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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

Rational trader risk

Kondor, Peter - London School of Economics (LSE) - 2004

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...

Persistent link: https://www.econbiz.de/10010884635

Semiparametric estimation of a characteristic-based factor model of common stock returns

Connor, Gregory; Linton, Oliver - London School of Economics (LSE) - 2006

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

Persistent link: https://www.econbiz.de/10010884698

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

Yield curve estimation by kernel smoothing methods

Linton, Oliver; Mammen, Enno; Perch Nielsen, Jens; … - London School of Economics (LSE) - 2000

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

Persistent link: https://www.econbiz.de/10010746603

Can rare events explain the equity premium puzzle?

Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008

Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in order to rationalize the stock market risk premium....

Persistent link: https://www.econbiz.de/10011071098

Estimating semiparametric ARCH (8) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

Persistent link: https://www.econbiz.de/10011071447