Journal of Financial Economics
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Опубликовано на портале: 02-10-2003
Michael R. Gibbons
Journal of Financial Economics.
1982.
Vol. 10.
No. 1.
P. 3-27.
A variety of financial models are cast as nonlinear parameter restrictions on multivariate
regression models, and the framework seems well suited for empirical purposes. Aside
from eliminating the errors-in-the-variables problem which has plagued a number of
past studies, the suggested methodology increases the precision of estimated risk
premiums by as much as 76%. In addition, the approach leads naturally to a likelihood
ratio test of the parameter restrictions as a test for a financial model. This testing
framework has considerable power over past test statistics. With no additional variable
beyond , the substantive content of the CAPM is rejected for the period 1926–1975
with a significance level less than 0.001.
Опубликовано на портале: 06-10-2004
Rene 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.
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