16,166 research outputs found
An empirical comparison of convertible bond valuation models
This paper empirically compares three convertible bond valuation models. We use an innovative approach where all model parameters are estimated by the Marquardt algorithm using a subsample of convertible bond prices. The model parameters are then used for out-of-sample forecasts of convertible bond prices. The mean absolute deviation is 1.86% for the Ayache-Forsyth-Vetzal model, 1.94% for the Tsiveriotis-Fernandes model, and 3.73% for the Brennan-Schwartz model. For this and other measures of fit, the Ayache-Forsyth-Vetzal and Tsiveriotis-Fernandes models outperform the Brennan-Schwartz model
Effects of financial and non-financial information disclosure on pricesâ mechanisms for emergent markets: The case of Romanian Bucharest Stock Exchange
The issuance of the European Union Regulation (EC) 1606/2002 and the 2007 adoption of the Markets and Financial Instruments Directive in Romania determined us to sett the goal of the present study at investigating the impact of public information disclosure on market values in the case of the Romanian companies listed on Bucharest Stock Exchange. Our focus is mainly on comparing the value relevance of Internet disclosed information provided by annual and interim financial reports and other non-financial news in the decision making process of investors. Consistent with the literature, we anticipate a positive and significant incremental relevance of such information items, even if an important non-uniformity of pricesâ adjustments can be expected. In order to have a benchmark for our results, we compare these with the ones specific to a more developed market, the Madrid Stock Exchange. Empirical tests support our research hypothesis according to which there will be a relative incremental value of a higher volume and a better quality of information, reflecting pricesâ overreactions even in the case of a market with imperfect trading mechanisms.KEY WORDS Disclosure, Valuation, Bucharest Stock Exchange, Madrid Stock Exchange
Recommended from our members
Duality in Diversity: Cultural Heterogeneity, Language, and Firm Performance
(WP 2011-01) It Takes Two: The Incidence and Effectiveness of co-CEOs
This study examines the phenomenon of co-CEOs within publicly traded firms. Although shared executive leadership is not widespread, it occurs within some very prominent firms. We find that co-CEOs generally complement each other in terms of educational background or executive responsibilities. Our results show that firms most likely to appoint co-CEOs have lower leverage, a more limited firm focus, less independent board structure, fewer advising directors, lower institutional ownership and greater levels of merger activity. The governance structure of co-CEO firms suggest that co-CEOships can serve as an alternative governance mechanism, with co-CEO mutual monitoring substituting for board or external monitoring and co-CEO complementary skills substituting for board advising. An event study indicates that the market reacts positively to appointments of co-CEOs while a propensity score analysis shows that the presence of co-CEOs increases firm valuation
Does patience pay? : empirical testing of the option to delay accepting a tender offer in the U.S. banking sector
We examine the empirical predictions of a real option-pricing model using a large sample of data on mergers and acquisitions in the U.S. banking sector. We provide estimates for the option value that the target bank has in waiting for a higher bid instead of accepting an initial tender offer. We find empirical support for a model that estimates the value of an option to wait in accepting an initial tender offer. Market prices reflect a premium for the option to wait to accept an offer that has a mean value of almost 12.5% for a sample of 424 mergers and acquisitions between 1997 and 2005 in the U.S. banking industry. Regression analysis reveals that the option price is related to both the price to book market and the free cash flow of target banks. We conclude that it is certainly in the shareholders best interest if subsequent offers are awaited. JEL Classification: G34, C1
MEASURING MARKET POWER USING DISCRETE CHOICE MODELS OF DEMAND: AN APPLICATION TO THE READY-TO-EAT CEREAL INDUSTRY
Market power, consumer demand, cereal industry, Demand and Price Analysis,
A Neural-CBR System for Real Property Valuation
In recent times, the application of artificial intelligence (AI) techniques for real property valuation has been on the
increase. Some expert systems that leveraged on machine intelligence concepts include rule-based reasoning, case-based
reasoning and artificial neural networks. These approaches have proved reliable thus far and in certain cases outperformed
the use of statistical predictive models such as hedonic regression, logistic regression, and discriminant analysis. However,
individual artificial intelligence approaches have their inherent limitations. These limitations hamper the quality of
decision support they proffer when used alone for real property valuation. In this paper, we present a Neural-CBR system
for real property valuation, which is based on a hybrid architecture that combines Artificial Neural Networks and Case-
Based Reasoning techniques. An evaluation of the system was conducted and the experimental results revealed that the
system has higher satisfactory level of performance when compared with individual Artificial Neural Network and Case-
Based Reasoning systems
Which Reputations Does a Brand Owner Need? Evidence from Trade Mark Opposition
At least two: the reputation of their brand and a reputation for being tough on imitators of this brand. Sustaining a brand requires both investment in its reputation amongst consumers and the defence of the brand against followers that infringe upon it. I study the defence of trade marks through opposition at a trade mark office. A structural model of opposition and adjudication of trade mark disputes is presented. This is applied to trade mark opposition in Europe. Results show that brand owners can benefit from a reputation for tough opposition to trade mark applications. Such a reputation induces applicants to settle trade mark opposition cases more readily
- âŠ