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Risk-Taking Incentives and Returns on R&D Investment
Billings, Bruce K. - 2018
Traditional finance theory suggests that riskier investments should yield higher returns. Challenging this notion … results suggest that the return on R&D, as measured by future earnings and patent awards, varies concavely with vega. That is …
Persistent link: https://www.econbiz.de/10012924858
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity...
Persistent link: https://www.econbiz.de/10012303197
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CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatilit...
Minasyan, Vigen Babkenovich - 2015
The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits … is substantially uniform concerning risks of the assets addressing on it. However this theory doesn't assume possibility … changes, the basic theory isn't capable in such conditions to give an objective assessment of assets. At the same time …
Persistent link: https://www.econbiz.de/10013025979
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Energy Technology R&D Portfolio Management : Modeling Uncertain Returns and Market Diffusion
Bistline, John E. - 2016
The allocation of research and development (R&D) funds across a portfolio of programs must simultaneously consider uncertainty from research outcomes and from market acceptance of the resulting technologies. We introduce a stochastic R&D portfolio management framework for addressing both sources...
Persistent link: https://www.econbiz.de/10012988416
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013132883
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A Model of Momentum
Liu, Laura Xiaolei - 2012
We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment …
Persistent link: https://www.econbiz.de/10013115136
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Pseudo-Naive Approaches to Investment Performance Measurement
Magni, Carlo Alberto - 2018
This paper applies Magni's (2011) Aggregate Return On Investment (AROI)to investment performance measurement. We show that the ratio of undiscountednet cash flow to undiscounted invested capital is not a naive metric (itseemingly does not take the time value of money into account). It is a...
Persistent link: https://www.econbiz.de/10012937598
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Average Rate of Return With Uncertainty
Guerra, Maria Letizia; Magni, Carlo Alberto; Stefanini, … - 2021
In this paper we introduce uncertainty in the investment appraisal, managed through a new criterion called Average Internal Rate of Return (AIRR), introduced in Magni (2010). The consistency of the arithmetic of variables represented with intervals or fuzzy numbers makes it possible to apply the...
Persistent link: https://www.econbiz.de/10013238021
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A New Benchmark : Relative Performance Evaluation with Total Returns
Alanis, Emmanuel - 2020
theory occur at the asset level. Further, it is plausible that executives are concerned about the total value of the firm … view of Holmstrom and Milgrom (1987). Overall, our paper finds empirical support for a foundational theory in executive …
Persistent link: https://www.econbiz.de/10012856005