We derive discount rates for depreciation and amortization tax shields resulting from asset step-ups in corporate mergers and acquisitions. By assigning all relevant sources of uncertainty for such kind of tax shields and by accounting for corporate debt it is shown that for APV valuations r*, a...

This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...

We compute the correlations of the annual stock returns (1989-2008) of the Dow Jones companies with a) Rm; and with b) Rm; and find that the second correlation (assuming beta = 1 for all companies) is higher than the first one, on average, and for all companies except Caterpillar and General...

En este documento se analiza la evolución del IBEX y de las 72 empresas españolas que cotizaron en bolsa (en el mercado continuo) desde diciembre de 1992 hasta diciembre de 2005. Los apartados del documento son: 1. El IBEX 35. Rentabilidad y creación de valor para los accionistas. 2. Nivel...

The value of tax shields depends only on the nature of the stochastic process of the net increases of debt. The value of tax shields in a world with no leverage cost is the tax rate times the current debt plus the present value of the net increases of debt. By applying this formula to specific...

This paper is a review of the recommendations about the equity premium found in the main finance and valuation textbooks. We review several editions of books written by authors such as Brealey and Myers; Copeland, Koller and Murrin (McKinsey); Ross, Westerfield and Jaffe; Bodie, Kane and Marcus;...

We develop valuation formulae for a company that maintains a fixed book-value leverage ratio and claim that it is more realistic than to assume, as Miles-Ezzell (1980) do, a fixed market-value leverage ratio. The value of tax shields depends only on the present value of the net increases of...

La rentabilidad media de los fondos de inversión en renta variable nacional durante los tres, cinco, diez y quince últimos años fue inferior a la del ITBM (Indice Total de la Bolsa de Madrid) en más de un 6%. De los 43 fondos con diez años de historia, sólo uno (Bestinver Bolsa, que hizo...

In a recent paper, Cooper and Nyborg (2004) argue that the results of Fernández (2004) are wrong because value-additivity is violated and because "Fernández paper comes from mixing the Miles-Ezzell leverage policy with the Miller-Modigliani leverage adjustment." Cooper and Nyborg's paper is...