European Financial Management Association Meetings (EFMA) (Archive)最新文献

英文中文

Valuing Companies by Cash Flow Discounting: Ten Methods and Nine Theories 用现金流折现法评估公司价值:十种方法和九种理论

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2015-11-17 DOI: 10.1108/03074350710823827

Pablo Fernandez

This paper shows 10 valuation methods based on equity cash flow; free cash flow; capital cash flow; APV (Adjusted Present Value); business’s risk-adjusted free cash flow and equity cash flow; risk-free rate-adjusted free cash flow and equity cash flow; economic profit; and EVA.

All 10 methods always give the same value. This result is logical, as all the methods analyze the same reality under the same hypotheses; they differ only in the cash flows or parameters taken as the starting point for the valuation.

The disagreements among the various theories of firm valuation arise from the calculation of the value of the tax shields (VTS). The paper shows and analyses 9 different theories on the calculation of the VTS, lists the most important assumptions and valuation equations according to each of these theories, and provides an example in which the VTS of a company with debt of 1,500 goes from zero to 745.

本文给出了10种基于权益现金流量的估值方法;自由现金流;资本现金流量;APV(调整后现值);企业经风险调整后的自由现金流量和权益现金流量;无风险利率调整后的自由现金流和权益现金流;经济利润;和伊娃。所有10个方法总是给出相同的值。这个结果是合乎逻辑的，因为所有的方法都在相同的假设下分析相同的现实;它们只是在作为估值起点的现金流量或参数上有所不同。各种企业估值理论之间的分歧源于对税收盾价值的计算。本文展示和分析了9种不同的VTS计算理论，列出了每种理论中最重要的假设和估值方程，并给出了负债1500的公司的VTS从0到745的例子。

引用次数: 8

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM 学习Beta:时变因子负荷、预期收益和条件CAPM

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2008-10-08 DOI: 10.2139/ssrn.391562

T. Adrian, Francesco Franzoni

This paper explores the theoretical and empirical implications of time-varying and unobservable beta. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters. Even though the conditional CAPM holds, standard OLS tests can reject the model if the evolution of investor's expectations is not properly modelled. We use our methodology to explain returns on the twenty-five size and book-to-market sorted portfolios. Our learning version of the conditional CAPM produces pricing errors that are significantly smaller than standard conditional or unconditional CAPM and the model is not rejected by the data.

本文探讨了时变和不可观测贝塔的理论和实证意义。投资者通过卡尔曼滤波从收益历史中推断因子负荷。由于学习，贝塔的历史很重要。即使条件CAPM成立，如果投资者预期的演变没有正确建模，标准OLS检验也会拒绝该模型。我们使用我们的方法来解释25种规模和账面市值排序投资组合的回报。我们的条件CAPM的学习版本产生的定价误差明显小于标准条件或无条件CAPM，并且模型不会被数据拒绝。

引用次数: 190

Equivalence of the Different Discounted Cash Flow Valuation Methods: Different Alternatives for Determining the Discounted Value of Tax Shields and Their Implications for the Valuation 不同现金流量估值贴现方法的等价性:确定税盾贴现价值的不同选择及其对估值的影响

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2007-10-08 DOI: 10.2139/ssrn.182308

Pablo Fernández

This paper addresses the valuation of firms by cash flow discounting. The first part shows that the four most commonly used discounted cash flow valuation methods (free cash flow discounted at the WACC; cash flow available for equity holders discounted at the required return on the equity flows; capital cash flow discounted at the WACC before taxes; and Adjusted Present Value) always give the same value. This result is logical because all the methods analyse the same reality under the same hypotheses; they differ only in the flows used as the starting point for the valuation. The disagreements in the various theories on the valuation of the firm arise from the calculation of the discounted value of tax shields (DVTS). The paper shows and analyses 7 different theories on the calculation of the DVTS: Modigliani and Miller (1963), Myers (1974), Miller (1977), Miles and Ezzell (1980), Harris and Pringle (1985), Ruback (1995), Damodaran (1994), and Practitioners method. It is shown that Myers' method (1974) gives inconsistent results. When analysing the results given by the different theories, it should be remembered that the DVTS is not actually the present value of the tax saving due to the payment of interested discounted at a certain rate but the difference between two present values: the present value of the taxes paid by the firm with no debt minus the present value of the taxes paid by the company with debt. The risk of the taxes paid by the company with no debt is less than the risk of the taxes paid by the company with debt. The paper also shows the changes that take place in the valuation formulas when the debt's market value does not match its book value.

本文讨论了用现金流折现法对企业进行估值的问题。第一部分介绍了四种最常用的现金流量折现评估方法(按WACC折现的自由现金流量;权益持有人可用现金流量按权益流量要求的回报折现;按WACC贴现的税前资本现金流量;和调整后现值)总是给出相同的值。这个结果是合乎逻辑的，因为所有的方法都在相同的假设下分析相同的现实;它们的不同之处在于用作估值起点的流量。关于企业估值的各种理论的分歧来自于对税收盾贴现价值(DVTS)的计算。本文展示并分析了7种不同的DVTS计算理论:Modigliani and Miller(1963)、Myers(1974)、Miller(1977)、Miles and Ezzell(1980)、Harris and Pringle(1985)、Ruback(1995)、Damodaran(1994)和Practitioners method。Myers的方法(1974)给出了不一致的结果。在分析不同理论给出的结果时，应该记住，DVTS实际上不是由于利息支付以一定比率贴现而节省的税收的现值，而是两个现值之间的差值:无债务公司所支付的税收的现值减去有债务公司所支付的税收的现值。无负债公司纳税的风险小于有负债公司纳税的风险。本文还分析了债券的市场价值与账面价值不匹配时估值公式的变化。

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引用次数: 17

Capital Structure in Venture Finance 风险融资中的资本结构

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2005-06-01 DOI: 10.2139/ssrn.218352

Douglas J. Cumming

Prior research has argued that convertible preferred equity is the optimal form of venture capital finance, based on datasets with up to 213 observations from the U.S., where unique tax biases exist in favour of convertible preferred. This paper introduces a comparable sample of 3083 Canadian corporate and limited partnership venture financing transactions spanning the years 1991-2000. The data indicate a variety of securities are used, and convertible preferred equity has not been the most frequent. Empirical tests offer strong support for the proposition that the mix of financing instruments minimizes the costs arising from a set of agency problems.

先前的研究认为，可转换优先股是风险资本融资的最佳形式，该研究基于来自美国的多达213个观察数据集，其中存在有利于可转换优先股的独特税收偏见。本文介绍了1991-2000年间3083个加拿大公司和有限合伙企业风险融资交易的可比样本。数据表明，使用了多种证券，可转换优先股并不是最常见的。实证检验有力地支持了这样一种主张，即融资工具的组合可以使一系列代理问题产生的成本最小化。

引用次数: 130

The International Evidence on Performance and Equity Ownership by Insiders, Blockholders, and Institutions 内部人、大股东和机构的绩效与股权关系的国际证据

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2005-02-04 DOI: 10.2139/ssrn.314276

Bruce Seifert, H. Gonenc, Jim Wright

This paper examines the effects of equity ownership by insiders and equity ownership by blockholders and institutions on performance using samples of firms from four countries (United States, United Kingdom, Germany, and Japan). While there are no consistent relationships between insider ownership or blockholder/institutional ownership on performance across the four countries, there are nevertheless significant associations between ownership of these groups and performance within the four countries. Our results may indicate that the effects of insider ownership and/or blockholders/institutions depend very much on local laws or the local business environment. In contrast, the effects of the control factors on performance are much more consistent. Leverage, for example, tends to have a negative effect while capital expenditures and sales growth both generally have a positive effect.

本文利用来自四个国家(美国、英国、德国和日本)的公司样本，研究了内部人持股、大股东持股和机构持股对绩效的影响。虽然内部人所有权或大股东/机构所有权与四个国家的绩效之间没有一致的关系，但这些集团的所有权与四个国家的绩效之间存在显著关联。我们的研究结果可能表明，内部人所有权和/或大股东/机构的影响在很大程度上取决于当地法律或当地商业环境。相比之下，控制因素对性能的影响更加一致。例如，杠杆往往有负面影响，而资本支出和销售增长通常都有积极影响。

引用次数: 144

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface 标准普尔500指数期权隐含波动率面的可预测动态

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2004-11-01 DOI: 10.2139/ssrn.406697

Sílvia Gonçalves, Massimo Guidolin

One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data. However, recent empirical evidence suggests that the parameters characterizing the IVS change over time. In this paper we study whether the resulting predictability patterns in the IVS coefficients may be exploited in practice. We propose a two-stage approach to modeling and forecasting the S&P 500 index options IVS. In the first stage we model the surface along the cross-sectional moneyness and time-to-maturity dimensions, similarly to Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface coefficients by means of vector autoregression models. We find that not only the S&P 500 implied volatility surface can be successfully modeled, but also that its movements over time are highly predictable in a statistical sense. We then examine the economic significance of this statistical predictability with mixed findings. Whereas profitable delta-hedged positions can be set up that exploit the dynamics captured by the model under moderate transaction costs and when trading rules are selective in terms of expected gains from the trades, most of this profitability disappears when we increase the level of transaction costs and trade multiple contracts off wide segments of the IVS. This suggests that predictability of the time-varying S&P 500 implied volatility surface may be not inconsistent with market efficiency.

在经验期权定价文献中，一个关键的程式化事实是隐含波动率面(IVS)的存在。通常的方法包括对期权数据的每个横截面拟合一个将隐含波动率与到期日和货币性联系起来的线性模型。然而，最近的经验证据表明，表征IVS的参数随时间而变化。在本文中，我们研究所得的可预测性模式在IVS系数是否可以在实践中被利用。我们提出了一个两阶段的方法来建模和预测标准普尔500指数期权IVS。在第一阶段，我们沿着横断面货币性和成熟时间维度对表面进行建模，类似于Dumas等人(1998)。在第二阶段，我们利用向量自回归模型对横截面第一阶段隐含波动面系数的动态建模。我们发现，不仅标准普尔500隐含波动率面可以成功建模，而且其随时间的变动在统计意义上也是高度可预测的。然后，我们用混合的发现来检验这种统计可预测性的经济意义。尽管在适度的交易成本下，当交易规则对交易的预期收益有选择性时，可以利用模型捕获的动态来建立有利可图的delta对冲头寸，但当我们提高交易成本水平并在IVS的广泛领域交易多个合约时，这种盈利能力就会消失。这表明，时变标准普尔500隐含波动面的可预测性可能与市场效率并不矛盾。

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引用次数: 123

Stock Price Synchronicities in Emerging Markets 新兴市场的股价同步性

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2003-06-27 DOI: 10.2139/ssrn.407724

Chin-Wen Hsin, Yuehtzu Liao

This study examines the intra-market stock price synchronicities of emerging markets and attempts to explain the phenomenon in terms of factors that characterize the market structure, the market's speculative trading behavior, and the degree of integration with the world market. Panel data are collected and computed for synchronicities and relevant measures. Our results suggest that firm-specific information, in comparison to market-level information, becomes less significant in terms of pricing stocks as the holding period is extended, perhaps due to lagged spillover effects among stocks, a pattern that is particularly evident in those markets experiencing high price synchronicities. It is also found that the hypothesis supported in previous studies that low-income economies experience higher price synchronicities no longer holds within the spectrum of emerging markets. Instead, stronger speculative behavior and a lower degree of integration with the world market lead to greater stock price synchronicity in a market. These results are consistent with the hypotheses that firm-level fundamentals are difficult to price in a speculative market where noise trades prevail and that a more segmented market attaches more weight to local-market-specific information relative to global information in terms of pricing. Finally, the stock price synchronicity in many markets varies asymmetrically with negative market conditions, suggesting that firm-level fundamentals become more difficult to be capitalized into stock prices when markets are bearish.

本研究考察了新兴市场的市场内股票价格同步性，并试图从表征市场结构、市场投机交易行为和与世界市场整合程度的因素方面解释这一现象。收集面板数据并计算同步性和相关措施。我们的研究结果表明，与市场层面的信息相比，随着持股期的延长，企业特定信息在股票定价方面变得不那么重要，这可能是由于股票之间的滞后溢出效应，这种模式在经历高价格同行性的市场中尤为明显。研究还发现，先前研究中支持的假设，即低收入经济体经历更高的价格同步性，在新兴市场范围内不再成立。相反，更强的投机行为和较低的与世界市场的一体化程度导致一个市场的股票价格更大的同步性。这些结果与以下假设相一致:在噪音交易盛行的投机市场中，公司层面的基本面很难定价;在定价方面，更细分的市场更重视本地市场特定信息，而不是全球信息。最后，许多市场的股价同步性与负面市场条件不对称，这表明当市场看跌时，公司层面的基本面变得更难以资本化到股价中。

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引用次数: 3

Robust Measurement of Size and Book-to-Market Premia 稳健的规模测量和账面市值溢价

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2003-06-27 DOI: 10.2139/ssrn.407726

Chih-Chiang Hsu, Robin K. Chou

In this paper we use the quantile regression to analyze size and book-to-market effects on the conditional distribution of stock returns. In contrast with Knez and Ready (1997), the quantile regression can obtain more robust results without trimming informative extremes. We find that size and book-to-market exhibits asymmetric effects on return quantiles. Comparing with Fama and French (1992), the negative relation between size and returns only occurs in stocks that performs well above the average (winners). However, the robust measurements show that size has positive effects on returns. The book-to-market premium has similar influences on return quantiles and is a more consistent risk factor than size does. We also find that the size and book-to-market effects on the tails of the return distribution may have changed since 1982. Our results provide practical implications on momentum strategies.

本文运用分位数回归分析了规模和账面市值比对股票收益条件分布的影响。与Knez和Ready(1997)相比，分位数回归可以在不修剪信息极值的情况下获得更稳健的结果。我们发现，规模和账面市值比对回报率分位数表现出不对称效应。与Fama和French(1992)相比，规模和回报之间的负相关关系仅发生在表现远高于平均水平的股票(赢家)中。然而，稳健的测量表明，规模对回报有积极影响。与规模相比，账面市值溢价对收益分位数也有类似的影响，而且是一个更一致的风险因素。我们还发现，自1982年以来，收益分布尾部的规模和账面市值比效应可能发生了变化。我们的研究结果对动量策略具有实际意义。

引用次数: 3

Investment Strategies Using Orthogonal Portfolios 正交投资组合的投资策略

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2003-06-23 DOI: 10.2139/ssrn.407707

Hossein Asgharian, B. Hansson

This paper evaluates the usefulness of the orthogonal portfolio approach proposed by MacKinlay and Pastor (2000), for the estimation of the expected returns of Swedish industrial portfolios from 1980 to 1997. In this approach the expected returns are linked to the residual covariance matrix of a given factor model. The analysis consists of two related but distinct parts. We first examine the significance of the orthogonal approach as an asset-pricing model. The second part judges the ability of the orthogonal portfolio approach in forming investment strategies. The estimation of the parameters of the applied models requires solution of a difficult and nonlinear likelihood function. We use simulated annealing as our procedure to find the global optimum of the likelihood function. Thus, in contrast to MacKinlay and Pastor (2000) we can let the model determine the importance of the unobserved factor, the orthogonal portfolio, and allow for heteroskedasticity in the idiosyncratic risk of the test assets. We first compare the estimated expected returns and the characteristics of the factor portfolios from different models. Then, all models are evaluated from a portfolio perspective: We calculate the weights of the portfolio with the maximum Sharpe-ratio, the tangency portfolio, and the out of sample Sharpe-ratios of these portfolios are used as the evaluation metric.

本文评估了MacKinlay和Pastor(2000)提出的正交投资组合方法在估计1980年至1997年瑞典工业投资组合预期收益方面的有效性。在这种方法中，预期收益与给定因子模型的残差协方差矩阵相关联。分析由两个相关但不同的部分组成。我们首先检验正交方法作为资产定价模型的意义。第二部分对正交投资组合方法在投资策略形成中的能力进行了评价。应用模型的参数估计需要求解一个困难的非线性似然函数。我们使用模拟退火作为我们的程序来寻找全局最优的似然函数。因此，与MacKinlay和Pastor(2000)相反，我们可以让模型确定未观察到的因素，即正交投资组合的重要性，并允许测试资产的特质风险中的异方差。我们首先比较了不同模型下因子组合的估计预期收益和特征。然后，从投资组合的角度对所有模型进行评估:我们计算具有最大夏普比率的投资组合的权重，切线投资组合，并使用这些投资组合的样本外夏普比率作为评估指标。

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引用次数: 1

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias 围绕区块的价格行为:不对称或买卖偏差

European Financial Management Association Meetings (EFMA) (Archive)

Pub Date : 2003-06-14 DOI: 10.2139/ssrn.394987

A. Frino, Vito Mollica, T. Walter

This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.

本文分析了1993年1月至2001年10月期间构成道琼斯工业平均指数的30只股票的大宗交易对价格的影响。此前的研究表明，价格在卖出后会回升，但在买入后仍保持高位，这就造成了大宗购买和卖出之间的不对称。现存文献对这种不对称的来源提出了几种猜想。我们复制了以前文献中记录的不对称，并提供了一个关于其来源的新猜想，特别是买卖偏差。研究结果表明，消除买卖偏差的大宗交易价格效应会产生大宗交易价格效应行为的对称性。这表明研究设计问题导致了先前文献中记录的不对称，并且购买并不比销售提供更多信息。

引用次数: 1

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