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AA / International- internationaal --- 305.8 --- 380.20 --- 380.1 --- Econometrie van de investeringen, het gedrag van de onderneming. --- Prijstheorieën: algemeenheden. --- Waardeleer. --- Options (Finance). --- Investment management --- Options (Finance) --- Uncertainty --- Capital investments --- Capital investments. --- Uncertainty. --- Options (Finances) --- Investissements de capitaux --- Incertitude --- Reasoning --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Derivative securities --- Investments --- Capital expenditures --- Capital improvements --- Capital spending --- Fixed asset expenditures --- Plant and equipment investments --- Plant investments --- Econometrie van de investeringen, het gedrag van de onderneming --- Waardeleer --- Prijstheorieën: algemeenheden

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By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy of the firm, we develop a theoretical model, determine the optimal investment policy and, given this policy, calculate the ratio of the current value of the firm and the current cash flow which we call the "cash flow multiplier''. The main contribution of the paper, however, is empirical. Using a very extensive data set comprised of more than 13,000 fims over 44 years we examine the determinants of the cash flow multiplier using as explanatory variables macro and firm specific variables suggested by the theoretical model. We find strong support for the variables suggested by the model. Perhaps the most interesting aspect of the paper is the formulation of a parsimonious empirical asset pricing model, based on the fundamental discounted cash flow approach but using current macroeconomic variables and firm specific variables easily observable for its implementation. We obtain valuation equations that could potentially form part of a new valuation framework which does not require estimating future cash flows nor risk adjusted discount rates.

Zonder onderwerpscode: economie

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Zonder onderwerpscode: economie

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We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are significantly related to the characteristics of agents' belief distributions for the macroeconomy, with GDP beliefs the most important factor in the USD market, and inflation beliefs the most important factor in the EUR market. This is consistent with differences in monetary policy objectives in the two markets.

Zonder onderwerpscode: economie