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41.
Unternehmensbewertung unter Unsicherheit: Zur entscheidungstheoretischen Fundierung der Risikoanalyse 总被引:4,自引:2,他引:4
Prof. Dr. Günter Bamberg Prof. Dr. Gregor Dorfleitner Gregor Dorfleitner PD Dr. Michael Krapp 《Zeitschrift für Betriebswirtschaft》2006,76(3):287-307
Zusammenfassung Zur Bewertung von Unternehmen beziehungsweise von risikobehafteten Zahlungsstr?men gibt es im Wesentlichen vier Ans?tze, n?mlich
erstens der rein individualistische Ansatz unter ausschlie?licher Verwendung multiattributiver (= multivariater) Risikonutzenfunktionen,
zweitens hybride Ans?tze, die den individualistischen Ansatz mit einem perfekten Geldmarkt zu verbinden suchen, drittens die
CAPM-basierte Methodik und schlie?lich viertens der auf der no-arbitrage Bedingung aufbauende Ansatz im Rahmen eines reichhaltigen
(perfekten und vollst?ndigen) Kapitalmarkts. Die Arbeit besch?ftigt sich mit einem wichtigen Aspekt des hybriden (semi-subjektiven,
semi-objektiven, ...) Ansatzes. Bei Existenz eines perfekten Geldmarkts kann der zu bewertende Zahlungsstrom durch risikolose
Anlage-beziehungsweise Verschuldungsaktivit?ten transformiert werden; dabei bleibt die intertemporale Abh?ngigkeitsstruktur
unberührt. Beeinflussen derartige Transformationen das für Bewertungsfragen relevante Sicherheits?quivalent nicht, so bezeichnen
wir die zu Grunde liegende multiattributive Risikonutzenfunktion als geldmarktinvariant. Die Klasse der geldmarktinvarianten
Risikonutzenfunktionen wird vollst?ndig charakterisiert. Ferner wird die entscheidungstheoretische Fundierung der Risikoanalyse
gekl?rt.
On the evaluation of risky streams: theoretical underpinnings of the risk analysis
Summary There are several approaches to the valuation of risky streams: Firstly, the pure individualistic approach stemming from multiperiod (= multiattributed, multivariate) utility functions, secondly, the individualistic approach combined with the ingredients (risk-free rate) of a perfect money market, thirdly, CAPM-based approaches, and finally, the no-arbitrage valuation in the framework of perfect and complete capital markets. The paper deals with an important aspect of the second approach. A multiperiod utility function is called moneymarket invariant if the (time zero) certainty equivalent is independent of (arbitrary but non-stochastic) borrowing and lending activities. The invariant utility functions are completely characterized. Moreover, the paper clarifies the theoretical underpinnings of the risk analysis.
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42.
We study buyer‐determined procurement auctions where both price and non‐price characteristics of bidders matter for being awarded a contract. Although, in scoring auctions bidders perfectly know how price and non‐price attributes determine the awarding of the contract, this remains uncertain in buyer‐determined auctions where the buyer is free to choose once all bids have been submitted. We analyze the impact of information bidders have with respect to the buyer's awarding decision. As we show theoretically whether it is in the buyer's interest to conceal the impact of non‐price characteristics depends on how important the quality aspects of the procured good are to the buyer: The more important quality aspects are, the more interesting concealment becomes. In a counterfactual analysis using data from a large European procurement platform, we analyze the reduction of non‐price information available to the bidders. Confirming our hypothesis, for auction categories where bidders’ non‐price characteristics strongly influence buyers’ decisions concealment of non‐price information leads to an increase in buyers’ surplus of up to 15% due to higher competitive pressure and lower bids. Conversely, for categories where bidders’ non‐price characteristics are of little importance concealment of non‐price information leads to a decrease in buyers’ surplus of up to 6%. 相似文献
43.
Calibration in macroeconomics involves choosing fre parameters by matching certain moments of simulted models with those of data. We formally examine this method by treating the process of calibration as an econometric estimator. A numerical version of the Mehra-Prescott (1985) economy is the setting for an evaluation of calibration estimators via Monte Carlo methods. While these estimators sometimes have reasonable finite-sample properties they are not robust to mistakes in setting non-free parameters. In contrast, generalized method-of-moments (GMM) estimators have satisfactory finite-sample characteristics, quick convergence, and informational requirements less stringent than those of calibration estimators. In dynamic equilibrium models in which GMM is infeasible we offer some suggestions for improving estimates based on calibration methodology. 相似文献
44.
Gregor Benton 《Identities: Global Studies in Culture and Power》2013,20(3):347-375
This article looks at the early history of the British Chinese community in the light of transnational studies. It questions the belief that homeland and intradiasporic economic ties are predominantly new, save on the rare occasions that elites maintained them, and that early political transnationalism was less common still and even more sure to be elite based. In so doing, it draws attention to the role played by political elites in galvanising migrant communities. It also analyses the role played by class-based organisations in constructing transnational ties, a form of Chinese transnationalism that other studies fail to note. It finds that transnational practices and institutions pervaded the early community in its immigrant phases, both from below and from above. This immigration was overwhelmingly proletarian, but nonetheless transnational. Though basically economic, the transnational community was also political. Capturing a mass base among Chinese overseas was a central strategy of late-Qing dissidents. Crucially, China's early radicals shared a Cantonese origin with their compatriots in Britain, North America, Australia, and elsewhere. The article's findings challenge transnational theories, which stress contemporaneity, economics, and elites. The political cultivation of Chinese in Southeast Asia by Republicans and Communists has been the subject of numerous studies. Far less is known about analogous activities in Europe. By exploring early Republican and Communist influences on the Chinese in Britain, this article traces further paths along which diasporic nationalism spread. 相似文献
45.
In recent history, financial markets worldwide experienced severe turmoil due to the subprime crisis originating from the practice of US mortgage banks to securitize loans given especially to subprime borrowers. In the same crisis, several distressed banks were bailed out by states with even more banks receiving financial aids from governments. Using a unique data sample of 100 announcements of US mortgage banks between 2006 and 2009, this paper provides empirical evidence that isolated failures of US mortgage banks caused significant contagion effects in the US financial system. Conversely, especially the bailouts of Fannie Mae and Freddie Mac led to significant positive valuation effects at rival banks. In the cross-sectional analyses, contrary to previous studies in the literature on past financial crises, we find evidence for pure contagion effects following the failures of US mortgage banks. Furthermore, we analyze the reactions of the CDS spreads of several large US banks to the announcements of mortgage banks using a novel mixture copula model. The results show that the contagion effects were limited to the stock market thus underlining the notion of an irrational response of (stock) market participants. The results from our cross-sectional and CDS data analyses in turn indicate that several of the failures of US mortgage banks during the subprime crisis caused irrational contagion in the US financial system thus justifying government intervention. Finally, we rule out the possibility that the contagion effects limited to the US stock market were caused by a herding of investors. 相似文献