Spelling suggestions: "subject:"pricing model"" "subject:"pricing godel""
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Case Study for cost of equity of company - in terms of C corporationJuang, Der-Feng 16 June 2006 (has links)
To face the competition in the business environment, the company should continuously execute the capital investment to reinforce its competitive ability and to insure the endless business operation. Due to the capital investment involving huge money and long-term impact, the company should considerately and thoughtfully evaluate the financial feasibility of capital investment prior to making decision. Weighted Average Cost of Capital (WACC) is usually used as benchmark to evaluate the capital investment. WACC is made up of two key elements. The cost of equity, one of both, however, is difficult to measure. This article, taking C company as an example, is focused on how to apply 3 different models such as Dividend Growth Model (DGM), Capital Asset Pricing Model (CAPM) and Free Cash Flow Model (FCF) to compute the cost of equity as well as on analyzing the outcomes of those models.
The outcomes of DGM, CAPM and FCF are respectively 11.82%, 14.2%, and 10.50%, and the highest one is the outcome computed from CAPM. The outcomes computed from both DGM and FCF are narrowly different. As compared with actual rate of return of C company stock (11.6% adjusted from ex-cash dividend and ex-stock dividend), it is found that the outcome of DGM is the nearest to actual rate of return of C company stock, then FCF¡¦s is next one and CAPM¡¦s is most different. However, on condition that the company did not distribute cash dividend in its record or stayed on the abnormal growth stage, the DGM could not be applicable.
Internal capital budgeting includes expansion of production expansion, replacement, improvement and innovation. Due to the fact that the attribute of this kind of capital investment is similar to that of the company¡¦s business of line, FCF would be the most appropriate model to estimate the cost of equity to determine the WACC for the purpose of internal capital budgeting evaluation.
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The effects of high dimensional covariance matrix estimation on asset pricing and generalized least squaresKim, Soo-Hyun 23 June 2010 (has links)
High dimensional covariance matrix estimation is considered in the context of empirical asset pricing. In order to see the effects of covariance matrix estimation on asset pricing, parameter estimation, model specification test, and misspecification problems are explored. Along with existing techniques, which is not yet tested in applications, diagonal variance matrix is simulated to evaluate the performances in these problems. We found that modified Stein type estimator outperforms all the other methods in all three cases. In addition, it turned out that heuristic method of diagonal variance matrix works far better than existing methods in Hansen-Jagannathan distance test. High dimensional covariance matrix as a transformation matrix in generalized least squares is also studied. Since the feasible generalized least squares estimator requires ex ante knowledge of the covariance structure, it is not applicable in general cases. We propose fully banding strategy for the new estimation technique. First we look into the sparsity of covariance matrix and the performances of GLS. Then we move onto the discussion of diagonals of covariance matrix and column summation of inverse of covariance matrix to see the effects on GLS estimation. In addition, factor analysis is employed to model the covariance matrix and it turned out that communality truly matters in efficiency of GLS estimation.
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Analysis of four alternative energy mutual fundsSelik, Michael Andrew 18 November 2010 (has links)
We analyze four alternative energy mutual funds using a multi-factor capital asset pricing model with generalized autoregressive conditionally heteroskedastic errors (CAPM-GARCH). Our findings will help portfolio managers and others who seek to predict the return on investment in alternative energy firms. We find that alternative energy firms tend to be riskier than the general US stock market, have a low, but significant and positive response to oil prices, and have a significantly high and negative response to the value of the dollar relative to other currencies. Our results also suggest that alternative energy firms should hedge against currency exchange rate fluctuation.
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Risk Management for Residential Property. : Hedging alternatives for small investorsFolkestad, Geir January 2005 (has links)
<p>This thesis has the intention to investigate the risk situation for small investors in the domestic residential property market in Sweden, and discuss some alternatives for reducing that risk. Focus will be on risk reduction by diversification.</p><p>Residential property is considered to be a rather safe investment for the long term investor. The return is determined by the change of value for the property (capital growth), and the direct return through net rental income. When investments in residential property are compared with other types of investments, they have high returns compared to their stan-dard deviation. Diversification gains are described in the frame of the Capital Assets Pricing Model (CAPM).</p><p>The CAPM shows that portfolios based on residential property can reduce their risk and maintain the same level of returns through diversification. To get the best effect out of this diversification this should be done with assets that are least correlated with residential property. This thesis has tested with other residential property, other real estate and equities/bonds. Of which equities/bonds gave the best results. An optimal portfolio based on historical data from 1984 – 2003 suggests a portfolio with 40 -60 % residential property, 30 – 60 % bonds and 0 – 10 % equities. This is with a risk free rate between 3 – 11 %. The debt ratio for this portfolio is determined by the investor’s risk-aversity and utility function.</p><p>The positive effects from diversification have to be compared to the increased scale effect from investing in more residential property when chosing new investment items. Investors can get a good diversification performance even with a few stakes. The main point in this thesis is that investors with residential property can get positive effects from diversification and the effects from diversification increase the more different the investments are.</p>
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員工認股權對企業權益評價影響之研究:以數值分析法進行Warrant-Based Pricing Model 與 Black-Scholes-Model 之比較周佳玲 Unknown Date (has links)
由於忽略員工認股選擇權的稀釋性會造成偏誤的企業評價,本研究利用以認購權證為基礎的改良評價模型,並配合會計研究的剩餘淨利模型,欲探討Warrant-Pricing Model與 Black-Scholes-Model之差異。由於現行國際會計準則與美國會計準則都已明確規定員工認股選擇權需依公平價值認列為費用,我國會計公報未來必定朝此方向修改,為因應使用公平價值法對員工認股權評價,本文對於財報附註揭露之表達提出建議,以提供會計人員與審計人員進行財務報表編製與查核工作時為參考。 / Because employee stock option (ESO) has some special conditions which make them different from all the options transferring in markets, we can not use the general option pricing model, such as: Black-Scholes-Model, to price ESO. By using Warrant-Pricing Model and the residual income model, this research introduces us the differences between Warrant-Pricing Model and Black-Scholes-Model. Moreover this research leads to the conclusion that Warrant-Pricing Model can price ESO more properly, and it is helpful in evaluating company equity and pricing stock. This research also provide some advice to auditors and accountants on financial statement disclosures.
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Einfluss subjektiver Erwartungen auf endogene Wertpapierpreise in Ökonomien überlappender Generationen /Deutscher, Nicole. January 2003 (has links) (PDF)
Univ., Diss (Nicht für den Austausch)--Bielefeld, 2006.
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Der Einfluss von Dividenden auf Aktienrenditen /Schulz, Anja. January 2006 (has links) (PDF)
Humboldt-Univ., Diss.--Berlin, 2005.
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Default and recovery risk modeling and estimation.Eggert Christensen, Jan Henrik. January 2007 (has links) (PDF)
Diss.--Copenhagen Business School, 2007.
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Intertemporal asset allocation strategies under inflationary risk /Hsiao, Chih-Ying. January 2006 (has links) (PDF)
Univ., Diss (Nicht für den Austausch)--Bielefeld, 2007.
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Generalized method of moments exponential distribution familyLai, Yanzhao. January 2009 (has links) (PDF)
Thesis (M.S.)--University of North Carolina Wilmington, 2009. / Title from PDF title page (February 17, 2010) Includes bibliographical references
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