Showing 1 - 10 of 96
Using data from real estate corporations, we report that related diversification over different property types is associated with a discount while geographical diversification has no significant effect on shareholder value. Related diversification in order to exploit potential synergistic gains...
Persistent link: https://www.econbiz.de/10005649135
This paper provides an explanation of currency crises based on an argument that bailing out financially distressed exporting firms through a currency depreciation is ex-post optimal. Exporting firms have profitable investment opportunities, but they will not invest because high leverage causes...
Persistent link: https://www.econbiz.de/10005649322
We study diversification within the real estate industry because of its relative transparency: portfolio management of assets with well-defined market prices. Diversification is over property types and geographical regions. The major cause of the diversification discount is not diversification...
Persistent link: https://www.econbiz.de/10005771177
We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...
Persistent link: https://www.econbiz.de/10005190833
This paper examines the conditions necessary for calculating steady state terminal values in equity (company) valuation models. We make explicit use of the fact that a company's income statements and balance sheets can be modeled as a system of difference equations. From these difference...
Persistent link: https://www.econbiz.de/10005802432
In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...
Persistent link: https://www.econbiz.de/10005423785
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than...
Persistent link: https://www.econbiz.de/10005423799
We study a financial market containing an infinite number of assets, where each asset price is driven by an idiosyncratic random source as well as by a systematic noise term. Introducing 2 asymptotic assets" which correspond to certain infinitely well diversified portfolios we study absence of...
Persistent link: https://www.econbiz.de/10005649358
effect. Furthermore, we allow for the possibility of an index volatility that depends negatively on the index level and show …
Persistent link: https://www.econbiz.de/10005649367
We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well...
Persistent link: https://www.econbiz.de/10005649381