This entry provides a brief overview of credit migration or transition matrices, which characterize past changes in credit quality of obligors (typically firms). They are cardinal inputs to many risk management applications, including portfolio risk assessment, the pricing of bonds and credit derivatives, and the assessment of regulatory capital as is the case for the New Basel Accord. I addres...

the paper studies of the effect the related and unrelated diversification for products and ownership structure on capital structure for a sample of 87 firms out of 19 industry listed on the tehran stock exchange during the period 2004- 2009. for to regress of models to apply of multivariate approach include panel data and cross-sectional regressions. this study adopts panel fixed effects regres...

Keywords: Capital asset pricing model (Capm) Capital asset pricing theory Finance theory Hedonic pricing Portfolio theory Residential rental real estate investment (RRREI) Security market line Systematic/unsystematic risk

We develop a specification test and a sequence of model selection procedures for nonnested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods have reasonably good finite sample performances and are more powerful than existing ones in detecting mis...

The paper outlines a new pluralistic method for analyzing, assessing and improving corporate governance structures in their traits relevant both for financial and for human capital providers. The framework seeks to enlarge the rather universalistic approach to governance structures ‘ranking’ used in the economic (principal-agent) approach, introducing sensitiveness to some relevant contingencie...

The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here we analyze the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. ...

This study extends the classic Capital Asset Pricing Model (CAPM) by relaxing the assumptions that all assets are perfectly divisible and liquid, and that investors face the same set of investment opportunities. It is assumed that investors can invest in two types of assets: perfectly divisible, and perfectly indivisible (or discrete). Also, investors may face different sets of investment oppor...

This article investigates the structure onpreferences required to derive Ross’s arbitrage pricing theory (APT). It is shown that only ordinalpreferences are required. In particular, the APT does not require that agents possess preferences representable as riskaverse expected utility functions. This characteristic of the APT is not shared by the standard equilibriumbased capital asset pricing mo...

intellectual capital is set of knowledge-based assets that belongs to an organization and will add value to key organizational stakeholders and this leads to a better competitive situation. the objective of this research is to investigate the relationship between intellectual capital and companies' performance in iran during 1382-1387 using lisrel software. earning per share, return on equ...