Operating leverage, the fraction of fixed costs of production in total costs, has recently attracted considerable attention in the asset pricing literature. Indeed, the theoretical asset pricing literature often relies on some form of operating leverage to rationalize the value premium, the fact that firms with currently low valuations compared to assets in place have higher subsequent returns ...

Conditional tests of the International CAPM in previous studies (e.g., Harvey, 1991) help identify predictability but not causality. In this paper, we take an event-study approach to examine if the world market risk premium is particularly higher on prescheduled USmacroeconomic announcement days. Empirically, we apply the Savor andWilson (2014) methodology to daily US stocks as well as foreign ...

In contrast to the existing literature on repeated games that assumes a Þxed discount factor, I study an environment in which it is more realistic to assume a ßuctuating discount factor. In a repeated oligopoly, as the interest rate changes, so too does the degree to which Þrms discount the future. I characterize the optimal tacit collusion equilibrium when the discount factor changes over time...

the current world is the era of wisdom and knowledge. endowments, natural and tangible assets are not the key factor for success of communities and organizations; instead, management of intangible assets in this turbulent and challenging environment for the organizations are the key success factor for them. the organizations which are able to recognize these assets and manage them properly woul...

Preface The aim of this dissertation is to describe more realistic models for financial assets based on generalized hyperbolic (GH) distributions and their subclasses. Generalized hyperbolic distributions were introduced by Barndorff-Nielsen (1977), and stochastic processes based on these distributions were first applied by Eberlein and Keller (1995) in Finance. Being a normal variance-mean mix...

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The opinions expressed in this paper are the sole responsibility of the author(s) and do not necessarily reflect those of the OECD, the governments of its Member countries, the co-organisers, or the supporting organisations. ABSTRACT In the beginning, the rationale of measures is reflected, concluding that there have to be different and strategically derived scopes for internal and external rep...

The value of U.S. corporate equity in the first half of 2000 was close to 1.8 times U.S. gross national product (GNP). Some stockmarket analysts have argued that the market is overvalued at this level. We use a growth model with an explicit corporate sector and find that the market is correctly valued. In theory, the market value of equity plus debt liabilities should equal the value of product...