We introduce a new discounted cash flow model which integrates the diversification effect of multi-business firms. We … face two challenges. One is examining how different degrees of diversification can affect firm value due to risk reduction … explicitly into account. A high level of corporate diversification caused by a low dependence between the firm's business …

extend the framework to allow for a smoothly varying risk premium in calendar time, and show that the limiting distribution …

distribution for different time scales. Our approach divides the nonlinear link between expected returns and idiosyncratic risk …

the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature … psychological time threshold, most factors typically influencing price changes cease to apply. This paper analyzes several … trading time above a certain psychological threshold, the volumes exchanged are not integral agents for VSTPC. Currently …

Huang (2008) and show that a portfolio consisting of lottery-like stocks should trade at a discount due to diversification …. This discount can be partially mitigated if lottery-like stocks tend to produce extreme payoffs at the same time. I utilize …

This paper presents three definitions of time diversification and analyzes their implications for investment horizons …. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a … minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor …

single stock. Daily VaR is computed for an equally weighted portfolio, and for a time span of 250 trading days, the model is …