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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 with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...

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

Right-of-Use Assets

Nissim, Doron - 2023

Accounting Standard Codification (ASC) Topic 842, which is effective since 2019, requires balance sheet recognition of operating lease obligations and right-of-use (ROU) assets. For many firms, the implementation of this standard resulted in a large increase in reported operating assets, thus...

Persistent link: https://www.econbiz.de/10014359150

Economic Consequences of Idiosyncratic Information in Diversified Markets

Gao, Pingyang - 2012

While most accounting information is idiosyncratic in nature, economy-wide factors such as accounting standards affect the quality of idiosyncratic accounting information of many firms simultaneously. We study idiosyncratic and systematic features of accounting information by embedding a...

Persistent link: https://www.econbiz.de/10013110426

Default probabilities and default correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Persistent link: https://www.econbiz.de/10010503718

Biased Beliefs, Asset Prices, and Investment : A Structural Approach

Alti, Aydogan - 2013

We structurally estimate a model in which agents' information processing biases can cause predictability in firms' asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biases -- overconfidence and over-extrapolation of trends -- that...

Persistent link: https://www.econbiz.de/10013093726

Evaluating Trading Strategies

Harvey, Campbell R. - 2019

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

Persistent link: https://www.econbiz.de/10012904784

Ambiguity, Risk, and Sentiment

Luo, Di - 2023

The impact of sentiment on asset prices varies during periods of low and high ambiguity and risk and across countries. Examining stock market returns across twenty-nine countries, we show that the predictability of sentiment is more pronounced when ambiguity is low in Australia, Canada, Czech...

Persistent link: https://www.econbiz.de/10014265401

Intellectual Property and Leverage : The Role of Patent Portfolios

Gill, Andrej - 2019

firms can use their patent stock as collateral and thereby relax possible debt financing restrictions. Using data from the … European Patent Office and balance sheet data of European companies, we find that larger and more valuable patent stocks lead …. Drawing on a legislative change in EU- law, allows us to establish a causal relationship between firms' patent portfolio and …

Persistent link: https://www.econbiz.de/10012860664

Asset Owners and Delegated Managers

Ang, Andrew - 2012

Asset owners (principals) typically do not manage their own investments and leave this job to delegated managers (agents). What is best for the asset owner, however, is usually not best for the fund manager. Additional agency conflicts arise when the asset owner does not know the quality and...

Persistent link: https://www.econbiz.de/10013103917

DVA for Assets

Kenyon, Chris - 2014

The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend Burgard&Kjaer (2011) to...

Persistent link: https://www.econbiz.de/10013064689