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Simulation-based valuation of project finance: does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010
This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forecast complexity. We aim to identify model...
Persistent link: https://www.econbiz.de/10010305715
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QUANTIFYING THE IMPACT OF FINANCIAL DEVELOPMENT ON ECONOMICDEVELOPMENT
Greenwood, Jeremy; Sánchez, Juan M.; Wang, Cheng - National Bureau of Economic Research <Cambridge, Mass.> - 2010
How important is financial development for economic development? A costly state verification modelof financial intermediation is presented to address this question. The model is calibrated to match factsabout the U.S. economy, such as intermediation spreads and the firm-size distribution for the...
Persistent link: https://www.econbiz.de/10005870315
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Credit Supply and Corporate Policies
Morellec, Erwan - Swiss National Centre of Competence in Research North … - 2010
This paper develops a model of corporate investment and financing decisions thatdiffers from previous contributions by recognizing that firms face uncertainty regardingtheir future access to credit markets and may have to search for creditors when raisingdebt financing. We show that accounting...
Persistent link: https://www.econbiz.de/10009305075
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The Overhang Hangover
Imbs, Jean; Ranciere, Romain - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We revisit the debt overhang question. We first use non-parametric techniques to isolate a panel of countries on the downward sloping section of a debt Laffer curve. In particular, overhang countries are ones where a threshold level of debt is reached in sample, beyond which (initial) debt ends...
Persistent link: https://www.econbiz.de/10005858241
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Model Combination and Stock Return Predictability
Hagmann, Matthias; Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Bayesian Model Averaging (BMA) has recently been discussed in the financial literature as an effective way to account for model uncertainty. In this paper we compare BMA to a new model uncertainty framework introduced by Yang (2004), called Aggregate Forecasting Through Exponential Reweighting,...
Persistent link: https://www.econbiz.de/10005858532
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Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793
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Marktzinsmethode und betriebliche Investitionsrechung - Kritische Überlegungen zur Verwendung von Spotzinssätzen im Rahmen realwirtschaftlicher DCF-Analysen
Volkart, Rudolf; Nadig, Linard - Institut für Schweizerisches Bankwesen <Zürich>
Innerhalb des Bankmanagements hat die sogenannte Marktzinsmethode zentrale Bedeutung erlangt. Der Vorschlag, diesen Ansatz auch auf die Analyse betrieblicher Realinvestitionen zu übertragen, liess eine Grundsatzdiskussion über die Zweckmäßigkeit eines solchen Vorgehens entstehen...
Persistent link: https://www.econbiz.de/10005857045
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The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market
Dietze, Leif Holger; Entrop, Oliver; Wilkens, Marco - Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre … - 2006
We examine here the risk-adjusted performance of European mutual funds offered in Germany which invest in euro-denominated investment grade corporate bonds. The funds are evaluated employing a single-index model and several multi-index and asset-class-factor models. In order to account for the...
Persistent link: https://www.econbiz.de/10005857719
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Inflation and monetary regimes
Dwyer, Gerald P.; Fisher, Mark - 2009
Correlations of inflation with the growth rate of money increase when data are averaged over longer time periods …. Correlations of inflation with the growth of money also are higher when high-inflation as well as low-inflation countries are … included in the analysis. We show that serial correlation in the underlying inflation rate ties these two observations together …
Persistent link: https://www.econbiz.de/10010292328
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The conquest of South American inflation
Sargent, Thomas; Williams, Noah; Zha, Tao - 2006
financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals …. Our maximum likelihood estimates allow us to interpret observed inflation rates in terms of variations in the deficits … that cut inflation without reforming deficits. Our estimates also allow us to infer the deficit adjustments that seem to …
Persistent link: https://www.econbiz.de/10010292362