The mean-variance portfolio optimization theory of Markowitz assumes that stock returns are distributed according to normal probability density functions (pdfs). In reality, stock returns are more accurately described by leptokurtic pdfs which have kurtosis greater than zero. Stocks with...

This paper examines the pricing and performance of initial public offerings (IPOs) in the Stock Exchange of Thailand (SET) from February 1997 to October 2008. Underpricing is calculated using headline underpricing, underpricing issuer loss, underpricing loss by market value, and underpricing...

This paper examines the pricing and performance of ordinary, venture capital and private equity-backed initial public offerings in the Australian stock market from June 1996 to May 2007. Headline underpricing, underpricing issuer loss, underpricing loss by market value, and underpricing loss by...

The measurement of credit quality is at the heart of the models designed to assess the reserves and capital needed to support the risks of both individual credits and portfolios of credit instruments. A popular specificatio for credit-rating transitions is the simple, time-homogeneous Markov...

The empirical analysis of corporate financial behaviour show the relevance of an approach able to nest both Trade-Off and Pecking-Order theoretical considerations. While we believe that the good empirical performance of the nested model is due to companies genuinely opting for a mixed behaviour,...

The paper tests if the theory known as Pecking Order Theory provides empirical explanation for the capital structure of Brazilian firms. According to this theory, the capital structures would result from a hierarchy of financial decisions where internally generated resources would have first...

The purpose of this study is to explore empirically the link between corporate diversification and magnitude of risk through the channel of Cash Flow-at-Risk models (C-FaR). The Cash-Flow-at-Risk models (C-FaR) where constructs tailored cash flows distributions for diversified firms for a...

Intangibles are gaining more and more importance for the management of companies. The working group quot;Accounting and Reporting of Intangible Assetsquot; (WGARIA) of the Schmalenbach Gesellschaft seeks to inspire the discussion of a better representation of intangibles in financial reporting....

In this paper we represent a financial system using a weighted directed graph model. We simulate and analyze the impact of financial regulations regarding the collateralization of derivative trades on systemic risk, employing a novel open source risk engine. The analysis finds that introducing...

This paper studies the impact that pre-IPO cash flow volatility has on the initial and long-term value of a publicly traded firm. From the perspective of corporate risk management theory, higher cash flow volatility should reduce value in the form of higher borrowing costs, reduced investment,...