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Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
General Equilibrium Theories of the Equity Risk Premium: Estimates and Tests
General Equilibrium Theories Equity Risk Premium Estimates and Tests
2010/9/7
This paper provides new estimates and tests of a number of leading general equilibrium theories of the price of equity and, to our knowledge, the first estimates of the time-varying equity premia impl...
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
Asset pricing risk premium macroeconomic volatility stochastic discount factor model
2010/9/7
This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is...
Book Values and Market Values of Equity and Debt
Book values mean reverting return on assets equity valuation debt valuation default option structural models voluntary liquidation
2010/9/7
This paper proposes a contingent claims model to value a .rm.s debt and equity as functions of observable book values appearing in published .nancial statements. Equity fair value critically depends o...
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying utility as a nonhomothetic function of both luxury and basic consumption goods, we derive pricin...