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Contraction Options : Implications for the Profitability-Return Relation and Momentum Profits

Shim, Kyung Hwan - 2015

We develop a firm valuation model with repeated expansion and contraction options to show operating profitability is a proxy for time-varying systematic risk. Relative to riskier assets, the proportionate value of contraction options increase as profitability falls, lowering the firm beta....

Persistent link: https://www.econbiz.de/10013026825

Pricing Kernels with Stochastic Skewness and Volatility Risk

Chabi-Yo, Fousseni - 2012

I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk...

Persistent link: https://www.econbiz.de/10012712521

The Timing of Mergers along the Production Chain, Capital Structure, and Risk Dynamics

Tarsalewska, Monika - 2015

I demonstrate that the timing of vertical mergers is generally dependent on industry characteristics. My predictions are consistent with empirically observed patterns of vertical mergers. I show that merger activity during economic upturns tends to be motivated by operating efficiencies, while...

Persistent link: https://www.econbiz.de/10013036756

Tax Asymmetry, Production and Hedging

Eldor, Rafi (Rafael) - 2014

The paper studies the effect of tax asymmetry on (risk neutral) competitive firm's production and optimal hedging behavior under price uncertainty. Assuming that the tax rate on profits is higher than the compensation rate for losses, we show that: (a) in the absence of risk sharing arrangements...

Persistent link: https://www.econbiz.de/10013061564

Value at Risk and Inventory Control

Tapiero, Charles - ESSEC Business School - 2003

The purposes of this paper are two-fold. On the one hand, we shall provide a decision analysis justification for the Value at Risk (VaR) approach based on ex-post, disappointment decision making arguments. We shall show that the approach is justified by a disappointment criterion. In other...

Persistent link: https://www.econbiz.de/10005021661

Community Rhino Farms

Martin, Rowan - 2016

This document is the proceedings of a remarkable workshop held in Skukuza, Kruger National Park (KNP) from 17-19 September 2013 and jointly organised by SANParks and Resource Africa. The aim of the workshop was to set the stage for the development of rural community rhino farms on the boundary...

Persistent link: https://www.econbiz.de/10012981249

Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors

Bakshi, Gurdip; Chabi-Yo, Fousseni - Charles A. Dice Center for Research in Financial … - 2011

When the transitory component of the stochastic discount factors (SDFs) prices the long-term bond, and the permanent component prices other assets, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent...

Persistent link: https://www.econbiz.de/10009150578

LIBOR: Origins, economics, crisis, scandal, and reform

Hou, David; Skeie, David - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As … of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to … trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked …

Persistent link: https://www.econbiz.de/10011340948

Collusive Benchmark Rates Fixing

Boot, Nuria; Klein, Timo; Schinkel, Maarten-Pieter - 2017

The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may …

Persistent link: https://www.econbiz.de/10011819515

Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?

Klingler, Sven; Syrstad, Olav - 2023

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing … notes (FRNs) provides an ideal laboratory to study these e ects. Comparing the spreads of FRNs linked to LIBOR and SOFR …

Persistent link: https://www.econbiz.de/10014551704