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Author: Gregory W. Brown
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
Recent asset pricing research claims that quot;real options'quot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S. equity markets. Our simulation analysis shows that estimating dynamic betas is challenging even when the true model is known. In actual data we find little evidence that theories of real growth options explain standard pricing anomalies or conditional pricing puzzles such as SEO underperformance. Stock returns do not have the proper conditional covariances with the market portfolio, even though firm characteristics do behave in accordance with the real options models.
Author: Gregory W. Brown
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
Recent asset pricing research claims that quot;real options'quot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S. equity markets. Our simulation analysis shows that estimating dynamic betas is challenging even when the true model is known. In actual data we find little evidence that theories of real growth options explain standard pricing anomalies or conditional pricing puzzles such as SEO underperformance. Stock returns do not have the proper conditional covariances with the market portfolio, even though firm characteristics do behave in accordance with the real options models.
Author: Serge Darolles
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
Is it really possible to control for the downside risk when the market environment is in constant evolution? If so, what would be the long-term growth prospects of such a strategy? We show in this article that when the dynamics of the variance and correlation terms are properly taken into account, downside risk can be mitigated without compromising long-term growth prospects. But robustness checks suggest that these benefits only hold true for fast moving investors dealing with liquid instruments, as large and unforeseen events may necessitate swift and potentially major adjustments of the portfolio structure.
Author: Thomas Philippon
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
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Book Description
Author: Marco A. C. Pacheco
Publisher: Springer Science & Business Media
ISBN: 3540929991
Category : Mathematics
Languages : en
Pages : 296
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Book Description
The decision to invest in oil field development is an extremely complex problem, even in the absence of uncertainty, due to the great number of technological alternatives that may be used, to the dynamic complexity of oil reservoirs - which involves mul- phase flows (oil, gas and water) in porous media with phase change, and to the c- plicated combinatorial optimization problem of choosing the optimal oil well network, that is, choosing the number and types of wells (horizontal, vertical, directional, m- tilateral) required for draining oil from a field with a view to maximizing its economic value. This problem becomes even more difficult when technical uncertainty and e- nomic uncertainty are considered. The former are uncertainties regarding the existence, volume and quality of a reservoir and may encourage an investment in information before the field is developed, in order to reduce these uncertainties and thus optimize the heavy investments required for developing the reservoir. The economic or market uncertainties are associated with the general movements of the economy, such as oil prices, gas demand, exchange rates, etc. , and may lead decision-makers to defer - vestments and wait for better market conditions. Choosing the optimal investment moment under uncertainty is a complex problem which traditionally involves dynamic programming tools and other techniques that are used by the real options theory.
Author: Rita Gunther McGrath
Publisher: Harvard Business Press
ISBN: 1422129497
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
You've been charged with growing your business. Incremental growth can no longer deliver the results you need. You need truly dynamic growth - and you need to achieve it without risking a hugely expensive gamble. How can you encourage innovative new ventures and pursue ambitious growth while minimizing risk? In Discovery-Driven Growth, authors McGrath and MacMillan show how companies can plan and pursue an aggressive growth agenda with confidence. By carefully framing their strategic growth opportunities, testing each project assumption against a series of checkpoints, and creating a culture that acts on evidence and learning instead of blind stumbling, companies can better control their costs, minimize surprises, and know when to disengage from questionable projects--before it's too late. Providing tools that will help you select and better assess the potential of any strategic venture, from new product lines to entirely new businesses, the authors outline a comprehensive process that lets you identify, manage, and leverage your company's full portfolio of opportunities. By reducing up-front costs and eliminating unnecessary risks, you'll be able to avoid missteps and explore more options to create the breakthrough growth that your business requires.
Author: Richard C. Green
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
As a consequence of optimal investment choices, firms' assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time series relation between the book-to-market ratio and asset returns, (ii) the cross-sectional relation between book to market, market value and return, (iii) contrarian effects at short horizons, (iv) momentum effects at longer horizons, and (v) the inverse relation betweeninterest rates and the market risk premium.
Author: Annetta Cortez
Publisher: Dorling Kindersley Ltd
ISBN: 0241883989
Category : Business & Economics
Languages : en
Pages : 448
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Book Description
Manage the risk and maximize the reward! Risk. It's what business is all about. The key to success is to anticipating and managing the risks that can impact business. 'The Complete Idiot's Guide® to Risk Management', provides the key information necessary to manage business risk successfully. ? The basic categories of business risk ? How to identify the specific factors that affect any particular business ? How to create practical risk models to plan ahead ? How to lessen the impact of risk events should they happen ? How to profit from strategic risk taking
Author: Jonathan Berk
Publisher:
ISBN:
Category :
Languages : en
Pages : 63
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Book Description
As a consequence of optimal investment choices, firms' assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time series relation between the book-to-market ratio and asset returns, (ii) the cross-sectional relation between book to market, market value and return, (iii) contrarian effects at short horizons, (iv) momentum effects at longer horizons, and (v) the inverse relation between interest rates and the market risk premium.
Author: David T. Emott
Publisher: John Wiley & Sons
ISBN: 1118015916
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
The ultimate guide to the ins and out of mergers and acquisitions Practitioner's Complete Guide to M&As provides the practical tricks of the trade on M&As: what they need to know, what they have to know, and what they need to do. Numerous examples and forms are included illustrating concepts in discussion. Written in a straight-talking style A highly, practical application-oriented guide to mergers and acquisitions Covers strategy development; deal flow and target identification; due diligence; valuation and offers; tax structuring; negotiation; and integration and value creation" Presents information using bullet points rather than lengthy narrative for ease of reading Numerous exhibits, forms, and examples are included This practical guide takes you through every step of the M&A process, providing all the necessary tools that both the first-time M&A player as well as the seasoned practitioner need to complete a smart transaction.
Author: Thomas Philippon
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Book Description
We study investment options in a dynamic agency model. Moral hazard creates anoption to wait and agency conflicts affect the timing of investment. The model shedslight, theoretically and quantitatively, on the evolution of firms dynamics, in particular the decline of the failure rate and the decrease in the age of IPOs.
