This paper shows the results of the numerical simulations carried out on a discounted cash flow-based enterprise valuation model created by the authors. It describes all the steps of a Monte Carlo type simulation in estimating equity capital value of an issuer listed on the Bucharest Stock...

This study investigates the determinants of credit ratings of firms and the impact of credit rating on firms’ performance and stock return for listed firms in Pakistan. For empirical analysis of this study, panel data of 63 financial and nonfinancial firms rated by Pakistan Credit Rating...

We investigate whether the performance of Private Equity (PE) investments is sufficient to compensate investors (LPs) for risk, long-term illiquidity, management and incentive fees charged by the general partner (GP). We analyze the LP's portfolio-choice problem and find that management fees,...

The paper analyses the common Russian assessment practice regarding the effectiveness of the unit investment fund portfolio management based on the risk/return tradeoff. In the authors? opinion, the assessment technique should not be only quantitative, but it should also reveal the risks hidden...

A detailed Net Present Value (NPV) model has been developed to evaluate the economic viability of an Integrated Gasification Combined Cycle – Membrane Reactor (IGCC-MR) power plant intended to provide an electricity generating and pure H2 (hydrogen) producing technology option with...

Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes...

This article focuses on two questions: In what circumstances should a Copula- GARCH model be preferred to a correlation-based model? And, where appropriate, what Copula-model parameters should be used? In answer to these two questions, the empirical value at risk and expected shortfall study...

Do entrepreneurs consider the risk of their business equity when making investment portfolio allocations? Many people compartmentalize different risks and consider them separately, called mental accounting. Alternatively, the risk substitution hypothesis suggests that entrepreneurs would offset...

The aim of this work is to find the dynamics of interdependencies and similarities between European, American and Asian stock markets. The investigation covers daily returns of 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model...

Bajo el supuesto de que una serie de retornos es independiente e idénticamente distribuida (IID), la dimensión temporal del riesgo es irrelevante. De esta forma, la volatilidad calculada sobre un intervalo de tiempo (e.g. mensual) puede ser estimada a partir de la calculada sobre otro...