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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 : 305

Опубликовано на портале: 22-12-2005
Антон Соколов Директор-инфо. 2002.  № 1.
Любой инвестиционный проект начинается с бизнес-плана, который подробно описывает технологическую и организационную сторону проведения проекта, механизм генерирования доходов, рассматривает систему внутренних и внешних факторов, влияющих на прибыльность проекта. В нем также дается заключение об эффективности вложений при различных уровнях требуемой инвестором доходности. Проблема планирования бизнеса слишком обширна. Поэтому автор останавливается на одном из аспектов, а именно основных показателях эффективности инвестиционного проекта. Оценка эффективности инвестиционного проекта призвана определить, насколько цена приобретаемого актива (размер вложений) соответствует будущим доходам с учетом рисков проекта.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 15-11-2004
Seymour Smidt Journal of Finance. 1979.  Vol. 34. No. 3. P. 675-688. 
This paper considers some special problems that arise because the net present value of a project cannot be determined with certainty in advance. One problem that will be considered in this paper is whether the minimal acceptable forecast value should be equal to zero or to some other number in order to maximize the expected net present value of the projects that are accepted. The second problem concerns post-audits.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 15-11-2004
Phoebus J. Dhrymes, Irwin Friend, N. Bulent Gultekin Journal of Finance. 1984.  Vol. 39. No. 2. P. 323-346. 
This paper demonstrates that the Roll and Ross (RR) and other previously published tests of the APT are subject to several basic limitations. There is a general nonequivalence of factor analyzing small groups of securities and factor analyzing a group of securities sufficiently large for the APT model to hold. It is found that as one increases the number of securities, the number of "factors" determined increases. This increase in the number of "factors" with larger groups of securities cannot readily be explained by a distinction between "priced" and "nonpriced" risk factors as it is impermissible to carry out tests on whether a given "risk factor is priced" using factor analytic procedures.
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Опубликовано на портале: 03-10-2003
Richard Roll Journal of Financial Economics. 1977.  Vol. 4. No. 2. P. 129-176. 
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
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
Balasingham Balachandran, Robert W. Faff, Sally Tanner Australian Economic Papers. 2005.  Vol. 44. No. 3. P. 248-268. 
We examine the price and volatility reaction around stock dividend ex-dates for an Australian sample, over the period January 1992 to December 2000. We find that price reaction around stock dividend ex-dates provides positive abnormal returns both prior, and subsequent, to the abolishment of par value of shares in July 1998. When we partitioned the sample into financial, industrial non-financial and mining firms, the price reaction is found to be positive and significant only for industrial non-financial companies. Volatility of daily returns for periods subsequent to ex-dates is significantly greater than corresponding periods prior to announcement dates, while cumulative raw returns subsequent to ex-dates are significantly lower than periods prior to announcement dates for industrial non-financial companies. The magnitude of the price reaction is statistically significantly related to an increase in the volatility of daily returns and to a reduction in cumulative raw returns subsequent to the ex-dates, for industrial non-financial companies. These findings support buying pressure hypothesis suggested by Dhatt et al. (1994, 1996)
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.
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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.
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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: 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.
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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: 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
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: 31-12-2010
Ирина 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.
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Опубликовано на портале: 21-06-2006
Qing 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.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 14-06-2006
Hyun-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.
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