This paper considers a top-down approach for CDO valuation and proposes a market model. We extend previous research on this topic in two directions: on the one side, we use as driving process for the interest rate dynamics a time-inhomogeneous Lévy process, and on the other side, we do not assume that all maturities are available in the market. Only a discrete tenor structure is considered, whi...

This paper explores whether a “value” investing strategy based upon different specifications of the residual income valuation model is riskier than a "growth" investing strategy. The paper motivates such an investigation by noting that, consistent with previous empirical work, the Ohlson (1995) model undervalues (overvalues) low (high) book-to-market stocks, whilst the Feltham-Ohlson model unde...

Until now, time has been mainly used as a variable in IT-related event studies to explain the delayed impact of IT investments on firm value and productivity. Yet, the timing of the event announcement itself, due to investor sentiment, may have an effect on its valuation by the capital market. Using the example of product source code releases as open source, I find that market valuation takes a...

Although anecdotal evidence and individual case studies suggest that effective knowledge management (KM) initiatives contribute to superior firm performance, quantitative empirical investigations are scarce, and more to the point, most of them are based on perceptions of survey participants embedded in the firms being studied. Moreover, studies analyzing the question of whether superior KM perf...

We provide a comprehensive treatement of option pricing with particular emphasis on the valuation of American options on dividend-paying assets. We begin by reviewing valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Itô process and the interest rate is stochastic. Then this analysis is extended to the valuation of American ...

Executive Summary. The purpose of this study is to describe a beginning best practice technique for the valuation of brownfields that incorporates business cycle as well as market analysis. The literature suggests that a developmental model that uses Monte Carlo methods to estimate land value as a residual, in light of all risks, is likely to be the most appropriate methodology. This study exam...

We have developed a statistical method for the valuation of residential properties using a hierarchical Bayesian approach, which takes into consideration the unique structure of the Hong Kong property market. Our model is calibrated on a dataset that covers all residential real estate transactions in ten major Hong Kong residential complexes from February 2008 to February 2009. Although parsimo...