Author: Alexandra E. MacKayPublisher:
ISBN:
Category :
Languages : en
Pages : 22
Book Description
Estimating Valuation Operators in Incomplete Markets with Noises
Valuation Operators in Incomplete Markets
Author: Alexandra E. MackayPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper addresses the issue of term structure estimation when theory indicates there is a multiplicity of discount vectors, and, due to noisy price data, empirically not even one of the multiplicities can be found. We examine the question of how to find pricing bounds in such a situation and develop a general pricing methodology which can be used. This general pricing framework specifically addresses the issue of the theoretical existence of a multiplicity of discount vectors. The new methodology is linked to the more traditional pricing methodology, regression techniques. This work is closely related to that of Hansen and Jagannathan (1991, 1994), and to the literature which has developed from their work. The question of how to estimate stochastic discount factors in complete markets where observed prices allow arbitrage has been overlooked. We consider this in the context of the market for fixed income securities, and show how it can be used to price bonds. Recent empirical studies in the US market have concluded that there is a puzzle in the pricing of options implicit in callable bonds. These studies find that the implicit option has a negative value. Preliminary evidence from Canadian market studies concludes that the option implicit in extendible bonds also has a negative price. This paper will attempt to put the puzzle in a broader perspective. The pricing puzzle of options implicit in callable and extendible bonds may well prove to be a case in point where the new methodology can lead the way to a puzzle solution. Brief consideration is given to possible extensions of this research.
Journal of Banking & Finance
Author: Dissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 548
Book Description
Abstracts of dissertations available on microfilm or as xerographic reproductions.
Valuation Approaches and Metrics
Author: Aswath DamodaranPublisher: Now Publishers Inc
ISBN: 1601980140
Category : Business & Economics
Languages : en
Pages : 102
Book Description
Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.
The Routledge Companion to Financial Accounting Theory
Author: Stewart JonesPublisher: Routledge
ISBN: 1135107254
Category : Business & Economics
Languages : en
Pages : 791
Book Description
Financial accounting theory has numerous practical applications and policy implications, for instance, international accounting standard setters are increasingly relying on theoretical accounting concepts in the creation of new standards; and corporate regulators are increasingly turning to various conceptual frameworks of accounting to guide regulation and the interpretation of accounting practices. The global financial crisis has also led to a new found appreciation of the social, economic and political importance of accounting concepts generally and corporate financial reporting in particular. For instance, the fundamentals of capital market theory (i.e. market efficiency) and measurement theory (i.e. fair value) have received widespread public and regulatory attention. This comprehensive, authoritative volume provides a prestige reference work which offers students, academics, regulators and practitioners a valuable resource containing the current scholarship and practice in the established field of financial accounting theory.
The Black Diamond
Author: The Economics and Politics of Accounting
Author: Christian LeuzPublisher: Oxford University Press, USA
ISBN: 9780199286782
Category : Business & Economics
Languages : en
Pages : 448
Book Description
For the most part we have accepted the impartiality and objectivity of accounting and not recognized how accounting systems are embedded in a country's economic and legal framework. In this book, international scholars address a number of important questions about the role of accounting in society.
Proceedings of Workshop on Farm Sector Financial Accounts, April 14-15, 1977
Author: Ex Post Economic Evaluation of Competition Policy
Author: Fabienne IlzkovitzPublisher: Kluwer Law International B.V.
ISBN: 9403512822
Category : Law
Languages : en
Pages : 546
Book Description
Competition authorities are increasingly interested in understanding the impact of their activities on markets and consumers. The goal is to improve competition policy rules and decision-making practices and to get robust evidence on the benefits of competition and competition policy for society as a whole. Discussions with competition authorities, practitioners and academics have shown the need to take stock of the experience gained in this field by the European Commission and to present it in an easily accessible way. The studies collected in this volume – prepared by senior Commission officials and competition policy experts – range from the ex post evaluation of specific policy interventions to the assessment of the broader impact of competition policy. The issues and topics examined include the following: objectives and scope of evaluations by the European Commission; description of counterfactual evaluation techniques used; conditions for a successful ex post evaluation of a competition policy intervention; a wide selection of individual cases covering a variety of economic sectors; applications in merger control, antitrust and State aid; direct benefits of competition policy interventions for consumers; deterrent effects of such interventions on market participants; and macroeconomic outcomes in terms of job creation, productivity and GDP growth. This matchless book assembles within a single volume all that is needed for competition policy analysts and practitioners to undertake ex post economic evaluations. While its collection of state-of-the-art ex post evaluation studies has a clear value for competition authorities, it is sure to be welcomed as well by competition law practitioners in the private sector, who will greatly appreciate the effort made to cast a critical eye on decisions taken in the past. Moreover, it allows for addressing some of the new challenges facing competition policymakers. Fabienne Ilzkovitz is Principal Advisor responsible for the economic evaluation of competition policy within the Directorate-General for Competition of the European Commission, and since 2014, she has coordinated various ex post evaluation projects in the Directorate-General. She is also Associate Professor of Economics in the Solvay Brussels School of Economics and Management at the Université Libre de Bruxelles, Belgium. Adriaan Dierx is Senior Expert on ex post economic evaluation within the Directorate-General for Competition of the European Commission. He has managed a number of studies aimed at assessing the economic impact of the European Commission’s competition policy interventions.