The goal of this article is to analyze the impact of equity tax shields, that were allowed in Austria from 2000 to 2004, on the capital structure of Austrian firms, both at book values and at market values. We see that the choice of the leverage ratio determines whether or not one can find an...

In this paper we compare static and dynamic savings plans with lump sum investments from the perspective of a prospect theory investor. To evaluate these strategies we use an ex ante approach taking recourse to Monte Carlo Simulation and parameters from Tversky and Kahneman (1992) and check the...

This article presents joint econometric analysis of interest rate risk, issuer-specific risk (credit risk) and bond-specific risk (liquidity risk) in a Lando (1998) type model within the Duffie/Singleton framework. Our model accomodates correlation between interest rate risk and issuer-specific...

In the last two decades several European countries implemented tax systems allowing for the deduction of imputed equity interest from a company's tax base. This paper integrates the tax benefits resulting from imputed interest on the stock of equity into business valuation. Three discounted cash...

As early as the 1980s, several European countries implemented tax systems with imputed equity interest provisions. Since its tax reform in 2000, Austria has also allowed the deduction of (fictitious) imputed equity interest from the tax base. This paper integrates the resulting equity-related...

The Amin/Bodurtha framework was developed for the valuation of American-style financial instruments driven by three sources of uncertainty — domestic interest rate risk, foreign interest rate risk and exchange rate risk. The model is not only appropriate for pricing a number of financial...

We investigate the relationship between weather or seasonal affective disorder and the financial market, using a wide variety of financial market data as well as several weather variables and a seasonal affective disorder proxy. We distinguish between a model with a direct effect of the weather...

The lower-of-cost-or-market principle implies that assets may be sold above book value, by which hidden reserves are disclosed. To avoid taxation of these hidden reserves, in German-speaking countries companies are allowed to transfer them to a newly purchased asset within a fixed time period....

In this paper, the optimal timing of hidden reserves transfers is derived with special attention to the term structure of interest rates and interest rate risk, and using well-known concepts from the field of finance. The paper presents one model under certainty and, as a generalization of this...

This paper extends the traditional duration measure for continuous-time Heath/Jarrow/Morton models. The result is a general Heath/Jarrow/Morton duration measure based on a zero-coupon yield for an arbitrary maturity as state variable. A convexity measure compatible to this generalized duration...