We numerically solve systems of Black–Scholes formulas for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the options are re-priced using these...

We provide an extensive set of alternative models for the estimation of the real cost of equity in a sample of utilities firms in Brazil with monthly data from March 2006 to June 2011. The traditional CAPM is rejected, together with the Fama-French factors, due to a poor fit. Additional factors...

Purpose – The purpose of this paper is to use data on new apartment offerings in the municipality of Sao Paulo, Brazil to illustrate its main claim that the hedonic direct method using time dummies as well as the simple average method include cyclical behavior of observables and...

Purpose This paper aims to empirically investigate the market-to-book/return on equity valuation model. Design/methodology/approach The authors use a worldwide commodities sector panel of 6,323 firms from 69 countries with annual observations from 1999 to 2010 to estimate panel ordinary least...