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Problemas de estimação de custo de capital de empresas concessionárias no Brasil: uma aplicação à regulamentação de concessões rodoviárias; Problems in the estimation of the cost of capital for highway operating contracts in Brazil: an application to the regulation of highway operating contracts; Problemas de estimación de costo de capital de empresas concesionarias en Brasil: una aplicación a la reglamentación de concesiones de autopistas

Sanvicente, Antonio Zoratto
Fonte: Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo Publicador: Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo
Tipo: Artigo de Revista Científica
Português
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Neste trabalho, discute-se a fixação de taxas de retorno de concessões no Brasil, com aplicação específica ao caso da metodologia da Agência Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequação da regulamentação vigente, baseada no conceito de taxa interna de retorno (TIR), e não de custo de oportunidade do capital. A partir de um exemplo com dados referentes ao auge da crise financeira internacional (dezembro de 2008), evidencia-se também a falta de lógica decorrente da utilização de retornos e preços passados na estimação de taxas de retorno, um procedimento comum a toda a área de concessões de serviços públicos no Brasil. Propõe-se uma metodologia alternativa cujos resultados são sensíveis às condições correntes de mercado de capitais, que produz resultados coerentes com a situação então vigente.

Testing the Optimality of Aggregate Consumption Decisions: Is there Rule-of-Thumb Behavior?

Gomes, Fábio Augusto Reis; Issler, João Victor
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
Português
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Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation...

Fator estocástico de desconto: as cotas de variância, métricas de distância e suas extensões

Araujo, João Bretas de
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
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The concept of stochastic discount factor pervades the Modern Theory of Asset Pricing. Initially, such object allows unattached pricing models to be discussed under the same terms. However, Hansen and Jagannathan have shown there is worthy information to be brought forth from such powerful concept which undelies asset pricing models. From security market data sets, one is able to explore the behavior of such random variable, determining a useful variance bound. Furthermore, through that instrument, they explore one pitfall on modern asset pricing: model misspecification. Those major contributions, alongside with some of its extensions, are thoroughly investigated in this exposition.; O conceito de fator estocástico de desconto permeia a Teoria Moderna de Apreçamento de Ativos. A princípio, tal objeto permite homogeneização na discussão sobre modelos de apreçamento. No entanto, Hansen e Jagannathan mostraram que há mais a ser extraído desse poderoso conceito subjacente aos modelos. A partir de dados, estudam limites do comportamento dessa variável aleatória, determinando cotas inferiores para suas variâncias. Além disso, com aquele instrumento, exploram as fragilidades da modelagem em finanças como erros de especificação. Essas contribuições e algumas de suas extensões são investigadas nessa dissertação.

Uma comparação entre os modelos Capm, Fama-French e Fama-French-Carhart

Bodur, Frederico Jungblut
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
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Esse estudo busca identificar qual modelo de precificação de ativos apresenta melhor desempenho na tarefa de explicar o retorno de ações da bolsa brasileira. Entre os modelos avaliados estão o CAPM (Capital Asset Pricing Model), modelo de três fatores de Fama-French e modelo de quatro fatores de Fama-French-Carhart. O primeiro modelo considera o fator de mercado como único responsável pela diferença de retorno entre ativos financeiros. O segundo modelo é acrescido por dois novos fatores, relacionados ao valor de mercado e a relação entre valor patrimonial e valor de mercado das empresas. No terceiro modelo é adicionado mais um fator, relacionado ao retorno passado das ações. Entre os resultados, pode-se destacar a diferença de retorno médio encontrada para as ações classificadas conforme as características financeiras usadas na construção dos fatores. Ainda, observou-se um acréscimo no poder explicativo dos modelos com mais fatores.; This study seeks to identify which asset pricing model performs better on the task of explaining the return of financial assets of the Brazilian market. Among the evaluated models are the CAPM (Capital Asset Pricing Model), Fama-French three-factor model and Fama-French-Carhart four-factor model. The first model considers the market as the sole factor responsible for the return difference between financial assets. The second model is augmented by two new factors related to market value and the relationship between book value and market value of companies. In the third model is added another factor...

Aplicação dos modelos multifatoriais de Fama e French ao mercado brasileiro

Müller, Mateus Azeredo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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Este trabalho testa três modelos de precificação de ativos visando identificar qual o modelo que melhor explica o retorno das ações do mercado brasileiro. São testados o CAPM (Capital Asset Pricing Model) e os modelos multifatoriais de três fatores e de cinco fatores de Fama e French. O CAPM utiliza uma única variável, o fator mercado, para explicar o retorno dos ativos. Julgando insuficiente o fator mercado, dois fatores relacionados ao mercado de ações são adicionados, o fator tamanho e o fator valor, formando o modelo de três fatores. Para o modelo de cinco fatores, são somados, a estes três fatores, mais dois fatores, termo e default, ambos relacionados ao mercado de renda fixa. Os resultados mostram que os modelos multifatoriais apresentam uma capacidade explicativa dos retornos significativamente superior ao CAPM. Ainda, o modelo de cinco fatores apresenta ligeira superioridade sobre o de três fatores. Entretanto, considerando a maior facilidade do modelo de três fatores e a pequena diferença de resultado entre este e o modelo de cinco fatores, concluímos que o modelo de três fatores é o mais indicado ao mercado acionário brasileiro.; This work examines three asset pricing models aiming to identify which model best explains the stock returns of the Brazilian market. We test the CAPM (Capital Asset Pricing Model) and Fama and French’s multifactorial models of three factors and five factors. The CAPM uses a single variable...

Análise empírica de fatores determinantes do risco sistemático das empresas brasileiras

Fernandes, Ângela Silva
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Dissertação
Português
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Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, 2007.; O Capital Asset Pricing Model (CAPM) postula a existência de uma relação linear entre o retorno em excesso de um ativo financeiro e o retorno em excesso do mercado. Essa relação é mensurada pelo coeficiente beta, que representa o risco sistemático do ativo em questão. Ativos financeiros de empresas diferentes têm betas diferentes, em função de diferentes percepções de risco manifestadas pelos participantes do mercado. No entanto, o CAPM não trata da distribuição seccional desses ativos, isto é, das diferenças observadas entre os betas de diferentes ativos financeiros. Assim, o objetivo deste estudo consiste em investigar quais fatores, no nível da empresa, influenciam a distribuição seccional do risco sistemático das empresas brasileiras. As variáveis testadas na análise empírica incluem medidas de liquidez, de rentabilidade, de endividamento, de porte, do setor de atividade e, por fim, de governança coorporativa. Para a realização dos testes empíricos, utilizaram-se regressões lineares seccionais simples e múltiplas tendo como variável dependente os betas de um conjunto de empresas listadas na Bovespa e...

Custo de capital do setor portuário brasileiro

Cavalcanti, Samuel Ramos de Carvalho
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Dissertação
Português
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Dissertação (mestrado)—Universidade de Brasília, Departamento de Economia, Centro de Estudos e Regulação de Mercados, 2013.; Este trabalho testa três modelos de precificação de ativos visando identificar qual o modelo que melhor explica o retorno das ações do mercado brasileiro com o objetivo de se calcular o custo de capital do setor portuário nacional. São testados o CAPM (Capital Asset Pricing Model) e os modelos multifatoriais de três fatores de Fama e French. O CAPM utiliza uma única variável, o fator mercado, para explicar o retorno dos ativos. Julgando insuficiente o fator mercado, dois fatores relacionados ao mercado de ações são adicionados, o fator tamanho e o fator valor, formando o modelo de três fatores. Os resultados mostram que os modelos multifatoriais apresentam uma capacidade explicativa dos retornos significativamente superior ao CAPM. Ainda, foi adotada a média entre o CAPM e Fama e French para o cálculo do capital próprio. Para calcular o custo do capital de terceiros foi utilizado o modelo sugerido pela metodologia CAPM; e o custo médio ponderado – WACC (Weighted Average Cost of Capital) foi calculado utilizando as três metodologias de precificação acima descritas. ______________________________________________________________________________ ABSTRACT; This piece of work examines three asset pricing models to identify which model best explains the stock returns of the Brazilian market to calculate the cost of capital of the Brazilian Ports market. The CAPM (Capital Asset Pricing Model) and the multifactor models with three factors of Fama and French are tested. The CAPM uses a single variable...

Empirical investigations of equity market anomalies in corporate bond and firm returns

Hood, Frederick M. (1976 - ); Long, John B.
Fonte: University of Rochester Publicador: University of Rochester
Tipo: Tese de Doutorado Formato: Number of Pages:x, 117 leaves
Português
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Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2009.; In this thesis I examine two questions related to corporate debt markets. First, how do corporate bond prices react to firm specific information? Second, are the size and book-to-market premiums found in the cross-section of equity returns due to capital structure risk or asset risk? I utilize a unique set of corporate bond returns from Merrill Lynch to provide answers to both questions. In Chapter 1 I describe the bond data and establish that weekly return distributions derived from the Merrill Lynch prices are similar to both pure transaction data and data from a different pricing service. In Chapter 2 I provide evidence that the Merrill Lynch prices reflect firm specific information and the firm specific information in bond prices contains more information about the mean of the firm’s cash flows than the variance. I find a positive relationship between weekly bond and stock returns using time-series regressions after controlling for market returns. I also examine cumulative abnormal bond returns around earnings surprises and find that bonds react as predicted given the asymmetric nature of their payoff. Bonds with higher relative credit risk react more to earnings surprises. In addition...

Comparação entre diferentes modelos de precificação de ativos com risco CAPM e variantes

Fonte: Universidade Federal de Lavras Publicador: Universidade Federal de Lavras
Tipo: Artigo de Revista Científica
Português
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Bank Capital : Lessons from the Financial Crisis

Demirguc-Kunt, Asli; Detragiache, Enrica; Merrouche, Ouarda
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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Using a multi-country panel of banks, the authors study whether better capitalized banks fared better in terms of stock returns during the financial crisis. They differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the common equity ratio. They find several results: (i) before the crisis, differences in capital did not affect subsequent stock returns; (ii) during the crisis, higher capital resulted in better stock performance, most markedly for larger banks and less well-capitalized banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) there is evidence that higher quality forms of capital, such as Tier 1 capital, were more relevant. They also examine the relationship between bank capitalization and credit default swap (CDS) spreads.

Safe and Sound Banking : A Role for Countercyclical Regulatory Requirements?

Caprio, Gerard, Jr.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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Most explanations of the crisis of 2007-2009 emphasize the role of the preceding boom in real estate and asset markets in a variety of advanced countries. As a result, an idea that is gaining support among various groups is how to make Basel II or any regulatory regime less pro-cyclical. This paper addresses the rationale for and likely contribution of such policies. Making provisioning (or capital) requirements countercyclical is one way potentially to address pro-cyclicality, and accordingly it looks at the efforts of the authorities in Spain and Colombia, two countries in which countercyclical provisioning has been tried, to see what the track record has been. As explained there, these experiments have been at best too recent and limited to put much weight on them, but they are much less favorable for supporting this practice than is commonly admitted. The paper then addresses concerns and implementation issues with countercyclical capital or provisioning requirements, including why their impact might be expected to be limited...

The Market Value Implications of Pension Asset Allocation

Turner, Elizabeth H.
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
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Pension funds have been part of the private sector since the 1850’s. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers’ Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm...

The market value implications of pension asset allocation

Hendrix Turner, Diane Elizabeth
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
28.21185%
Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. ^ This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm...

Information Asymmetries and Institutional Investor Mandates

Didier, Tatiana
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
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The preference among foreign institutional investors for large firms is widely documented. This paper deepens our understanding of international investments by providing evidence that foreign institutional investors with broader investment scopes prefer to invest in firms where they are less prone to information disadvantages than more specialized ones. In other words, there is heterogeneity in how information asymmetries affect investors' portfolio choices. Theoretically, a model with costly information and short-selling constraints shows that the broader the investor's mandate, the smaller the incentives to gather and process costly information. Empirically, an analysis of the mutual fund industry in the United States supports this hypothesis.

Revisiting the Black-Scholes equation

Wang, D. F.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/05/1998 Português
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In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest rate is constant, he rederived the Black-Scholes partial differential equation from the general equilibrium asset market. In this work, I follow Cox-Ingersoll-Ross formulation to consider an economy which includes (1) uncertain production processes, and (2) the random technology change. Assuming a random production stochastic process of constant drift and variance, and assuming a random technology change to follow a log normal process, the equilibrium point of this economy will lead to the Black-Scholes partial differential equation for option pricing.; Comment: 12 pages, Revtex style

Information, Inflation, and Interest

Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 15/10/2007 Português
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing a Sidrauski-type utility function depending on (a) the aggregate rate of consumption, and (b) the aggregate rate of real liquidity benefit conferred by the money supply. Consumption and money supply policies are chosen such that the expected joint utility obtained over a specified time horizon is maximised subject to a budget constraint that takes into account the "value" of the liquidity benefit associated with the money supply. For any choice of the bivariate utility function, the resulting model determines a relation between the rate of consumption, the price level, and the money supply. The model also produces explicit expressions for the real and nominal pricing kernels, and hence establishes a basis for the valuation of inflation-linked securities.

Discrete-Time Interest Rate Modelling

Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/11/2009 Português
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This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the inter-temporal relations for dividend-paying assets, and the other ensuring the existence of a money-market asset. We show that the existence of a positive-return asset implies the existence of a previsible money-market account. A general expression for the price process of a limited-liability asset is derived. This expression includes two terms, one being the discounted risk-adjusted value of the dividend stream, the other characterising retained earnings. The vanishing of the latter is given by a transversality condition. We show (under the assumed axioms) that, in the case of a limited-liability asset with no permanently-retained earnings, the price process is given by the ratio of a pair of potentials. Explicit examples of discrete-time models are provided.

Land Value Determination in an Emerging Market: Empirical Evidence from China

Bao, Helen X. H.; Glascock, John L.; Zhou, Sherry Z.; Feng, Lei
Fonte: Emerald Publishing Group Publicador: Emerald Publishing Group
Tipo: Article; accepted version
Português
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This is the author's accepted manuscript. The final version has been published by Emerald Publishing Group in International Journal of Managerial Finance here: http://www.emeraldinsight.com/doi/abs/10.1108/IJMF-03-2012-0033.; A key asset that is important in international markets is real estate?raw land and developed properties. Also, real estate can clearly have difference local rules for investment and transactions based upon bankruptcy protection, appraisal standards, lending standards, taxation and planning processes across countries. This can be particularly true when assessing a developing country. In this research, we assess the relative pricing behavior for land in Beijing China. We see this as important for three core reasons. First, China has a strong growth economy but is still in many ways an undeveloped country and thus we do not have significant data about asset pricing behavior there. Second, China has not traditionally had a market based land and property transfer system. Thus, it is interesting to assess how prices are determined relative to typical market expectations. Third, we have extensive evidence on pricing behavior in the USA and Europe but little such evidence on China. Are the same variables important in Land pricing in China and are there other unique local variables. For example...

Problemas de estimação de custo de capital de empresas concessionárias no Brasil: uma aplicação à regulamentação de concessões rodoviárias; Problemas de estimación de costo de capital de empresas concesionarias en Brasil: una aplicación a la reglamentación de concesiones de autopistas; Problems in the estimation of the cost of capital for highway operating contracts in Brazil: an application to the regulation of highway operating contracts

Sanvicente, Antonio Zoratto
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/03/2012 Português
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This paper discusses the setting of rates of return for highway operation concession contracts in Brazil, as applied to the case of the methodology of ANTT, the country's National Highway Transport Agency. The study demonstrates the inappropriateness of the current regulation, which is based on the internal rate of return concept rather than on the use of the opportunity cost of capital. Using data from the height of the international financial crisis (December of 2008), the study also shows the illogicality that ensues from using historical returns and prices to estimate fair rates of return, a common practice among all the concession contracts for the running of public services in Brazil. An alternative methodology is proposed, whose results are sensitive to the current circumstances of the capital market and which produced results coherent with the situation, such as it was at the time.; Neste trabalho, discute-se a fixação de taxas de retorno de concessões no Brasil, com aplicação específica ao caso da metodologia da Agência Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequação da regulamentação vigente, baseada no conceito de taxa interna de retorno (TIR), e não de custo de oportunidade do capital. A partir de um exemplo com dados referentes ao auge da crise financeira internacional (dezembro de 2008)...

Pricing and hedging of derivative securities: Some effects of asymmetric information and market power.

Stremme, Alexander
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //1999 Português
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This thesis consists of a collection of studies investigating various aspects of the interplay between the markets for derivative securities and their respective underlying assets in the presence of market imperfections. The classic theory of derivative pricing and hedging hinges on three rather unrealistic assumptions regarding the market for the underlying asset. Markets are assumed to be perfectly elastic, complete and frictionless. This thesis studies some effects of relaxing one or more of these assumptions. Chapter 1 provides an introduction to the thesis, details the structure of what follows, and gives a selective review of the relevant literature. Chapter 2 focuses on the effects that the implementation of hedging strategies has on equilibrium asset prices when markets are imperfectly elastic. The results show that the feedback effect caused by such hedging strategies generates excess volatility of equilibrium asset prices, thus violating the very assumptions from which these strategies are derived. However, it is shown that hedging is nonetheless possible, albeit at a slightly higher price. In Chapter 3, a model is developed which describes equilibrium asset prices when market participants use technical trading rules. The results confirm that technical trading leads to the emergence of speculative price "bubbles". However...