. No. 6. P. 689-696.
The paper examines the impact of ownership structure on company economic performance in 435 of the largest European companies. Controlling for industry, capital structure and nation effects we find a positive effect of ownership concentration on shareholder value (market -to- book value of equity) and profitability (asset returns), but the effect levels off for high ownership shares. Furthermore we propose and support the hypothesis that the identity of large owners—family, bank, institutional investor, government, and other companies—has important implications for corporate strategy and performance. For example, compared to other owner identities, financial investor ownership is found to be associated with higher shareholder value and profitability, but lower sales growth. The effect of ownership concentration is also found to depend on owner identity.
Опубликовано на портале: 03-10-2003David J. Denis, Diane K. Denis, Atulya Sarin Journal of Financial Economics. 1997. Vol. 45. No. 2. P. 193-221.
We report that ownership structure significantly affects the likelihood of a change in top executive. Controlling for stock price performance, the probability of top executive turnover is negatively related to the ownership stake of officers and directors and positively related to the presence of an outside blockholder. In addition, the likelihood of a change in top executive is significantly less sensitive to stock price performance in firms with higher managerial ownership. Finally, we document an unusually high rate of corporate control activity in the twelve months preceding top executive turnover. We conclude that ownership structure has an important influence on internal monitoring efforts and that this influence stems in part from the effect of ownership structure on external control threats.
Опубликовано на портале: 03-10-2003Myeong-Hyeon Cho Journal of Financial Economics. 1998. Vol. 47. No. 1. P. 103-121.
This paper examines the relation among ownership structure, investment, and corporate value, focusing on whether ownership structure affects investment. Ordinary least squares regression results suggest that ownership structure affects investment and, therefore, corporate value. However, simultaneous regression results indicate that the endogeneity of ownership may affect these inferences, suggesting that investment affects corporate value which, in turn, affects ownership structure. The evidence shows that corporate value affects ownership structure, but not vice versa. These findings raise questions regarding the assumption that ownership structure is exogenously determined, and bring into question the results in studies that treat ownership structure as exogenous.
Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations [статья]
Опубликовано на портале: 03-11-2007Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 2002. Vol. 15. No. 2. P. 655-689.
We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio antocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero, and (ii) these autocorrelation differences are maintained under conditions favorable for spot-futures arbitrage and are most prevalent during low-volume periods. These results point toward microstructure-based explanations and away from explanations based on behavioral models.
Опубликовано на портале: 06-10-2004Antoine Conze, Sivakumar Viswanathan Journal of Finance. 1991. Vol. 46. No. 5. P. 1893-1907.
Lookback options are path dependent contingent claims whose payoffs depend on the extreme of a given security's price over a certain period of time. Using probabilistic tools, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts
Опубликовано на портале: 03-10-2003David J. Denis, Diane K. Denis Journal of Finance. 1995. Vol. 50. No. 4. P. 1029-1057.
Autors document that forced resignations of top managers are preceded by large and significant declines in operating performance and followed by large improvements in performance. However, forced resignations are rare and are due more often to external factors (e.g., blockholder pressure, takeover attempts, etc.) than to normal board monitoring. Following the management change, these firms significantly downsize their operations and are subject to a high rate of corporate control activity. Normal retirements are followed by small increases in operating income and are also subject to a slightly higher than normal incidence of postturnover corporate control activity.
Опубликовано на портале: 22-06-2006Michael C. Jensen, Kevin J. Murphy Journal of Political Economy. 1990. Vol. 98. No. 2. P. 225-264.
Our estimates of the pay-performance relation (including pay, options, stockholdings, and dismissal) for chief executive officers indicate that CEO wealth changes $3.25 for every $1,000 change in shareholder wealth. Although the incentives generated by stock ownership are large relative to pay and dismissal incentives, most CEOs hold trivial fractions of their firm's stock, and ownership levels have declined over the past 50 years. We hypothesize that public and private political forces impose constraints that reduce the pay-performance sensitivity. Declines in both the pay-performance relation and the level of CEO pay since the 1930s are consistent with this hypothesis.