共查询到20条相似文献,搜索用时 906 毫秒
1.
Aleksandar Mijatović 《Finance and Stochastics》2010,14(1):13-48
A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(S
T
) at expiry T if neither of the continuous time-dependent barriers b
±:[0,T]→ℝ+ have been hit during the time interval [0,T]. Using a probabilistic approach, we obtain a decomposition of the barrier option price into the corresponding European option
price minus the barrier premium for a wide class of payoff functions φ, barrier functions b
± and linear diffusions (S
t
)
t∈[0,T]. We show that the barrier premium can be expressed as a sum of integrals along the barriers b
± of the option’s deltas Δ
±:[0,T]→ℝ at the barriers and that the pair of functions (Δ
+,Δ
−) solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the
case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case. 相似文献
2.
Randy E. Dumm G. Stacy Sirmans Greg Smersh 《The Journal of Real Estate Finance and Economics》2011,42(1):30-50
Some research shows that homes built under tougher building codes perform better in hurricanes. While houses built after the
implementation of the stronger building codes could be presumed to be “safer”, no study has measured the extent to which stricter
building codes are capitalized into improved property. This study measures the capitalization of stricter building codes into
house prices. In addition, the study examines whether homebuyers attach greater value to the stricter building codes after
the “reality check” of the 2004 and 2005 hurricane seasons. A hedonic pricing model is used to capture the differential effect
on house prices of the stricter 1994 South Florida Building Code for properties sold from 2000 through 2007 in Miami-Dade
County. The model also measures any increase in the marginal value of the stronger building code after the 2004/2005 storm
season. Models are estimated for the aggregate data and for three geographical zones based on risk exposure. Results show
that the stricter building code has a positive effect on selling price. The greatest effect is seen in the coastal zone, which
has the greatest risk exposure. Selling prices for homes built under the new code were about 10.4% higher than prices for
comparable homes built under the older, less strict code. The premium for safety is shown to decrease as the hurricane risk
exposure decreases. For geographical areas with less risk exposure, there is less capitalization of the stricter building
code into house prices. The post-catastrophe (“reality check”) variables show that, following the minimal impact of the 2004
hurricanes on the Miami area, the premium that consumers are willing to pay for structural integrity disappears. However,
after the 2005 hurricanes, which were more devastating to the Miami area, the building code premium returns. 相似文献
3.
Alfredo Ibáñez 《Review of Derivatives Research》2008,11(3):205-244
Existing evidence indicates that average returns of purchased market-hedge S&P 500 index calls, puts, and straddles are non-zero
but large and negative, which implies that options are expensive. This result is intuitively explained by means of volatility
risk and a negative volatility risk premium, but there is a recent surge of empirical and analytical studies which also attempt
to find the sources of this premium. An important question in the line of a priced volatility explanation is if a standard
stochastic volatility model can also explain the cross-sectional findings of these empirical studies. The answer is fairly
positive. The volatility elasticity of calls and puts is several times the level of market volatility, depending on moneyness
and maturity, and implies a rich cross-section of negative average option returns—even if volatility risk is not priced heavily,
albeit negative. We introduce and calibrate a new measure of option overprice to explain these results. This measure is robust
to jump risk if jumps are not priced.
相似文献
4.
We argue that, ceteris paribus, introducing a habit that resolves the equity–premium puzzle is equivalent to increasing the Arrow-Pratt coefficient of relative
risk aversion, AP-RRA. If we constrain the AP-RRA to a constant ‘acceptable’ level, the effect on the equity premium is quantitatively
insignificant. In a dynamic setting, the fluctuations of the habit increase the equity premium, slightly, though generates
unrealistic fluctuations in the risk-free interest rate. We conclude a habit is observationally equivalent, up to a first-order
approximation, to a higher AP-RRA and to a preference shock. These effects cannot resolve the equity–premium puzzle.
相似文献
5.
Fabian Hollstein Marcel Prokopczuk Björn Tharann Chardin Wese Simen 《European Journal of Finance》2019,25(10):937-965
We comprehensively analyze the predictive power of several option-implied variables for monthly S&P 500 excess returns and realized variance. The correlation risk premium (CRP) and the variance risk premium (VRP) emerge as strong predictors of both excess returns and realized variance. This is true both in- and out-of-sample. Our results also reveal that statistical evidence of predictability does not necessarily lead to economic gains. However, a timing strategy based on the CRP leads to utility gains of more than 5.03% per annum. Forecast combinations provide stable forecasts for both excess returns and realized variance, and add economic value. 相似文献
6.
The fastest growing segment of private equity deals is secondary buyouts (SBOs) sales from one private equity (PE) firm to another. We operationalize a novel FactSet database to map the network structures of secondary buyouts between PE firms. We offer three contributions. First, after controlling for economic covariates, we find that PE firms are almost three times more likely to transact if they share a partner, that is both firms belong to the same clique. Second, we find that the profitability of such transactions is unambiguously higher relative to the baseline only if these are the result of repeated interaction between firms belonging to the same cliques. In other words, a clique premium exists under repeated interaction. Third, we provide evidence that the economic incentive at the core of clique premium may be related to access to information. In fact, we show that information related to transactions diffuses through the network, with 23% and 16% of the information going one and two steps beyond transacting parties, respectively. 相似文献
7.
Peter LØchte JØrgensen 《Review of Derivatives Research》1996,1(3):245-267
Arbitrage-tree pricing of American options on bonds in one-factor dynamic term structure models is investigated. We re-derive a general decomposition result which states that the American bond option premium can be split into the value of an otherwise equivalent European option and anearly exercise premium. This extends earlier work on American equity options by e.g. Kim (1990), Jamshidian (1992) and Carr, Jarrow, and Myneni (1992) and parallels recent work by Jamshidian (1991, 1992, 1993) and Chesney, Elliott, and Gibson (1993). We examine a Gaussian class of special cases in some detail and provide a variety of numerical valuation results.An earlier version of the paper was entitled American Bond Option Pricing in One-Factor Spot Interest Rate Models.I am grateful for many helpful comments from two anonymous referees, the participants of the Second Nordic Symposium on Contingent Claims Analysis in Finance held in Bergen, Norway in May of 1994 and from the participants of the EIASM Doctoral Tutorial held in connection with the 1994 EFA annual meeting in Bruxelles. I am particularly indebted to Krishna Ramaswamy for his help and advice during my stay as visiting doctoral fellow at the Wharton School of the University of Pennsylvania. Financial support from the Aarhus University Research Foundation (Grants # E-1994-SAM-1-1-72 & E-1995-SAM-1-59), the Danish Social Science Research Council, and the Danish Research Academy is gratefully acknowledged. All errors and omissions are my own. 相似文献
8.
We examine whether initial public offering (IPO) firms exercise discretion over an individual accrual account on the balance
sheet—the allowance for uncollectible accounts—and an individual accrual account on the income statement—bad debt expense.
Our research design exploits a unique disclosure requirement related to these accounts (i.e., the ex post disclosure of write-offs
of uncollectible accounts), which enables us to develop refined expectation models. We provide evidence that IPO firms have
conservative, not aggressive, allowances in the annual periods adjacent to their stock offerings. In fact, the average IPO
firm has an allowance that is over four-times leading write-offs. We also provide evidence that IPO firms record larger, not
smaller, bad debt expense and are less likely to record income-increasing bad debt expense than matched non-IPO firms. These results challenge the view that IPO firms understate receivables-related
accrual accounts. 相似文献
9.
Efraim Berkovich 《Annals of Finance》2011,7(3):389-405
I examine loan data from Prosper.com—a website which allows borrowers to post loans and for lenders to bid on those loans.
The Prosper market somewhat resembles the theoretical model of search, herding, and crowding in a large market described in
Berkovich and Tayon (Phd. dissertation—Essays on search and herding. University of Pennsylvania, Pennsylvania, 2009). That model predicts that assets with high and low prices have high variance in the difference between price and true value.
These extreme price regions of the asset-space are where private information provides excess returns. In the Prosper market,
I find some evidence for the model since loans with low ex post returns show higher variance of the difference between price and ex post return. I also find that high-priced loans provide excess returns even after accounting for risk-aversion. 相似文献
10.
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime
consumption result in the same optimal investment strategy on a given open interval O in wealth space. To answer this question, we equate the two investment strategies and show that if the individual consumes
at the same rate in both problems—the consumption rate is a control in the problem of maximizing utility—then the investment
strategies are equal only when the consumption function is linear in wealth on O, a rather surprising result. It then follows that the corresponding investment strategy is also linear in wealth and the
implied utility function exhibits hyperbolic absolute risk aversion.
相似文献
11.
Paul K. Asabere Forrest E. Huffman 《The Journal of Real Estate Finance and Economics》2009,38(4):408-419
This study examines the impacts of trails and greenbelts and other amenities on home value. Using the hedonic framework the
study provides analyses of a database consisting of roughly 10,000 sales of homes occurring from April 2001 to March 2002
in and around San Antonio, Bexar County, Texas. Among other things, our study shows that trails, greenbelts, and trails with
greenbelts (or greenways) are associated with roughly 2, 4, and 5%, price premiums, respectively. The following amenities:
proximity to golf course, neighborhood playground, tennis court, neighborhood pool, view, and cul-de-sac, all add significantly
to home value.
相似文献
Forrest E. HuffmanEmail: |
12.
Adrian Buckley 《European Journal of Finance》2013,19(3):165-180
The equity premium - the difference between the return achievable from investment in the equity market (RM ) and the risk-free rate of return (RF )- plays an important part in corporate finance. The expression equity premium (sometimes referred to as the equity risk premium) is used to denote the ex ante expectation of investors. The term excess return refers to the ex post achievement of stock returns over and above the risk-free return. If we compare US and UK returns, we find that total returns, real returns and the value of (RM - RF ) are all marginally higher for the UK. Summarized evidence appears in Table 1 and Table 6. Such greater returns may be due to an increased risk premium related to increasing unexpected inflation. Particularly important in estimating the equity risk premium is whether excess returns are measured using a geometric or an arithmetic mean return. To a significant extent, this question revolves around mean reversion in stock returns. Evidence of mean reversion is substantial, although it cannot be proved unequivocally. Given the weight of evidence of mean reversion, there may be a strong case for the use of a geometric mean with an equity premium of between 3% and 5% - or even less. 相似文献
13.
Kin Wai Lee Baruch Lev Gillian Hian Heng Yeo 《Review of Quantitative Finance and Accounting》2008,30(3):315-338
Much of the research on management compensation focuses on the level and structure of executives’ pay. In this study, we examine
a compensation element that has not received so far considerable research attention—the dispersion of compensation across managers—and its impact on firm performance. We examine the implications of two theoretical models
dealing with pay dispersion—tournament versus equity fairness. Tournament theory stipulates that a large pay dispersion provides
strong incentives to highly qualified managers, leading to higher efforts and improved enterprise performance, while arguments
for equity fairness suggest that greater pay dispersion increases envy and dysfunctional behavior among team members, adversely
affecting performance. Consistent with tournament theory, we find that firm performance, measured by either Tobin’s Q or stock performance, is positively associated with the dispersion of management compensation. We also document that the
positive association between firm performance and pay dispersion is stronger in firms with high agency costs related to managerial
discretion. Furthermore, effective corporate governance, especially high board independence, strengthens the positive association
between firm performance and pay dispersion. Our findings thus add to the compensation literature a potentially important
dimension: managerial pay dispersion.
相似文献
Gillian Hian Heng Yeo (Corresponding author)Email: |
14.
This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β–return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios with higher state βs earn higher returns. 相似文献
15.
Michele Fratianni 《Review of Finance》2006,10(4):487-506
San Giorgio (1407–1805) was a formal association aimed at protecting creditors’ rights and reducing the risk of debt repudiation by the Republic of Genoa. The behavior of this institution is broadly consistent with debt models that predict lending if lenders can impose big penalties on debtors, and models in which lenders can differentiate between excusable and inexcusable defaults. San Giorgio shareholders enjoyed low credit risk but also lower returns on capital than those prevailing on comparable foreign assets for which creditors’ protection mechanisms were lacking. The Republic’s quid pro quo was a low cost of financing. Differences in credit risk were an important explanation of differences in long-term interest rates across countries in 16th and 17th century Europe, a point not sufficiently emphasized by the literature. 相似文献
16.
Exit Options in Corporate Finance: Liquidity versus Incentives 总被引:2,自引:0,他引:2
This paper provides a first study of the optimal design of active monitors'exit options in a problem involving a demand for liquidity and costly monitoring of the issuer. Optimal incentives to monitor the issuer may involve restricting the monitor's right to sell her claims on the firm's cash-flow early. But the monitor will then require a liquidity premium for holding such an illiquid claim. In general, therefore, there will be a trade off between incentives and liquidity. The paper highlights a fundamental complementarity between speculative monitoring in financial markets (which increases the informativeness of prices) and active monitoring inside the firm: in financial markets where price discovery is better and securities prices reflect the fundamentals of the issuer better, the incentive cost of greater liquidity may be smaller and active monitoring incentives may be preserved. The paper spells out the conditions under which more or less liquidity is warranted and applies the analysis to shed light on common exit provisions in venture capital financing. 相似文献
17.
James Alm 《International Tax and Public Finance》2012,19(1):54-77
In this paper, I assess what we have learned about tax evasion since Michael Allingham and Agnar Sandmo launched the modern
analysis of tax evasion in 1972. I focus on three specific questions and the answers to these questions that have emerged
over the years. First, how do we measure the extent of evasion? Second, how can we explain these patterns of behavior? Third, how can we use these insights to control evasion? In the process, I illustrate my own answers to these questions by highlighting various specific examples of research.
My main conclusion is that we have learned many things but that we also still have many gaps in our understanding of how to
measure, explain, and control tax evasion. I also give some suggestions—and some predictions—about where promising avenues
of future research may lie. 相似文献
18.
William G. HardinIII Kartono Liano Kam C. Chan Robert C. W. Fok 《Review of Quantitative Finance and Accounting》2008,31(3):225-240
The research productivity of board members of the top academic finance journals—Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Financial Management—is investigated. Discipline specific benchmarks for substantial research excellence are determined and an evaluation of influential
finance journals is presented. Publication in Journal of Finance is the most notable benchmark for selection to the editorial board of any of the finance journals evaluated. The results
imply that publishing one article in Journal of Finance, Journal of Financial Economics or Review of Financial Studies in a 5-year period coupled with additional appearances in the broader top tier finance journals would be representative of
exceptional research achievement.
相似文献
Robert C. W. FokEmail: |
19.
Spatial Dependence,Housing Submarkets,and House Price Prediction 总被引:1,自引:0,他引:1
Steven C. Bourassa Eva Cantoni Martin Hoesli 《The Journal of Real Estate Finance and Economics》2007,35(2):143-160
This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context.
Explicit modeling of the error structure is characterized as a relatively fluid approach to defining housing submarkets. This
approach allows the relevant submarket to vary from house to house and for transactions involving other dwellings in each
submarket to have varying impacts depending on distance. We conclude that—for our Auckland, New Zealand, data—the gains in
accuracy from including submarket variables in an ordinary least squares specification are greater than any benefits from
using geostatistical or lattice methods. This conclusion is of practical importance, as a hedonic model with submarket dummy
variables is substantially easier to implement than spatial statistical methods.
相似文献
Martin HoesliEmail: |
20.
An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts 总被引:2,自引:2,他引:0
Nicholas Dopuch Chandra Seethamraju Weihong Xu 《Review of Quantitative Finance and Accounting》2008,31(2):147-166
Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar
results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts,
and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings
are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent
with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable
(i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.
相似文献
Weihong Xu (Corresponding author)Email: |