Over the past two decades the Ohlson Residual Income Model for equity valuation has drawn much attention concerning its advantages when compared to traditional models (DDM, FCFM). This paper attempts to empirically investigate the validity of the Ohlson Residual Income model using data from the...

We consider a general model for an investment producing a single commodity, and, assuming that there exists a traded asset spanning the corresponding market, we prove a quot;verification theoremquot; which relates the solution of an appropriate differential equation with the investment's...

The Capital Asset Pricing Model (CAPM) is theoretically incomplete in its demand-side focus, risk-averse investors, and internally inconsistent homogeneous beliefs; is not conclusively supported empirically; and yet it legitimizes a notion that investors can earn higher returns by bearing...

The Capital Asset Pricing Model (CAPM) is theoretically incomplete in its demandside focus, risk-averse investors, and internally inconsistent homogeneous beliefs; is not conclusively supported empirically; and yet it legitimizes a notion that investors can earn higher returns by bearing...

La presente investigación tiene como objetivo principal desarrollar un análisis de toma de decisiones bajo incertidumbre a través de la aplicación de opciones reales en la evaluación de inversiones en proyectos mineros. Asimismo, se propone estudiar el comportamiento de los precios del oro,...

En este estudio se aplica la teoría de opciones reales para valorar, desde la óptica del productor, un seguro de rentas contra la caída de los precios de patata en origen. Este seguro fue ofrecido en cinco provincias españolas en 2003 y 2004. Se trata de un seguro índice que no toma como...

We examine the impact on an R&D valuation and its investment timing of abrupt events, options facing paradise (blockbusters) and purgatory (catastrophes). We show that the presence of a special case of Lévy jumps can model positive and negative effects in the investment opportunity even when...

R&D is often a highly uncertain venture where experiments achieve successful outcomes on an extraordinarily rare basis. Just one successful product could change the future of a company; the discovery stage can often be an invaluable or disastrous experience. We develop a real R&D option model...

Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore...

Avian flu has been the focus of significant attention since 2004, when there were reports of human infections in Asia from the avian flu H5N1 strain. To prevent the catastrophic mortality of mankind, several governments are stockpiling antivirals and pharmaceutical firms are increasing their...