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De and re-levering betas with risky debt

Krause, Marko Volker - In: Business research 12 (2019) 2, pp. 703-720

-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying …

Persistent link: https://www.econbiz.de/10012256377

Private Capital : Expected Return and Risk, Asset Allocation

Verbiest, Eddy H. - 2022

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

Persistent link: https://www.econbiz.de/10014238291

Investment size and firm's value under profit sharing regulation

Moretto, Michele; Panteghini, Paolo; Scarpa, Carlo - 2003

In this article we analyse the effects of different regulatory schemes (price cap and profit sharing) on a firm s investment of endogenous size. Using a real option approach in continuous time, we show that profit sharing does not affect a firm s start-up decision relative to a pure price cap...

Persistent link: https://www.econbiz.de/10011509471

Network Externalities and Real Option Evaluation

Sahut, Jean-Michel - 2012

This paper provides a conceptual framework to analyze investment projects with networks externalities. In the presence of such effects, consumers make their choice of consumption according to the number of people having already adopted the product or the service. The process of diffusion of such...

Persistent link: https://www.econbiz.de/10013115238

Toward a Behavioral Theory of Real Options : Noisy Signals, Bias, and Learning

Posen, Hart E. - 2020

We develop a behavioral theory of real options that relaxes the informational and behavioral assumptions underlying … applications of financial options theory to real assets. To do so, we augment real option theory's focus on uncertain future asset … values (prospective uncertainty) with feedback learning theory that considers uncertain current asset values (contemporaneous …

Persistent link: https://www.econbiz.de/10012856401

Real Option Exercise Decisions in Information Technology Investments : a Comment

Schosser, Josef - 2021

The paper comments on Khan et al. (J Assoc Inf Syst 18(5):372–402, 2017), who study real option exercise decisions in the context of a single IT project and in a portfolio setting, respectively. The issues identified concern the concept of (economic) rationality and the treatment of project...

Persistent link: https://www.econbiz.de/10013252156

A Real Options Model to Determine the Optimal Contractual Penalty for a BOT Project

Ribeiro, Joao Adelino; Pereira, Paulo Jorge; Brandao, Elisio - 2021

Public-Private Partnerships (PPP) became one of the most common types of public procurement arrangements and Build-Own-Transfer (BOT) projects, awarded through adequate bidding competitions, have been increasingly promoted by governments. The theoretical model herein proposed is based on a...

Persistent link: https://www.econbiz.de/10013213751

Time (In)Consistency and Real Options : Much Ado About Nothing?

Schosser, Josef - 2016

on the exercise timing of such options to defer an investment. It complements earlier work on this issue covering risk …

Persistent link: https://www.econbiz.de/10012996843

Investment Size and Firm's Value Under Profit Sharing Regulation

Moretto, Michele; Panteghini, Paolo M.; Scarpa, Carlo - 2008

In this article we analyse the effects of different regulatory schemes (price cap and profit sharing) on a firm's investment of endogenous size. Using a real option approach in continuous time, we show that profit sharing does not affect a firm's start-up decision relative to a pure price cap...

Persistent link: https://www.econbiz.de/10014075032

Concession Length and Investment Timing Flexibility

Moretto, Michele; D'Alpaos, Chiara; Dosi, Cesare - 2005

. Moreover, the real option theory suggests that investment flexibility has an intrinsic value, as it allows concessionaires to …

Persistent link: https://www.econbiz.de/10014066566