Эксоцман
на главную поиск contacts
Финансовая экономика - это область теоретико-прикладных знаний о законах функционирования финансовых потоков и отношений между всеми субъектами экономической системы... (подробнее...)

Статьи

Всего статей в данном разделе : 974

Опубликовано на портале: 03-10-2003
Harold Jr. Bierman The Accounting Review. 1966.  Vol. 41. No. 2. P. 271-274. 
"In that article I suggested that the depreciation charge for a period is related to the expectations at the time of purchase and that the purchase of an asset is actually the purchase of future cash proceeds. These cash proceeds then become the basis for the depreciation calculation. This paper will refine the definition of "cash proceeds" with the objective of making the accounting for the events consistent with the decision-making procedures..."
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 14-06-2006
Mike Burkart, Fausto Panunzi Journal of Financial Intermediation. 2006.  Vol. 15. No. 1. P. 1-31. 
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal protection affects the expropriation of shareholders and the blockholder's incentives to monitor. Because monitoring weakens managerial incentives, both effects jointly determine the relationship between legal protection and ownership concentration. When legal protection facilitates monitoring better laws strengthen the monitoring incentives, and ownership concentration and legal protection are inversely related. By contrast, when legal protection and monitoring are substitutes better laws weaken the monitoring incentives, and the relationship between legal protection and ownership concentration is non-monotone. This holds irrespective of whether or not the large shareholder can reap private benefits. Moreover, better legal protection may exacerbate rather than alleviate the conflict of interest between large and small shareholders.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 11-11-2004
Eugene F. Fama Journal of Political Economy. 1980.  Vol. 88. No. 2. P. 288-307. 
This paper attempts to explain how the separation of security ownership and control, typical of large corporations, can be an efficient form of economic organization. We first set aside the presumption that a corporation has owners in any meaningful sense. The entrepreneur is also laid to rest, at least for the purposes of the large modern corporation. The two functions usually attributed to the entrepreneur--management and risk bearing--are treated as naturally separate factors within the set of contracts called a firm. The firm is disciplined by competition from other firms, which forces the evolution of devides for efficiently monitoring the performance of the entire team and of its individual members. Individual participants in the firm, and in particular its managers, face both the discipline and opportunities provided by the markets for their services, both within and outside the firm.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 03-10-2003
David J. Denis, Diane K. Denis, Atulya Sarin Journal of Finance. 1997.  Vol. 52. No. 1. P. 135-160. 
We provide evidence on the agency cost explanation for corporate diversification. We find that the level of diversification is negatively related to managerial equity ownership and to the equity ownership of outside blockholders. In addition, we report that decreases in diversification are associated with external corporate control threats, financial distress, and management turnover. These findings suggest that agency problems are responsible for firms maintaining value-reducing diversification strategies and that the recent trend toward increased corporate focus is attributable to market disciplinary forces.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 16-06-2006
Congsheng Wu Journal of Business & Economic Studies. 2005.  Vol. 11. No. 1. P. 19-33. 
This study examines the relation between the offer price adjustment, initial return, and subsequent short-run performance for a sample of initial public offerings (IPO's) made by US industrial companies from 1986 to 1996. The IPO's are divided into three categories (cold, cool, and hot issues) based on the offer price relative to the suggested price range revealed in the preliminary prospectus. It is found that the offer price adjustment not only predicts the first-day return, but also predicts subsequent short-run performance in the same direction up to three months after issuance. Moreover, different types of IPO's demonstrate distinct cross-sectional behavior in multivariate regressions of initial returns. Our results suggest that cold IPO's are quite unique and deserve more attention in future studies.
Опубликовано на портале: 06-10-2004
Robert A. Jarrow, David Lando, Stuart M. Turnbull Review of Financial Studies. 1997.  Vol. 10. No. 2. P. 481-523. 
This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data. This model is useful for pricing and hedging corporate debt with imbedded options, for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging (foreign) government bonds subject to default risk (e.g., municipal bonds), for pricing and hedging credit derivatives, and for risk management.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 03-12-2007
Nicholas Barberis, Andrei Shleifer, Robert W. Vishny Journal of Financial Economics. 1998.  Vol. 49. No. 3. P. 307-343. 
Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 21-06-2006
Mirko Cardinale Watson Wyatt Technical Paper. 2002.  No. 2002-TR-25 .
The paper analyses the behaviour of the equity premium in the UK. We find that lagged dividend ratios, bill returns and time series factors all play a statistically significant role in explaining the historical variation of the equity premium. Our analysis finds that the conditional variance of the equity premium also changes over time. A time series model which includes GARCH effects leads to a significant improvement in model fit.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 14-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines Journal of Finance. 2004.  Vol. 59. No. 6. P. 2451-2487. 
This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three-quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 16-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines Journal of Finance. 2004.  Vol. 59. No. 6. P. 2451-2487. 
This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three-quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 03-12-2007
Wolfgang Lemke Discussion Paper Series 1: Economic Studies. 2007.  No. 13/2007.
A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variation in yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 05-10-2004
Илья Захарьевич Гробман, Анатолий Абрамович Пересецкий
Целью работы является анализ российского финансового рынка (ГКО, фондовый рынок - РТС) в предкризисный период. Анализируется связь однодневных доходностей сегментов Российского финансового рынка и международного финансового рынка (Индекс Доу-Джонса). Показано, что рынок корпоративных ценных бумаг в значительной степени влиял на рынок ГКО. С другой стороны, международный финансовый рынок оказывал влияние на рынок корпоративных ценных бумаг. Из анализа модели однодневных доходностей рынка ГКО в зависимости от рынка рынок корпоративных ценных бумаг и индекса Доу-Джонса показано, что в середине июня 1998 г. произошла структурная перестройка рынка, что можно интерпретировать, как сигнал будущего кризиса 18 августа 1998 г.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 06-10-2004
Richard Roll Journal of Financial Economics. 1977.  Vol. 5. No. 2. P. 251-258 . 
Sometimes it pays to exercise an American-type call option prematurely, just prior to a cash emission by the underlying security. Such an option can be expressed as a combination of three European-type options whose valuation formulae are known.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 16-06-2006
Robert Goldstein, Nengju Ju, Hayne E. Leland Journal of Business. 2001.  Vol. 74. No. 4. P. 483-513. 
A model of dynamic capital structure is proposed. Even though the optimal strategy is implemented over an arbitrarily large number of restructuring-periods, a scaling feature inherent in the framework permits simple closed-form expressions to be obtained for equity and debt prices. When a firm has the option to increase future debt levels, tax advantages to debt increase significantly, and both the optimal leverage ratio range and predicted credit spreads are more in line with what is observed in practice.
Опубликовано на портале: 15-11-2004
Richard Roll, Stephen A. Ross Journal of Finance. 1980.  Vol. 35. No. 5. P. 1073-1103. 
Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using data for individual equities during the 1962-72 period, at least three and probably four "priced" factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables such as the "own" standard deviation, though highly correlated (simply) with estimated expected returns, do not add any further explanatory power to that of the factor loadings.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию