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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …
Persistent link: https://www.econbiz.de/10013026463
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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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Competition and Operating Volatilities around the World
Makaew, Tanakorn - 2017
Numerous papers have shown that developing economies are more volatile. This paper shows despite greater aggregate and industry stability, performance and size of individual firms in developed countries are more volatile. In developing countries, market imperfections insulate incumbent firms...
Persistent link: https://www.econbiz.de/10012974482
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Mergers and Acquisitions Transactions Strategies in Diffusion - Type Financial Systems in Highly Volatile Global Capital Markets with Nonlinearities
Ledenyov, Dimitri - 2015
The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...
Persistent link: https://www.econbiz.de/10013028661
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Dynamic Resource Allocation with Hidden Volatility
Feng, Felix Zhiyu - 2020
We study firms' internal resource allocation using a dynamic principal-agent model with endogenous cash-flow volatility. The principal supplies the agent with resources for productive use, but the agent has private control over both project volatility and resource intensity and may misallocate...
Persistent link: https://www.econbiz.de/10012854931
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Dynamic Resource Allocation with Hidden Volatility
Feng, Felix Zhiyu; Westerfield, Mark M. - 2021
We study a firm's internal resource allocation using a dynamic principal-agent model with endogenous cash flow volatility. The principal supplies the agent with resources for productive use, but the agent has private control over both project volatility and resource intensity and may misallocate...
Persistent link: https://www.econbiz.de/10013249307
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Exposure-Based Volatility : An Application in Corporate Risk Management
Fassas, Athanasios - 2016
Purpose – This study develops a non-traditional measure of risk, an Exposure-Based Volatility, for the non-financial company and applies this measure to capture both the downside potential of cash flows and the probability of requiring additional external financing under most foreseeable...
Persistent link: https://www.econbiz.de/10012991529
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Corporate Debt Maturity and Future Firm Performance Volatility
Adachi‐Sato, Meg - 2018
We propose a simple idea that corporate debt maturity should serve as a good indicator of future firm performance volatility. We show in a simple two-period model that the riskiness of corporate investment is a decreasing function of corporate debt maturity. If “observable” corporate debt...
Persistent link: https://www.econbiz.de/10012937149
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Product market competition and option prices
Morellec, Erwan; Zhdanov, Alexei - 2017
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects the prices of options on equity and...
Persistent link: https://www.econbiz.de/10011626663
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On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics
Trottier, Denis-Alexandre - 2018
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...
Persistent link: https://www.econbiz.de/10012922821