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Strategic investment, industry concentration and the cross section of returns
Bustamante, Maria Cecilia - London School of Economics (LSE) - 2011
This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition a¤ects the industrial dynamics of investment, concentration, and expected returns. When firms have similar production technologies, the cross sectional variation in...
Persistent link: https://www.econbiz.de/10011071300
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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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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
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Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
Aslanidis, Nektarios; Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012
This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers a large number of macro-?nance predictors well-know from the return predictability literature. Strong...
Persistent link: https://www.econbiz.de/10010851209
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Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
Christensen, Peter O.; Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, we show that public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. In a model with exponential utility investors and an asset with a normally distributed dividend,...
Persistent link: https://www.econbiz.de/10010851221
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Risk-Return Trade-Off for European Stock Markets
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - School of Economics and Management, University of Aarhus - 2013
This paper adopts dynamic factor models with macro-fi?nance predictors to revisit the intertemporal risk-return relation in ?five large European stock markets. We identify country specifi?c, Euro area, and global factors to determine the conditional moments of returns considering the role of...
Persistent link: https://www.econbiz.de/10010851247