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Arbitrage and viability in securities markets with fixed trading costs.
Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine - 2001
existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …
Persistent link: https://www.econbiz.de/10008800247
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Intangibles mismeasurements, synergy, and accounting numbers : a note.
Ramond, Olivier; Casta, Jean-François; Bry, Xavier - Université Paris-Dauphine
modelling the synergy occurring amongst the firm assets whilst pointing out the limits of traditional accounting valuation tools …. Since financial accounting valuation methods are mostly based on the mathematical property of additivity, and consequently … may occult the perspective of regarding the firm as an organized set of assets, we propose an alternative valuation …
Persistent link: https://www.econbiz.de/10008520016
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Value Relevance of Summary Accounting Income Measures: Evidence from Major European Capital Markets.
Lin, Stephen; Ramond, Olivier; Casta, Jean-François - Université Paris-Dauphine
This study investigates the extent to which three key summary accounting income figures, namely operating income (OPI), net income (NI) and comprehensive income (CI), provide value-relevant information to investors in major EU capital markets. Using a large sample over the pre-IAS-compliance...
Persistent link: https://www.econbiz.de/10008551618
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Value relevance of comprehensive income and its components: Evidence from major European capital markets.
Casta, Jean-François; Ramond, Olivier; Lin, Stephen - Université Paris-Dauphine
This study investigates the extent to which three key summary accounting income figures, namely operating income, net income and comprehensive income, provide value-relevant information to investors in Germany, France, Italy, Spain and the UK. Using a large sample over the pre-IAS-compliance...
Persistent link: https://www.econbiz.de/10008532362
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On Real Options and Information Costs.
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …
Persistent link: https://www.econbiz.de/10008532470
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010957121
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - Deutsche Bundesbank - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10005082768
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Crisis-Robust Bond Portfolios.
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008
Persistent link: https://www.econbiz.de/10009364875
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Do Inflation-Linked Bonds Still Diversify ?.
Brière, Marie; Signori, Ombretta - Université Paris-Dauphine - 2009
The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a...
Persistent link: https://www.econbiz.de/10009364876
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Volatility Exposure for Strategic Asset Allocation.
Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine - 2010
The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...
Persistent link: https://www.econbiz.de/10009364880