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Ownership Structure, Incentives, and Asset Prices
Jung, Hae Won (Henny) - 2019
We develop a dynamic equilibrium model to derive testable time-series and cross-sectional implications for the endogenous relations among ownership concentration, managerial incentives, and asset prices. For a given firm at any date, ownership concentration is positively related to managerial...
Persistent link: https://www.econbiz.de/10012902578
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CAPM : The Model and 307 Comments About It
Fernandez, Pablo - 2019
about the CAPM: 234 basically agree in using the adjective “absurd” to qualify the CAPM and 71 do not agree for several …) their opinions: real opinions of real persons that know finance and have thought about the CAPM, the market return, the beta …
Persistent link: https://www.econbiz.de/10012904629
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CAPM : An Absurd Model
Fernandez, Pablo - 2019
The CAPM is about expected return. If you find a formula for expected returns that works well in the real markets …, would you publish it? Before or after becoming a billionaire?The CAPM is an absurd model because its assumptions and its … predictions/conclusions have no basis in the real world. The use of CAPM is also a source of litigation: many professors, lawyers …
Persistent link: https://www.econbiz.de/10012904691
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The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory
Le Marois, Olivier - 2019
distribution for assets return, we obtain the classical CAPM beta in LPT framework. We show that extreme risk underestimation by …-budgeting strategy significantly outperforms CAPM strategy type, implying that extreme risk is mispriced by the market …
Persistent link: https://www.econbiz.de/10012905661
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Are Item 1A Risk Factors Priced?
Ross, Landon - 2019
Public companies report “the most significant factors that make” their common stock ”speculative or risky” in section “Item 1A. Risk Factors” of their annual filings. This paper uses textual analysis to estimate common risks from Item 1A texts and study these risks' effect on public...
Persistent link: https://www.econbiz.de/10012889988
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Asset Prices and Welfare in the Restructured Lucas Orchard : An Equilibrium Framework for Mergers
Won, Kyungsub - 2019
Asset markets are frequently restructured through mergers, acquisitions, and securitization. Corporate restructuring activities reallocate assets across firms. The cumulative magnitude of corporate restructuring deals is so significant and durable at the macro level that they can have the...
Persistent link: https://www.econbiz.de/10012897739
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The Time-Varying Impact of Systematic Risk Factors on Corporate Bond Spreads
Klein, Arne - 2019
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10012898459
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Intangibles and Expected Stock Returns
Rizova, Savina - 2020
Intangible assets have always been part of the economic landscape. In this study we examine the impact of intangibles, both internally developed and externally acquired, on our ability to identify differences in expected stock returns. Our research does not find compelling evidence that we...
Persistent link: https://www.econbiz.de/10012822650
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Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Xiao, Tim - 2019
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default...
Persistent link: https://www.econbiz.de/10012867489
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Aggregation, Capital Heterogeneity, and the Investment CAPM
Gonçalves, Andrei - 2019
CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …
Persistent link: https://www.econbiz.de/10012868493