Previous studies of corporate stock repurchase programs found low efficiency (high execution cost), questionable performance (inconsistent profitability), idiosyncratic transaction reporting (monthly cost reports may not match actual monthly transactions), archaic shareholder accounting...

This work outlines a model used to estimate the fair value (or current exit value according to IASB terminology) of Italian participating policies. The two characterizing features of Italian participating policies are adequately considered (the model considers stochastic interest rates and bond...

To an increasing degree, companies are interested in the separate value of intangible assets. The need for separate valuation partly arises from new international accounting standards of the International Accounting Standards Board. Under certain conditions, these accounting standards allow the...

The case of Evergreen Solar (ESLR) suggests counterparty risk exposure be added to the litany of misgivings on the economic efficiency, absolute performance, and governance conflicts of ASRs. Evergreen Solar in July 2008 issues a convertible, enters into an offsetting, broker-backed long...

We investigate the use of a warrant-pricing approach to incorporate employee stock options (ESOs) into equity valuation and to account for the dilutive effect of ESOs in the valuation of option grants for financial reporting purposes. Our valuation approach accounts for the jointly determined...

This paper investigates whether Statement of Financial Accounting Standards No. 119 (SFAS 119) disclosures are useful for assessing the sensitivity of a firm's equity return to currency fluctuations (currency exposure). First, the study demonstrates how the notional amount and fair value of...

This paper investigates whether the notional amounts of derivative financial instruments contain relevant information about derivatives risk. The issue is addressed using a derived relation between the sensitivity of equity return to currency fluctuations (hereafter, FX sensitivity) and the...

This article solves a model that links earnings quality to the equity risk premium in an infinite-horizon consumption CAPM economy. In the model, risk-averse traders hold diversified portfolios consisting of a risk-free bond and shares of many risky firms. When constructing their portfolios,...

Many of the Financial Accounting Standards Board's current agenda items relate to measuring financial instruments' fair values, many of which have option-like characteristics. This study presents evidence on the potential practical applicability of using option pricing theory to account for one...

There is an increasing consensus within banks, on the need to recognize the impact of rising capital requirements on their derivative business in the form of capital valuation adjustment (KVA). However, because of varied reasons, there are still concerns over how exactly KVA should be computed,...