Showing 1 - 10 of 20
This article reviews the empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. over the period 1972-1999. It includes income, capital appreciation, and total returns from business, residential, and farm real estate, as well as REIT...
Persistent link: https://www.econbiz.de/10005587037
common explanation for why firms incur sunk costs is that technology considerations make them inescapable. This paper shows that sometimes firms may prefer to make early (less informed) investment decisions even when technology allows such decisions to be delayed. Sunk costs commit and clarify a...
Persistent link: https://www.econbiz.de/10005586891
In the face of uncertainty, firms often place a premium on flexibility. By keeping their options open, firms are able to adjust decisions as uncertainty is resolved. Valuing this benefit of flexible projects is the focus of the real options approach to capital budgeting. This paper presents an...
Persistent link: https://www.econbiz.de/10005586941
Governments and vocal institutional shareholders have been exerting pressure on companies they deem to have objectionable operations (such as tobacco or chemical producers). This paper studies the effect of the most important legislative and shareholder boycott to date, the boycott of the South...
Persistent link: https://www.econbiz.de/10005587159
This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective...
Persistent link: https://www.econbiz.de/10005369013
Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps.On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing and...
Persistent link: https://www.econbiz.de/10005369017
Substantial progress has been made in extending the Black- Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps. On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing...
Persistent link: https://www.econbiz.de/10005586865
In order to explain in a systematic way why certain combinations of market, financial, and legal structures may be intrinsic to certain capabilities to exchange real goods, we introduce criteria for abstracting the qualitative functions of markets. The criteria involve the number of strategic...
Persistent link: https://www.econbiz.de/10005586976
We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors...
Persistent link: https://www.econbiz.de/10005587004
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the world. The risk-sharing opportunities we study are nonsystematic risk-sharing opportunities. These...
Persistent link: https://www.econbiz.de/10005587011