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The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

Structural RFV : Recovery Form and Defaultable Debt Analysis

Guha, R.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

values.We incorporate RFV into an exogenous boundary structural credit risk model and compare its e ect to more typical … credit risk models.We show that some features of existing structural models are a result of the recovery form assumed in the …

Persistent link: https://www.econbiz.de/10011092403

Corporate Restructuring and Bondholder Wealth

Renneboog, Luc; Szilagyi, P.G. - Tilburg University, Center for Economic Research - 2006

This paper provides an overview of existing research on how corporate restructuring affects the wealth of creditors.Restructuring is defined as any transaction that affects the firm's underlying capital structure.Thus, it reaches well beyond asset restructuring and includes transactions such as...

Persistent link: https://www.econbiz.de/10011090388

Analytic American Option Pricing and Applications

Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...

Persistent link: https://www.econbiz.de/10011090493

Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Campi, L.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

related to credit risk. …

Persistent link: https://www.econbiz.de/10011090550

Preferences, Consumption Smoothing and Risk Premia

Lettau, M.; Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1997

Risk premia in the consumption capital asset pricing model depend on preferences and dividend. We develop a … decomposition which allows a separate treatment of both components. We show that preferences alone determine the risk …-return tradeoff measured by the Sharpe-ratio. In general, the risk-return trade-off implied by preferences depends on the elasticity …

Persistent link: https://www.econbiz.de/10011090587

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

Magis, P.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis.We show how much a ¯rm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing...

Persistent link: https://www.econbiz.de/10011090631

How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards

Renneboog, Luc; Szilagyi, P.G. - Tilburg University, Center for Economic Research - 2006

asset risk and to a negative listing effect similar to that previously reported for changes in shareholder wealth. …

Persistent link: https://www.econbiz.de/10011090642

The Price of Ethics : Evidence from Socially Responsible Mutual Funds

Renneboog, Luc; ter Horst, Jenke; Zhang, C. - Tilburg University, Center for Economic Research - 2007

This paper estimates the price of ethics by studying the risk-return relation in socially responsible investment (SRI … their benchmarks. The underperformance of SRI funds does not seem to be driven by the loadings on an ethical risk factor … funds have a significant impact on funds’ riskadjusted returns and loadings on risk factors: corporate governance and social …

Persistent link: https://www.econbiz.de/10011090741

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

comparative analysis of risk aversion and ambiguity aversion. The perception of ambiguity is described by a hidden Markovian … premium and risk free rate and can generate asset-price stylized facts like a procyclical price-dividend ratio and …

Persistent link: https://www.econbiz.de/10011090768