Similar Search Results

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

Explaining the Cross-Section Returns in France : Characteristics or Risk Factors?.

Lajili, Souad - Université Paris-Dauphine - 2007

In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...

Persistent link: https://www.econbiz.de/10008498113

Size and book to market effects: further evidence from the French case.

Lajili, Souad - Université Paris-Dauphine

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...

Persistent link: https://www.econbiz.de/10008520024

Size and book to market effects: further evidence from the French case.

Lajili, Souad - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008532752

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

The shape of the risk premium: evidence from a semiparametric GARCH model

Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...

Persistent link: https://www.econbiz.de/10010745701