this paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. i solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences...

TheWeibull distribution plays a central role in modeling duration data. Its maximum likelihood estimator is very sensitive to outliers.Wepropose three robust and explicit Weibull parameter estimators: the quantile least squares, the repeated median and the median/Qn estimator. We derive their breakdown point, influence function, asymptotic variance and study their finite sample properties in a ...

This paper compares the finite sample performance of the canonical correlation regression estimator (CCR) and Stock and Watson's (A simple estimator of cointegration vectors in higher order integrated systems, Econometrica, 1993, 61(4), 783-820) dynamic ordinary least squares estimator (DOLS) using the models proposed by Inder (Journal of Econometrics, 1993, 57, 53-68). The CCR estimator shows ...

Pricing American options requires solving an optimal stopping problem and therefore presents a challenge for simulation. This article investigates connections between a weighted Monte Carlo technique and regression-based methods for this problem. The weighted Monte Carlo technique is shown to be equivalent to a least-squares method in which option values are regressed at a later time than in ot...

This article considers random coefficient models (RCMs) for time-series–cross-section data. These models allow for unit to unit variation in the model parameters. The heart of the article compares the finite sample properties of the fully pooled estimator, the unit by unit (unpooled) estimator, and the (maximum likelihood) RCM estimator. The maximum likelihood estimator RCM performs well, even ...

A vital extension to partial least squares (PLS) path modeling is introduced: consistency. While maintaining all the strengths of PLS, the consistent version provides two key improvements. Path coefficients, parameters of simultaneous equations, construct correlations, and indicator loadings are estimated consistently. The global goodness-of-fit of the structural model can also now be assessed,...

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately risk-managed with single factor models. Moreover, we show that the impact of smile can be much larger than the impact of correlation. We use t...

This paper considers the estimation problem in dynamic games with finite actions. We derive the equation system that characterizes the Markovian equilibria. The equilibrium equation system enables us to characterize conditions for identification. We consider a class of asymptotic least squares estimators defined by the equilibrium conditions. This class provides a unified framework for a number...

This paper applies real options theory to establish an overseas oil investment evaluation model that is based on Monte Carlo simulation and is solved by the Least Squares Monte-Carlo method. To better reflect the reality of overseas oil investment, our model has incorporated not only the uncertainties of oil price and investment cost but also the uncertainties of exchange rate and investment en...