共查询到20条相似文献,搜索用时 0 毫秒
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A takeover success prediction model attempts to use information that is publicly available at the time of the announcement in order to predict the probability that a takeover attempt will succeed. This paper develops a takeover success prediction model by comparing two techniques: the traditional logistic regression model and the artificial neural network technology. To alleviate the problem of bias from the sampling variation, we validate our results through re-sampling. Our empirical results indicate that 1). Arbitrage spread, target resistance, deal structure and transaction size are the dominating factors that have impacts on the outcome of a takeover attempt. 2). Neural network model outperforms logistic regression in predicting failed takeover attempts and performs as well as logistic regression in predicting successful takeover attempts. 相似文献
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Mark Davis 《Finance and Stochastics》1997,2(1):19-28
For a Markov process , the forward measure over the time interval is defined by the Radon-Nikodym derivative , where is a given non-negative function and is the normalizing constant. In this paper, the law of under the forward measure is identified when is a diffusion process or, more generally, a continuous-path Markov process. 相似文献
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《Journal of Banking & Finance》1999,23(5):773-800
Long–short equity strategies allow investors to benefit potentially from both undervalued and overvalued securities. The present study develops a normative portfolio model under the practical conditions that a market-neutral strategy entails. The offsetting long and short equity holdings are established jointly and without any constraints by the underlying market index. While accurately capturing institutional procedures for short selling, the model contains the analytical and economic properties as required for a ranking approach to filter out any undesirable securities under consideration. In view of its practical features, the analysis should be of interest to practitioners for assisting their long–short investment decisions. 相似文献
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Managerial decisions regarding timing of inventory replenishment are as important as determining the economic order size in inventory management. Yet most of the introductory texts on cost/managerial accounting and production/operations management do not adequately discuss reorder point determination, especially the condition on lead time demand that is necessary for valid application of the commonly reported formula for the reorder point. A clear understanding of the reorder point determination is important to students, teachers, and practicing managers alike. This note attempts to explain the underlying condition and modification needed in the reorder point formula. 相似文献
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Doctoral students are often uncomfortable making oral presentations before their peers and the instructor. This paper describes a recent innovation employed in the doctoral programme of a major university which we feel has been useful not only in increasing the communication skills of our doctoral students, but has also enhancing the quality of doctoral students' dissertations as well as the teaching and presentation skill of staff involved in the programme. 相似文献
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A generalized distortion risk measure is introduced as power of the mean absolute deviation power of a distorted random variable with respect to a location parameter. This class of risk measures extends both the distortion risk measure by Wang and Denneberg and the class of financial risk measures by Pedersen and Satchell, which itself contains the class of Stone. Integral representations and a stop–loss order preserving property of a special up-side risk measure are derived. 相似文献
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In a recent article in this Journal, Christ presented a dynamic macroeconomic model which has the striking implication of instability under bond financing of budgetary deficits. In this paper, we show that the stability (and other fundamental) properties of Christ's model are closely related to the specification of the exogenous fiscal variables. This point is demonstrated through an analysis of Christ's model in which several definitions of government spending are taken as exogenous. As an alternative to this approach, we explore the implications of models in which alternative policy goals are specified as exogenous — goals such as a balanced or a zero gap between actual and potential output. 相似文献
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Jacob Paroush 《Journal of Banking & Finance》1981,5(2):277-280
Stochastic dominance rules have recently been suggested as criteria for efficient choice under uncertainty. However, the aspect of relative efficiency has been neglected, i.e., given any specific utility function u0, find the conditions imposed on F and G such that for all u?U (u0), where U(u0)={u| ? u′/u′ ≥ ? u″0/u′0}. This note suggests a necessary and sufficient condition for relative efficiency in the case that F and G cross other only once. Some applications are discussed. 相似文献
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There is a simple but overlooked way of capturing the wealth effect under CARA utility via making the absolute-risk aversion parameter wealth-dependent. We implement this approach in the asymmetric information setting of Verrecchia (1982), and compare it with the alternative approach of changing the utility function (Peress, 2004). Ours is a straightforward tractable extension of Verrecchia, while Peress has to resort to approximate methods. Importantly, our closed-form solution reveals that the relation between wealth and wealth share invested in a risky asset can be negative, while Peress’s main result is that this relation is uniquely positive. 相似文献
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William M. Scarth 《Journal of Monetary Economics》1985,15(2):247-254
McCallum has proposed a solution procedure for rational expectations models - undetermined coefficients with the minimal set of state variables - which can avoid the non-uniqueness problem. This procedure often requires some additional restrictions on the admissible values of the structural parameters. In this note we show that in some cases, these parameter restrictions may be defended with less ambiguity by considering the dynamics of the model, rather than examining particular parameter values, as suggested by McCallum. 相似文献
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This paper is an extension of Jack Meyer's paper titled “Beneficial Changes in Random Variables Under Multiple Sources of Risk and Their Comparative Statics” published in the June 1992 issue of this journal. The extension consists of showing which of the sufficient conditions in Meyer's Theorems 1 and 3 are also necessary, and which are not. In addition, conditions are provided which are necessary and sufficient for general beneficial changes to imply a decrease in the demand for insurance. 相似文献
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Andrew Rudd 《Journal of Financial Economics》1977,5(2):259-263
This note corrects recent results concerning qualitative portfolio composition in Roll's ‘Critique of Asset Pricing Theory Tests’. 相似文献
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Bernd Scherer 《Financial Markets and Portfolio Management》2010,24(3):309-320
The textbook view on risk in asset management companies is summarized by Hull (Risk Management and Financial Institutions,
p. 372, 2007): “For an asset manager the greatest risk is operational risk.” Using evidence from various panel regression models, we show
that asset management revenues carry substantial market risks, a finding that challenges not only academic risk management
literature on the predominance of operative risks, but also the current industry practice of not hedging market risks that
are systematically built into the revenue-generation process. For asset management companies to return to an annuity model,
these risks need to be managed more actively. Shareholders do not want to be exposed to market beta by investing in asset
management companies; they want to participate in these companies’ alpha generation and take advantage of their fund-gathering
expertise as financial intermediaries. 相似文献
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Nils Blomqvist 《Scandinavian actuarial journal》2013,2013(3-4)
Abstract Let X 1 (µ), X 2 (µ), ... be an infinite sequence of independent and identically distributed random variables defined on the whole real axis and with EX1 (µ) = µ > 0. Put Mn (µ) = max (S0 (µ), S1 (µ), ..., Sn (µ) , where Sn (µ) = X1 (µ) + ... + Xn (µ) for n = 1 , 2, ... and S0 (µ) = 0, and define 相似文献