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1.
Bruno Bouchard 《Finance and Stochastics》2006,10(2):276-297
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is. 相似文献
2.
Minqiang Li 《Review of Derivatives Research》2010,13(1):75-99
Many efficient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate
option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations
for American options based on the quadratic approximation. We compare our methods with existing analytical methods including
the quadratic approximations in Barone-Adesi and Whaley (J Finance 42:301–320, 1987) and Barone-Adesi and Elliott (Stoch Anal
Appl 9(2):115–131, 1991), the lower bound approximation in Broadie and Detemple (Rev Financial Stud 9:1211–1250, 1996), the
tangent approximation in Bunch and Johnson (J Finance 55(5):2333–2356, 2000), the Laplace inversion method in Zhu (Int J Theor
Appl Finance 9(7):1141–1177, 2006b), and the interpolation method in Li (Working paper, 2008). Both of our methods give much
more accurate critical stock prices than all the existing methods above. 相似文献
3.
Following Travlos (J Finance 42: 943–963, 1987), Loughran and Vijh (J Finance 52: 1765–1790, 1997), Harford (J Finance 54: 1969–1997, 1999), and Oler (Rev Acc Stud 13: 479–511, 2008), we investigate whether acquisitions involving stock consideration and acquirers with high cash levels are associated with
poor performance or not. In addition, we investigate whether including a long-term performance plan in top management’s compensation
package can mitigate these negative effects. We find that acquirers with a long-term performance plan are less likely to hold
a high cash balance and are less likely to use stock consideration, thus avoiding scenarios that are more likely to be value-destructive.
Even if an acquirer with a long-term performance plan carries a high cash balance or uses stock, we find that the plan is
associated with improved fundamental performance; however, this relationship does not flow through to improved post-acquisition
returns. 相似文献
4.
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels 总被引:1,自引:1,他引:1
We revisit the previous work of Leland [J Finance 49:1213–1252, 1994], Leland and Toft [J Finance 51:987–1019, 1996] and Hilberink
and Rogers [Finance Stoch 6:237–263, 2002] on optimal capital structure and show that the issue of determining an optimal
endogenous bankruptcy level can be dealt with analytically and numerically when the underlying source of randomness is replaced
by that of a general spectrally negative Lévy process. By working with the latter class of processes we bring to light a new
phenomenon, namely that, depending on the nature of the small jumps, the optimal bankruptcy level may be determined by a principle
of continuous fit as opposed to the usual smooth fit. Moreover, we are able to prove the optimality of the bankruptcy level according to the appropriate choice of fit.
相似文献
5.
Finance and Stochastics - Twenty years ago, E.R. Fernholz introduced the notion of “functional generation” to construct a variety of portfolios solely in terms of the individual... 相似文献
6.
This paper develops a new model for studying foreign currency exchange rate bubbles. The model constructed is a modification
of the martingale based bubble approach of Jarrow et al. (Adv Math Finance 105–130, 2006; Math Finance 20(2):145–185, 2008).
This model generates some new insights into our understanding of exchange rate bubbles and it can be utilized empirically
to test for their existence. The new insights are: (1) exchange rate bubbles can be negative, in contrast to asset price bubbles,
(2) exchange rate bubbles are caused by price level bubbles in either or both of the relevant countries’ currencies, and (3)
price level bubbles decrease the expected inflation rate in the domestic economy. 相似文献
7.
John Schoenmakers 《Finance and Stochastics》2012,16(2):319-334
In this paper, we present a dual representation for the multiple stopping problem, hence multiple exercise options. As such,
it is a natural generalization of the method in Rogers (Math. Finance 12:271–286, 2002) and Haugh and Kogan (Oper. Res. 52:258–270, 2004) for the standard stopping problem for American options. We term this representation a ‘pure martingale’ dual as it is solely
expressed in terms of an infimum over martingales rather than an infimum over martingales and stopping times as in Meinshausen and Hambly (Math. Finance 14:557–583, 2004). For the multiple dual representation, we propose Monte Carlo simulation methods which require only one degree of nesting. 相似文献
8.
Risk-neutral and actual default probabilities with an endogenous bankruptcy
jump-diffusion model 总被引:1,自引:0,他引:1
This paper focuses on historical and risk-neutral default probabilities in a structural model, when the firm assets dynamics
are modeled by a double exponential jump diffusion process. Relying on the Leland [(1994a) Journal of Finance, 49, 1213–1252; (1994b) Bond prices, yield spreads, and optimal capital structure with default risk. Working paper no. 240, IBER,
University of California, Berkeley] or Leland and Toft [(1996) Journal of Finance, 51(3), 987–1019] endogenous structural approaches, as formalized by Hilberink and Rogers [(2002) Finance and Stochastics, 6(2), 237–263], this article gives a coherent construction of historical default probabilities. The risk-neutral world where
evolve the firm assets, modeled by a class of geometric Lévy processes, is constructed based on the Esscher measure, yielding
useful and new analytical relations between historical and risk-neutral probabilities. We do a complete numerical analysis
of the predictions of our framework, and compare these predictions with actual data. In particular, this new framework displays
an enhanced predictive power w.r.t. current Gaussian endogenous structural models.
相似文献
9.
Empirical findings are mixed about the performance of structural models for term structure of credit spreads. It is commonly
believed that all structural models have equally poor performance after calibration. However, proper calibration is not a
trivial issue, especially for highly structural models. This paper proposes a more accurate procedure for calibrating two
models: Leland–Toft (J Finance 51:987–1019, 1996) and Collin-Dufresne and Goldstein (J Finance 56:2177–2208, 2001). Using
rating-based bond data, we find that the Leland–Toft model has significantly greater explanatory power for credit spreads
across rating categories than previously reported. We provide theoretical explanations for these findings, and further extend
our empirical analysis to include 286 individual senior bonds. Our findings help clarify the controversies over the performance
of structural models in general and that of the Leland–Toft model in particular. In addition, we offer a rigorous procedure
that can be used for calibrating other structural models more effectively.
相似文献
10.
Gaston Clment Nyassoke Titi Jules Sadefo Kamdem Aim Fono Louis 《Annals of Finance》2022,18(3):419-428
Annals of Finance - In this paper, we focus on the farmer’s risk income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion... 相似文献
11.
Annals of Finance - Using data from Italian banks over the period 2011–2017, we study how negative interest rate policy and prudential regulation impact on bank business models. We report... 相似文献
12.
Under the assumption that the asset value follows a phase-type jump-diffusion, we show that the expected discounted penalty
satisfies an ODE and obtain a general form for the expected discounted penalty. In particular, if only downward jumps are
allowed, we get an explicit formula in terms of the penalty function and jump distribution. On the other hand, if the downward
jump distribution is a mixture of exponential distributions (and upward jumps are determined by a general Lévy measure), we
obtain closed-form solutions for the expected discounted penalty. As an application, we work out an example in Leland’s structural
model with jumps. For earlier and related results, see Gerber and Landry [Insur. Math. Econ. 22:263–276, 1998], Hilberink and Rogers [Finance Stoch. 6:237–263, 2002], Asmussen et al. [Stoch. Proc. Appl. 109:79–111, 2004], and Kyprianou and Surya [Finance Stoch. 11:131–152, 2007].
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13.
In this paper we generalize the recent comparison results of El Karoui et al. (Math Finance 8:93–126, 1998), Bellamy and Jeanblanc (Finance Stoch 4:209–222, 2000) and Gushchin and Mordecki (Proc Steklov Inst Math 237:73–113, 2002) to d-dimensional exponential semimartingales. Our main result gives sufficient conditions for the comparison of European options with respect to martingale pricing measures. The comparison is with respect to convex and also with respect to directionally convex functions. Sufficient conditions for these orderings are formulated in terms of the predictable characteristics of the stochastic logarithm of the stock price processes. As examples we discuss the comparison of exponential semimartingales to multivariate diffusion processes, to stochastic volatility models, to Lévy processes, and to diffusions with jumps. We obtain extensions of several recent results on nontrivial price intervals. A crucial property in this approach is the propagation of convexity property. We develop a new approach to establish this property for several further examples of univariate and multivariate processes. 相似文献
14.
Kathleen P. Fuller Bonnie F. Van Ness Robert A. Van Ness 《Review of Quantitative Finance and Accounting》2010,34(3):301-312
Easley et al. (J Finance 57:2185–2221, 2002), building upon the asset pricing model of Fama and French (J Finance 47:427–465, 1992), show that the probability of informed trading (PIN) is a determinant of asset returns for NYSE-listed securities. We extend
this work by examining whether the PIN is a predictive factor for NASDAQ stocks, as many studies document significant differences
between NYSE and NASDAQ listed securities. In the process we examine whether the use of PIN is appropriate for NASDAQ-listed
securities. We find that PIN and certain stock characteristics correlate differently for our sample of NASDAQ stocks than
that of Easley et al. sample of NYSE stocks. We also determine that the risk of informed trading is only weakly priced for
NASDAQ stocks. Contrary to Easley et al. we do not find evidence that excess returns increases as PIN increases. 相似文献
15.
Analysts in a bank’s research department cover firms that have no relationship with the bank as well as companies in which
the bank has a strategic interest. Officially, banks must establish Chinese Walls around their research departments to allow
the analysts to work independently and to avoid the flow of insider information. We examine analyst behavior under long-term
bank-firm relationships using ownership data and analysts’ earnings per share forecasts for German companies from 1994 to
2001. We find evidence that is consistent with analysts reconciling their employers’ interests with their own career concerns.
They seem to use their information advantage strategically by releasing favorable and thereby more precise reports when the
market underestimates earnings. In order not to jeopardize the bank-client relationship, they suppress negative information
when the market is too optimistic. Combining situations where the market over- and underestimates earnings, we can replicate
the unconditional positive bias in analyst forecasts found in the previous literature. Despite the bias in affiliated analysts’
forecasts, they nonetheless selectively communicate valuable information to investors.
*We gratefully acknowledge the contribution of I/B/E/S International Inc. for providing earnings per share forecast data.
This data has been provided as part of a broad academic program to encourage earnings expectations research. We thankfully
acknowledge financial support from the Austrian National Bank (OeNB) under the Jubil?umsfonds grant number 8523. We thank
Werner Antweiler, Michael Halling, Helmut Elsinger, Evelyn Hayden, Greg Hebb, Cornelia Kullmann, Kai Li, Colin Mayer, Stefan
Pichler, Duane Seppi, Alex Stomper, Neal Stoghton, Michael Stutzer, Suresh Sundaresan, Yishay Yafeh, Josef Zechner, Christine
Zulehner, an anonymous referee, and seminar participants at UBC, the Northern Finance Association meetings, the Western Finance
Association meetings, and the European Finance Association meetings for helpful comments and Eva Smolen for excellent research
assistance. 相似文献
16.
This paper considers the behavior of the critical price for the American put in the exponential Lévy model when the underlying
stock pays dividends at a continuous rate. We prove the continuity of the free boundary and give a characterization of the
critical price at maturity, generalizing a recent result of S.Z. Levendorskiǐ (Int. J. Theor. Appl. Finance 7:303–336, 2004).
相似文献
17.
Daniel Edelman William Fung David A. Hsieh Narayan Y. Naik 《Financial Markets and Portfolio Management》2012,26(1):87-108
Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777–1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65–80, 2004a; J. Empir. Finance 18:547–569, 2004b) model to document performance characteristics from January 2005 to December 2010. We find that our sample period is divided
into three distinct subperiods: January 2005 to June 2007 (pre-subprime crisis); July 2007 to March 2009; and April 2009 to
December 2010 (post-credit crunch) during which the average fund of hedge funds delivered positive alpha only in the first
subperiod. We divide the funds of hedge funds sample into those who have alpha and the rest, which we call beta-only. The
empirical results show a dramatic decline in the population of alpha producing funds of hedge funds post 2008 compared to
the FHNR findings. When we repeat our analysis with a synthetic hedge fund index replicator, we find qualitatively similar
results. 相似文献
18.
Vivek Sharma 《Review of Quantitative Finance and Accounting》2011,37(3):283-299
The main purpose of this paper is to provide direct evidence that product market structure affects stock returns. This is
not only through industry concentration, as found in Hou and Robinson (J Finance 61:1927–1956, 2006), but also based on firms’ product substitutability and industry market size. Furthermore, the predictive power of product
substitutability and market size for stock returns is not subsumed by industry concentration. Our results highlight the multi-dimensional
structure of product market competition and its impact on asset prices. 相似文献
19.
The main purpose of this paper is to test Merton’s (J Finance 42(3):483–510, 1987) hypothesis that better investor recognition is correlated with lower expected returns. We measure investor recognition with
the firms’ advertising intensity and offer consistent evidence that higher advertising intensity is associated with lower
implied cost of capital, as derived from Value Line target prices and dividend forecasts. Investor recognition plays an important
role in attracting investors, improving liquidity, and ultimately reducing the cost of capital. The findings shed light on
the capital market implications of advertising expenditures and complement the extant research on investor recognition. 相似文献