Всего статей в данном разделе : 977
An Empirical Study of Country Risk Adjustments to Market Multiples Valuation in Emerging Markets: the case for Russia [статья]
Опубликовано на портале: 31-12-2010Ирина Васильевна Ивашковская, Иван Андреевич Кузнецов Корпоративные финансы. 2007. № 3 (3). С. 26-52.
Valuation in emerging markets is always a challenge. The existence of sovereign risk and capital market segmentation as well as small trading volumes and narrow domestic capital market make it difficult to identify peer companies for market multiples valuation without cross- border comparables. This paper investigates the practical implementation of market multiples valuation in emerging markets when the analyst should involve peer companies from developed markets. Companies with comparable operational parameters bear different values on different financial markets. The problem of unavoidable difference among national stock markets exists, that is why methods of cross-border multiples’ corrections are called for. We address cross-border corrections procedures for adjusting multiples to a sovereign risk to find out the role and the extent of these type of adjustments in valuation. We are using the samples of Russian and US companies to test three different adjustments’ techniques: the sovereign spread, the relative market coefficients and the regression approach.
Опубликовано на портале: 21-06-2006Richard S. Warr Journal of Economics and Business. 2005. Vol. 57. No. 2. P. 119-137.
Proponents of economic value added (EVA) argue that changes in the metric accurately measure changes in the performance of a firm or business unit through time and therefore can represent a reliable measure of managerial effectiveness. However, inflation distorts EVA through the operating profit, the cost of capital, and the capital base and these distortions have the potential to result in inefficient investment and compensation outcomes. Using an inflation-corrected EVA metric, I measure the sensitivity of EVA to the level of, and changes in, inflation for a large sample of US stocks and find evidence of significant inflation induced distortions.
A New Look at the Monday Effect [статья]
Опубликовано на портале: 25-10-2007Ko Wang, John Erickson, Yuming Li Journal of Finance. 1997. Vol. 52. No. 5. P. 2171-2186.
It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon.
Опубликовано на портале: 03-12-2007Carolyn Sissoko Economics Discussion Papers. 2007. No. 2007-16.
Using the monetary model developed in Sissoko (2007), where the general equilibrium assumption that every agent buys and sells simultaneously is relaxed, we observe that in this environment fiat money can implement a Pareto optimum only if taxes are type-specific. We then consider intermediated money by assuming that financial intermediaries whose liabilities circulate as money have an important identifying characteristic: they are widely viewed as default-free. The paper demonstrates that default-free intermediaries who issue credit lines to consumers can resolve the monetary problem and make it possible for the economy to reach a Pareto optimum. We argue that our idealized concept of financial intermediation is a starting point for studying the monetary use of credit.
Опубликовано на портале: 21-06-2006Jonathan K. Kramer, Jonathan R. Peters Journal of Applied Finance. 2001. Vol. 11. No. 1. P. 41-50.
Companies worldwide use the financial metric Economic Value Added (EVAR) to help then assess their financial performance. However researchers speculate that EVA is better suited to traditional manufacturing businesses than to knowledge-based businesses. This study empirically rests the relation between capital intensity and EVA's ability to serve as an effective proxy of market value added. We find that EVA is no less "at home" in the information economy than it is in traditional manufacturing businesses. However, our results do indicate that in most of the industries studied, the marginal costs of using EVA as a proxy for market value added are not justified by any marginal benefits.
An intertemporal asset pricing model with stochastic consumption and investment opportunities [статья]
Опубликовано на портале: 02-10-2003Douglas T. Breeden Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
Опубликовано на портале: 21-06-2006Qing Li, Maria Vassalou, Yuhang Xing AFA 2002 Atlanta Meetings. 2001.
In this paper we present a simple model where asset returns are functions of multiple investment growth rates. The model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM) methodology, as well as Fama-MacBeth cross-sectional regressions. Comparisons on the basis of several metrics with other models, such as the CAPM, the Fama-French (1993) model and Cochrane's (1996) model, reveal that it consistently outperforms the CAPM and Cochrane's model. It also outperforms the Fama-French model in several tests. Our model can explain a significantly larger proportion of the cross-sectional variation in the 25 Fama-French portfolios than the Fama-French model does. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth factors included in our model, the size and book-to-market characteristics lose their ability to explain asset returns. Our model is successful in pricing size- and book-to-market- sorted portfolios, although it includes exclusively macroeconomic variables as factors.
Annotations to the articles [статья]
Опубликовано на портале: 21-04-2011Вопросы экономики и права. 2010. № 9. С. 59-60.
Annotations to the articles [статья]
Опубликовано на портале: 22-04-2011Вопросы экономики и права. 2010. № 2. С. 53-54.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 71-99.
This paper examines the intraday market response to announcements of new equity issues. For fifteen minutes following the announcement, there is abnormally high volume and a -1.3% average return. There is also a small, but significant, negative average return in the hour before the announcement. Issue size, intended use of proceeds, and estimated profitability of new investment are uncorrelated with the announcement effect. After the issuance of new shares, there is a significant price recovery of 1.5%. This evidence is inconsistent with many theoretical rationales for the negative market reaction to new equity issue announcements.
Another Attempt to Explain an Illiquid Banking System: The Diamond and Dybvig Model With Sequential Service Taken Seriously [статья]
Опубликовано на портале: 17-03-2005Neil Wallace Federal Reserve Bank of Minneapolis Quarterly Review. 1988. Vol. 12. No. 4.
To help readers understand Diamond and Dybvig's explanation of an illiquid banking system and my explanation of the sequential service constraint, I descrbe my model twice. First I describe the model in a more-or-less way and summarize its results. Although some of the results that distinguish my model from Diamond and Dybving's cannot be fully described in this context, the main ingredients of our models can. A more complete and necessarily more technical description of my model and results follows. This requires previous exposure to economic theory at the level of a rigorous intermediate microeconomics theory course and to calculus.
Опубликовано на портале: 25-09-2007Fred D. Arditti Journal of Financial and Quantitative Analysis. 1971. Vol. 6. No. 3.
Опубликовано на портале: 03-12-2007Steven L. Jones Journal of Financial Economics. 1993. Vol. 33. No. 1.
This paper reconciles the relative pricing controversy between DeBondt and Thaler (1985, 1987), Chan (1988), and Ball and Kothari (1989). The negative autocorrelation in long-horizon index returns, along with the selection criterion of the contrarian strategy, can explain the positive covariance between time-varying betas and risk premiums. However, test-period beta estimates reflect the reversal of earnings expectations associated with underlying factors. The controversy thus reduces to the debate of Fama and French (1988) and Poterba and Summers (1988) over the source of the temporary price components in the market index. Rational changes in expected returns and cash flows explain most of the cross-sectional variation in returns
Опубликовано на портале: 14-06-2006Hyun-Han Shin, Rene M. Stulz Quarterly Journal of Economics. 1998. Vol. 113. No. 2. P. 531-552.
Using segment information from Compustat, we find that the investment by a segment of a diversified firm depends on the cash flow of the firm's other segments, but significantly less than it depends on its own cash flow. The investment by segments of highly diversified firms is less sensitive to their cash flow than the investment of comparable single-segment firms. The sensitivity of a segment's investment to the cash flow of other segments does not depend on whether its investment opportunities are better than those of the firm's other segments.
Опубликовано на портале: 30-01-2003Richard Marston Journal of Intrernational Money and Finance. 2001. Vol. 20. No. 2. P. 149-164.
Foreign exchange exposure refers to the sensitivity of a firms cash flows to changes in exchange rates. This study develops a model of foreign exchange exposure dependent on only three variables, the percentage of the firms revenues and expenses denominated in foreign currency and its profit rate. Exposure is estimated for a sample of 103 U.S. firms that participated in the 1998 Wharton/CIBC Survey of Risk Management by U.S. Non-Financial Firms. The study finds that foreign exchange exposure is quite low for a majority of firms in the sample because these firms have been able to match their foreign currency revenues and costs leaving them with little net exposure. Such operational hedges may help to explain why previous studies have found low or negligible levels of exposure when they studied the sensitivity of share prices to foreign exchange rates.