Valuation Effects of Greek Stock Dividend Distributions

This study analyses the price reaction to stock dividend distributions by firms listed on the Athens Stock Exchange on both the announcement and the ex‐dividend day. It also analyses earnings per share, dividends per share and trading volume in the pre‐ and post‐announcement periods. The findings show statistically insignificant abnormal returns on both the announcement and the ex‐dividend day. The analysis does not reveal any significant change in earnings per share and dividends per share, but it does reveal a significant decline in the market‐adjusted trading volume in the post dividend period. The findings, based on a different institutional environment, expand the empirical evidence on the value effects of stock dividends.     

Bank Employee Incentives and Stock Purchase Plans Participation

We investigate which factors influence 44,649 employees’ decision to invest in a top retail banking group in France. We have two objectives: (i) to explore factors associated with the amount invested in the plan, and (ii) to explore whether these factors have same associations with the probability of investing more than the incentive pay i.e. being an active investor. Specifically, we focus on four parameters that have been shown to affect participation: liquidity constraints, imperfect knowledge of the plan, asset choice, and transaction costs. We confirm Engelhardt and Madrian (Natl Tax J 57:385–406, 2004) assumptions according to which such factors contribute to explain non-participation. We show that ESPP contributors have very specific and unobserved motivations, as shown with the positive correlations between error terms in the two steps of investment decisions. The existence of unobservable investment motives can be explained by a lower risk aversion, a higher time preference, or a strong willingness to participate to corporate governance.     

市场呼唤完善评估方法

面对知识经济时代的到来,完善资产评估方法是我国资产评估业的迫切需要.我们惯用的成本法将受到很大局限,要研究采用什么方法才能把知识经济时代的企业价值反映出来,特别是要研究如何使用国际上通行的市场法及其他投资估价方法.     

Voluntary Contributions to Personal Pension Plans: Evidence from the British Household Panel Survey

In this paper, we use data from the British Household Panel Survey (BHPS) for the years 1992 to 1998 to study the determinants of saving in the form of voluntary contributions to personal pension plans (PPPs). We first estimate a probit model with selection for the probability of making these voluntary contributions. We then estimate a random‐effects tobit regression for the amounts contributed and compare the results with those of a similar regression for conventional saving. Our findings suggest that voluntary contributions to PPPs are made essentially for retirement purposes, whereas conventional saving is undertaken for precautionary motives. The former type of saving is thus unlikely to offset the latter completely.     

The Valuation of Stock Purchase Rights as Call Options

The predictability of rights valuation models is tested, viewing the rights as call options. The results show that rights valuation models, on average, overprice the rights. The bias in the model prices of rights found in this paper is opposite to that predicted by Merton. Among several factors considered, possible volatility changes associated with raising capital through a rights offering account for some of the observed pricing deviation. A further regression analysis shows that while the pricing deviation is positively related to both the degree that the rights are in the money and the allocation ratio, it is negatively related to the time to expiration and the daily trading volume of the rights.     

A Simple Nonparametric Approach to Derivative Security Valuation

Canonical valuation uses historical time series to predict the probability distribution of the discounted value of primary assets' discounted prices plus accumulated dividends at any future date. Then the axiomatically-rationalized maximum entropy principle is used to estimate risk-neutral (equivalent martingale) probabilities that correctly price the primary assets, as well as any predesignated subset of derivative securities whose payoffs occur at this date. Valuation of other derivative securities proceeds by calculation of its discounted, risk-neutral expected value. Both simulation and empirical evidence suggest that canonical valuation has merit.     

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the specification of the cross-sectional regressions with Laguerre polynomials used in Longstaff and Schwartz (2001) with alternative specifications and show that some of these have numerically better properties. Furthermore, each of these specifications leads to a trade-off between the time used to calculate a price and the precision of that price. Comparing the method-specific trade-offs reveals that a modified specification using ordinary monomials is preferred over the specification based on Laguerre polynomials. Next, we generalize the pricing problem by considering options on multiple assets and we show that the LSM method can be implemented easily for dimensions as high as ten or more. Furthermore, we show that the LSM method is computationally more efficient than existing numerical methods. In particular, when the number of assets is high, say five, Finite Difference methods are infeasible, and we show that our modified LSM method is superior to the Binomial Model.     

国有土地收购价格的内涵及评估探析

建立和实施土地收购储备制度,土地收购性质均为强制性的买卖关系,而土地收购价评估值则应具有市场性.国有出让土地和国家划拨土地权力状况的差异,决定了收购价格内涵的差异.土地收购评估只是对原用途的评估,而不应与规划用途或改变用途后的价格联系起来.     

A Fundamental Analysis Approach to Oil and Gas Firm Valuation

Most fundamental analysis studies have focused on fundamentals selected by a data-driven approach on large samples of firms from numerous industries. This paper reports the results of a fundamental analysis of a single industry, the US oil and gas exploration and production industry, using variables identified by industry financial analysts. The results demonstrate a significant relationship between a number of the fundamentals with both the market value of equity and cumulative stock return. The results also suggest that the fundamentals provide incremental information beyond earnings, change in earnings, and book value of equity when explaining equity values and stock returns.     

Linear Information Dynamics,Dividend Irrelevance,Corporate Valuation and the Clean Surplus Relationship

This paper adopts the linear information dynamics framework pioneered in Ohlson (1979) and Garman and Ohlson (1980) (and subsequently used in, in particular, Ohlson, 1989, 1995 and Feltham and Ohlson, 1995) for thinking about desirable properties of earnings numbers in the context of the market valuation of firms, where such valuations are fundamentally based on expected future dividends. The first purpose of this paper is to consider the valuation-relevance of clean surplus earnings when there are two distinct components of clean surplus earnings whose evolutions are governed, along with book value and dividends, by a system of linear information dynamics, and dividend irrelevancy holds. The system of linear information dynamics assumed ensures that corporate value is a linear combination of the two components of clean surplus earnings, book value and dividends. One question becomes—under what circumstances are clean surplus earnings (combined with book value and dividends) sufficient for corporate valuation without a knowledge of the breakdown of clean surplus earnings into its separate components? This paper develops the conditions defining these circumstances. At the other extreme, another question can be asked—under what circumstances is one component of clean surplus earnings irrelevant to corporate valuation? This paper identifies some conditions that identify these latter circumstances. The second purpose of the paper is to identify implications of these results for both the traditional arguments about the desirability of measuring earnings on a clean surplus basis and also the more contemporary issues surrounding FRS3. A third purpose is to discuss the implications of the overall analysis for the empirical testing of the relationship between market prices and earnings numbers, and for empirically-justified definitions of maintainable earnings.     

A Synthesis of Equity Valuation Techniques and the Terminal Value Calculation for the Dividend Discount Model

This paper lays out alternative equity valuation models that involve forecasting for finite periods and shows how they are related to each other. It contrasts dividend discounting models, discounted cash flow models, and residual income models based on accrual accounting. It shows that some models that are apparently different yield the same valuation. It gives the general form of the terminal value calculation in these models and shows how this calculation serves to correct errors in the model. It also shows that all models can be interpreted as providing a particular specification of the terminal value for the dividend discount model. In so doing it shows how one calculates the terminal value for the dividend discount formula. The calculation involves weighting forecasted stocks and flows of value with weights determined by a parameter that can be discovered from pro forma analysis.     

The Impact of Antitakeover Devices on the Valuation Consequences of Voluntary Corporate Selloffs

This study reveals that there are valuation differences in the announcement effects among firms engaged in interfirm asset sales. Even though, in the aggregate, these selloffs result in significant increases in share prices, there is a group of firms that experience no significant increases in shareholder wealth. These are firms that have adopted antitake-over devices prior to announcing corporate selloffs. For these firms, public perception about management's intention has been altered to the extent that the selloffs are interpreted as a way to consolidate the antitakeover position of the management.     

A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts, the theory of contingent claims pricing is a particularly well-suited framework for the analysis of their valuation.The eventual benefits (or pay-offs) from the contracts considered crucially depend on the history of returns on the insurance company's assets during the contract period. This path-dependence prohibits the derivation of closed-form valuation formulas but we demonstrate that the dimensionality of the problem can be reduced to allow for the development and implementation of a finite difference algorithm for fast and accurate numerical evaluation of the contracts. We also demonstrate how the fundamental financial model can be extended to allow for mortality risk and we provide a wide range of numerical pricing results.     

收益法在企业价值评估中的应用研究

收益法在企业价值评估中的应用研究是当前评估行业发展过程中的一项重大课题.本文在阐明收益法是一种相对科学的企业价值评估首选方法的基础上,针对我国企业价值评估的现状及存在的问题,就收益法评估中参数的选择与确定方法提出了自己的观点.     

Survey and Market-based Evidence of Industry-dependence in Analysts' Preferences Between the Dividend Yield and Price-earnings Ratio Valuation Models

Prior research has shown that analysts' preferred valuation models are the price-earnings (PE) ratio and the dividend yield. This paper presents strong evidence that the relative importance of these two models varies according to stock market sector. Companies in the services, industrials and consumer goods sectors are shown to be 'PE-valued' while financials and utilities companies are shown to be 'yield-valued'. These findings are derived from survey research and then tested in a market-based model. This use of independent, mutually reinforcing research methods contributes to the robustness of the findings.     

资产基础法下递延所得税评估处理初探

《企业会计准则2006》实施后,评估师在采用资产基础法对企业价值进行评估时,时常面临对递延所得税资产或递延所得税负债进行处理的问题。本文从以下三个方面对此问题进行讨论：一是递延所得税资产、递延所得税负债能否以账面值列入评估结论;二是评估中如果要确认递延所得税资产、递延所得税负债应注意的问题;三是递延所得税资产、递延所得税负债评估处理方式的选择。     

环境税的倍加红利分析

环境的恶化不但直接影响着我国人民的生存质量，而且制约着我国社会经济的协调发展。运用税收手段保护环境，是十分必要的。在实践中，我们应该重视发挥环境税的倍加红利作用，利用环境税刺激外部经济，减轻合乎环境保护要求的企业所承受的税收负担。     

市场法在企业价值评估中应用的研究

本文论证了市场法评估企业价值的内在机理,根据当前我国进行企业价值评估的环境条件,分析了应用市场法评估企业价值的技术路线及工作方案。     

Dividend Dynamics and the Term Structure of Dividend Strips

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes that generate stationary leverage ratios. Under such policies, shareholders are forced to divest (invest) when leverage is low (high), which shifts risk from long‐ to short‐horizon dividend strips.