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A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...
Persistent link: https://www.econbiz.de/10013096092
Methodologically, the recommended investment project (IP) selection system is distinguished from one in force by: new conception allowing for time factor; evaluating IP efficiency by eventual reproduction results, not by intermediate investment activity results (included is a generalized...
Persistent link: https://www.econbiz.de/10013101098
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...
Persistent link: https://www.econbiz.de/10013110170
Firm-level investment paths are commonly characterised by periods of low or zero investment punctuated by large investment ‘spikes’. We document that such spikes are important for understanding firm and aggregate level investment in the UK. We show that annual variation in aggregate...
Persistent link: https://www.econbiz.de/10011817429
Recent literature has shown that corporate indebtedness affects firm-level investment behavior but not necessarily aggregate business cycles. I argue that interactions among heterogeneous firms play an important role in equilibrium. After a downturn, financially unconstrained firms in...
Persistent link: https://www.econbiz.de/10014348807
Our study examines whether share repurchases lead to reductions in real investments. Repurchase opponents argue that managers forego value-enhancing investments to conduct opportunistic repurchases, while proponents argue that repurchases return excess cash to shareholders who then reinvest it...
Persistent link: https://www.econbiz.de/10014254216
We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond … market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is …
Persistent link: https://www.econbiz.de/10013228522
A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …
Persistent link: https://www.econbiz.de/10013224637
The relationship between investment efficiency and investment transparency is investigated using a sample of Australian listed company capital expenditure announcements between 2008 and 2014. We suggest two opposing hypotheses to explain why investment efficiency may influence the...
Persistent link: https://www.econbiz.de/10012951609
The convex payoffs for equity holders in a corporate structure results in agency costs and moral hazard problems. The implicit government guarantee for banks accentuates these. We believe that the Basel III related bail-in contingent convertible (CoCo) structures do only not solve these...
Persistent link: https://www.econbiz.de/10012994839