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A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - Wirtschaftsuniversität <Wien> - 2000
A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and...
Persistent link: https://www.econbiz.de/10005841640
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Option Pricing and Replication with Transaction Costs and Dividends
Perrakis, Stylianos; Lefoll, Jean - 1999
This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration.(...)
Persistent link: https://www.econbiz.de/10005843146
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Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? - An Empirical Investigation from 1990-2001
Hamelink, Foort; Harasty, Helene; Hillion, Pierre - 2001
This paper suggests that managers should continue to monitor carefully country as well as style rewards and risks.
Persistent link: https://www.econbiz.de/10005843254
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New evidence of the impact of dividend taxation and on the identity ofthe marginal investor
Bell, Leonie; Jenkinson, Tim - University <Oxford> / Department of Economics - 2000
This paper examines the impact of a major change in dividend taxation introduced in the UK in July1997. The reform was … funds. We analyse the behaviour of share pricesaround the ex-dividend day both before and after the reform to test clientele … consistentwith the distortions introduced by the tax system (before the reform dividend income was taxadvantagedin the UK). We also …
Persistent link: https://www.econbiz.de/10005870262
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Estimating the Peace Dividend: The impact of violence on house prices in Northern Ireland
Besley, Timothy; Müller, Hannes - London School of Economics and Political Science - 2009
killings across space andtime which we use to generate estimates of the peace dividend. Theeconomic model suggests a somewhat …
Persistent link: https://www.econbiz.de/10009138507
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Extended Dividend, Cash Flow and Residual Income Valuation Models -Accounting for Deviations from Ideal Conditions
Heinrichs, Nicolas; Hess, Dieter; Homburg, Carsten; … - Centre for Financial Research <Köln> - 2011
Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under theassumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Becausethese conditions are hardly ever met, we extend the standard approaches, based on thefundamental principle of...
Persistent link: https://www.econbiz.de/10009284863
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Controlling shareholders and payout policy: Do founding familieshave a special “taste for dividends”?
Schmid, Thomas; Ampenberger, Markus; Kaserer, Christoph; … - Lehrstuhl für Finanzmanagement und Kapitalmärkte - 2010
strong family capitalism. We find that family firmsexhibit a higher propensity and level for both dividend payments and total … higher “taste for dividend payments” ifcompared to firms dominated by the founder (“founder-controlled firms”). Our results …
Persistent link: https://www.econbiz.de/10009302692
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A Principal-Agent View on Dividend Taxation and Investment Efficiency
Kind, Axel; Lindeiner, Benita von; Vedolin, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We propose an equity finance model with agency problems and investigate the relationship between dividend taxation and … inefficient investments. Contrary to both the old and the new view of dividend taxation, a fall in the dividend tax rate is found …
Persistent link: https://www.econbiz.de/10005858049
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An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woehrmann, … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of markets to converge towards fundamental values. This paper confirms their insights theoretically within the evolutionary finance model of Evstigneev, Hens, and Schenk-Hopp (2006)...
Persistent link: https://www.econbiz.de/10005858582
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Introducing Capital Structure in a Production Economy : Implications for Investment, Debt and Dividends
Alessandrini, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This model adds to the standard neoclassical model of business fluctuations by introducing a more realistic capital structure problem, where firms have to balance the tax benefits of debt with the costs of potential financial distress. Therefore, firms solve a dynamic problem with both an...
Persistent link: https://www.econbiz.de/10005859002