On the assumption that asset value of a company is the sum of the total amount of current price of stock and debt value, estimation was made with the first moment and second moment concerning a mean value and variance of the sum. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follow geometric Brownian motion. Then we construct a def...

The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Defau...

Asset values often fall sharply once assets are placed outside of the …rm. When this happens, investors have fewer incentives to enforce their right to liquidate or reorganize the …rm. Instead, they may allow an underperforming business to continue and may even re…nance it under its current management. The problem that this creates is that …rm insiders then have fewer incentives to implement va...

‎in this paper‎, ‎we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity‎. ‎we assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model‎. ‎it is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...

This paper investigates determinants and consequences of net asset value discounts in listed private equity funds. Listed private equity funds share characteristics of closed-end mutual funds and traditional unlisted private equity funds and can therefore offer insights into both. Our results have particular relevance to the pricing of unlisted private equity funds where no market prices are ob...

F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that Þnancial market prices do not converge to the asset’s fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. Thes...

where is the Poisson process which corresponds to the underlying asset t , t is the jump size of asset price return with log normal distribution and  t means that there is a jump the value of the process before the jump is used on the left-hand side of the formula. Moreover, in 2003, Eraker Johannes and Polson [3] extended Bate’s work by incorporating jumps in volatility and their model is giv...

In parametric models a su cient condition for local identi cation is that the vector of moment conditions is di erentiable at the true parameter with full rank derivative matrix. We show that there are corresponding su cient conditions for nonparametric models. A nonparametric rank condition and di erentiability of the moment conditions with respect to a certain norm imply local identi cation. ...

We provide a unified explanation for several apparent anomalies in the cross-section of asset returns, namely the failure of the CAPM to account for the cross-sectional relation between average stock returns and firm valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility. Using a calibrated structural model, we argue that these characteristics are imperfect p...