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Buyout Activity : The Impact of Aggregate Discount Rates

Haddad, Valentin - 2016

Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...

Persistent link: https://www.econbiz.de/10012986691

A Theory of Asset Pricing Based on Heterogeneous Information

Albagli, Elias - 2011

We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...

Persistent link: https://www.econbiz.de/10013119040

Investment Tournaments : When Should a Rational Agent Put All Eggs in One Basket?

Schwarz, Michael - 2009

In this paper we study "investment tournaments," a class of decision problems that involve gradual allocation of … investment among several alternatives whose values are subject to exogenous shocks. The decision-maker's payoff is determined by … broad range of cases it is optimal for the decision-maker in each time period to allocate all resources to the most …

Persistent link: https://www.econbiz.de/10013158033

Uncertainty and Economic Activity : Evidence from Business Survey Data

Bachmann, Ruediger - 2010

What is the impact of time-varying business uncertainty on economic activity? Using partly confidential business survey data from the U.S. and Germany in structural VARs, we find that positive innovations to business uncertainty lead to prolonged declines in economic activity. In contrast, their...

Persistent link: https://www.econbiz.de/10013141840

The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation

Lan, Yingcong - 2011

Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....

Persistent link: https://www.econbiz.de/10013128908

Efficient and Inefficient Sales of Corporate Control

Bebchuk, Lucian A. - 2010

This paper develops a framework for analyzing transactions that transfer a company's controlling block from an existing controller to a new controller. This framework is used to compare the market rule, which is followed in the United States, with the equal opportunity rule, which prevails in...

Persistent link: https://www.econbiz.de/10013139247

The Valuation of Long-Dated Assets

Martin, Ian - 2010

The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons. Nonetheless, I show that a typical asset's realized time- and risk-adjusted cumulative return tends to zero almost surely. As a corollary, the value of a typical long-dated asset is driven by extreme...

Persistent link: https://www.econbiz.de/10013139893

Growth Options and Firm Valuation

Kraft, Holger - 2013

This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10013085928

Corporate Misreporting and Bank Loan Contracting

Graham, John R. - 2008

This paper is the first to study the effect of financial restatement on bank loan contracting. Compared with loans initiated before restatement, loans initiated after restatement have significantly higher spreads, shorter maturities, higher likelihood of being secured, and more covenant...

Persistent link: https://www.econbiz.de/10012773124

Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms

Kane, Edward J. - 2008

This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and...

Persistent link: https://www.econbiz.de/10012774829