Similar Search Results

Gomes, Joao F.; Schmid, Lukas - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we investigate the theoretical relation between ﬁnancial leverage and stock returns in a dynamic world where both the corporate investment and ﬁnance decisions are endogenous. We ﬁnd that the link between leverage and stock returns is more complex than the static textbook...

Persistent link: https://www.econbiz.de/10005857771

Bankruptcy law and firms' behavior

Epaulard, Anne; Pommeret, Aude - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The aim of this paper is to study the impact of bankruptcy law on financing, investment, default and liquidation decisions of firms. We build a model in which a firm can finance its investment by issuing debt. The investment is risky. Because of risk, the firm may default. The firm manager takes...

Persistent link: https://www.econbiz.de/10005858212

An Empirical Analysis of U.S. Aggregate Portfolio Allocations

Normandin, Michel; St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich> - 2005

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...

Persistent link: https://www.econbiz.de/10005858885

Feasible Momentum Strategies

Rey, David M.; Schmid, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2004

Momentum strategies based on continuations in stock prices have become increas-ingly popular among academics, money managers, and investors in recent years. While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties....

Persistent link: https://www.econbiz.de/10005858929

Probability misestimation and preferencesin financial investment decision

Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We study the influence of systematic probability misestimation on complexfinancial investment decisions on the context of structured financialproducts. Structured products have in recent years become more and morecomplex. We study the question whether this complexity might be a...

Persistent link: https://www.econbiz.de/10005868835

Performance Measurement and Appraisal of Private Equity Investments relative to Public Equity Markets

Ick, Matthias M. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this paper we investigate the risk return relationship of Private Equity (PE) relative to Public Market Equity (PM) investments to assess the adequateness of PEs return premium. We analyze cash flows of PE projects gross of fees and any other externalities. Our analysis is based on simulated...

Persistent link: https://www.econbiz.de/10005858358

Private Equity Returns: Is there really a Benefit of low Co-movement with Public Markets?

Ick, Matthias M. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this paper we show how cross-sectional correlations between Private Equity (PE) and Public Market Equity (PM) returns can be approximated, resolving the lack of time series PE data. Based on a sample comprising 2,380 realized PE projects, we observe low crosssectional correlations between PE...

Persistent link: https://www.econbiz.de/10005858359

Understanding the Economic Value of Legal Covenants in Investment Contracts : A Real-Options Approach to Venture Equity Contracts

Cossin, Didier; Leleux, Benoit; Saliasi, Entela - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Valuing early-stage high-technology growth-oriented companies is a challenge to current valuation methodologies. Efforts are redirected towards the design of investment contracts which materially skew the distribution of payoffs in favor of the venture investors. In effect, limitations in...

Persistent link: https://www.econbiz.de/10005859127

Financing and Takeovers

Morellec, Erwan; Zhdanov, Alexei - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper analyzes the interaction between financial leverage and takeover activity. We develop a dynamic model of …, and takeover terms, in which the bidder with the lowest leverage wins the takeover contest. Based on the resulting … bidder is below the industry average and that acquirers should lever up after the takeover consummation. The model also …

Persistent link: https://www.econbiz.de/10005858240

The Evolutionary Virtue of Diversification

Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This note shows that an investor who does not hold positive amounts of all available assets is eventually overtaken by a completely diversified rival investor.

Persistent link: https://www.econbiz.de/10005858925