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Int. J. Financial Stud., Volume 3, Issue 2 (June 2015) – 7 articles , Pages 75-176

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Article
An Improved Valuation Model for Technology Companies
Int. J. Financial Stud. 2015, 3(2), 162-176; https://doi.org/10.3390/ijfs3020162 - 01 Jun 2015
Cited by 3 | Viewed by 2720
Abstract
This paper estimates some of the parameters of the Schwartz and Moon (2001)) model using cross-sectional data. Stochastic costs, future financing, capital expenditures and depreciation are taken into account. Some special conditions are also set: the speed of adjustment parameters are equal; the [...] Read more.
This paper estimates some of the parameters of the Schwartz and Moon (2001)) model using cross-sectional data. Stochastic costs, future financing, capital expenditures and depreciation are taken into account. Some special conditions are also set: the speed of adjustment parameters are equal; the implied half-life of the sales growth process is linked to analyst forecasts; and the risk-adjustment parameter is inferred from the company’s observed stock price beta. The model is illustrated in the valuation of Google, Amazon, eBay, Facebook and Yahoo. The improved model is far superior to the Schwartz and Moon (2001) model. Full article
Article
Purchasing Power Parity in Transition Countries: Panel Stationary Test with Smooth and Sharp Breaks
Int. J. Financial Stud. 2015, 3(2), 153-161; https://doi.org/10.3390/ijfs3020153 - 19 May 2015
Cited by 13 | Viewed by 3039
Abstract
This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995–2011 period. We apply a recently introduced panel stationary test, which accounts for [...] Read more.
This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995–2011 period. We apply a recently introduced panel stationary test, which accounts for sharp breaks and smooth shifts. The results indicate that the PPP holds only in two countries (i.e., Lithuania and Poland). Full article
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Editorial
Special Issue: Recent Developments in Finance and Banking after the 2008 Crisis
Int. J. Financial Stud. 2015, 3(2), 151-152; https://doi.org/10.3390/ijfs3020151 - 13 May 2015
Viewed by 2238
Abstract
The sub-prime financial crisis was not simply the result of excessive leverage and inadequate capital, but it was brewing for some time as a result of a gradual deterioration of business leadership, lapses in governance and in the regulatory framework (particularly in derivatives [...] Read more.
The sub-prime financial crisis was not simply the result of excessive leverage and inadequate capital, but it was brewing for some time as a result of a gradual deterioration of business leadership, lapses in governance and in the regulatory framework (particularly in derivatives markets), and an ineffective risk-management framework.[...] Full article
(This article belongs to the Special Issue Recent Developments in Finance and Banking after the 2008 Crisis)
Article
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Int. J. Financial Stud. 2015, 3(2), 136-150; https://doi.org/10.3390/ijfs3020136 - 05 May 2015
Cited by 4 | Viewed by 3480
Abstract
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numerical method. In [...] Read more.
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option-adjusted valuation can be relatively easy to implement, it is a well-known challenge that the convergence and the desired accuracy can only be achieved at the cost of lengthy computational times. In this paper, we study the convergence of Monte Carlo methods in calculating the option-adjusted spread (OAS), effective duration (DUR) and effective convexity (CNVX) of MBS instruments. We further define two new concepts, absolute convergence and relative convergence, and show that while the convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain the desired accuracy for effective duration and effective convexity (relative convergence). These results suggest that practitioners can reduce the computational time substantially without sacrificing simulation accuracy. Full article
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Article
On Transaction-Cost Models in Continuous-Time Markets
Int. J. Financial Stud. 2015, 3(2), 102-135; https://doi.org/10.3390/ijfs3020102 - 24 Apr 2015
Viewed by 2713
Abstract
Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs, built [...] Read more.
Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs, built in certain recommended ways, have to be paid. Markets prove to behave in manners that resemble those of complete ones for a wide variety of transaction-cost types. The results are important, but not exclusively, for the pricing of options with transaction costs. Full article
(This article belongs to the Special Issue Recent Developments in Finance and Banking after the 2008 Crisis)
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Article
Financial Reforms and Financial Fragility: A Panel Data Analysis
Int. J. Financial Stud. 2015, 3(2), 84-101; https://doi.org/10.3390/ijfs3020084 - 24 Apr 2015
Cited by 10 | Viewed by 2874
Abstract
This paper explores the relationship between financial reforms, financial liberalization and the quality of banking regulation and supervision for financial fragility by applying a dynamic two-step system generalized method of moments GMM panel estimator technique. The finding of this study is that the [...] Read more.
This paper explores the relationship between financial reforms, financial liberalization and the quality of banking regulation and supervision for financial fragility by applying a dynamic two-step system generalized method of moments GMM panel estimator technique. The finding of this study is that the financial vulnerability of the banking sector could be affected, not only by bank-specific and macro-specific variables; but also by financial liberalization and banking regulations and supervision policies. The empirical results of this study confirm the evidence that financial reforms and financial liberalization significantly enhance the likelihood of financial fragility while strong banking regulations and supervision have an inverse relationship with financial fragility. The results of this study also explain that the lag value of loan growth and unemployment contribute to enhancing financial fragility while equity to assets ratio, natural log of total assets and share of foreign banks reduce financial vulnerability. Full article
Article
The NBA’s Maximum Player Salary and the Distribution of Player Rents
Int. J. Financial Stud. 2015, 3(2), 75-83; https://doi.org/10.3390/ijfs3020075 - 25 Mar 2015
Viewed by 3824
Abstract
The NBA’s 1999 Collective Bargaining Agreement (CBA) included provisions capping individual player pay in addition to team payrolls. This study examines the effect the NBA’s maximum player salary on player rents by comparing player pay from the 1997–1998 and 2003–2004 seasons while controlling [...] Read more.
The NBA’s 1999 Collective Bargaining Agreement (CBA) included provisions capping individual player pay in addition to team payrolls. This study examines the effect the NBA’s maximum player salary on player rents by comparing player pay from the 1997–1998 and 2003–2004 seasons while controlling for player productivity and other factors related to player pay. The results indicate a large increase in the pay received by teams’ second highest and, to a lesser extent, third highest paid players. We interpret this result as evidence that the adoption of the maximum player salary shifted rents from stars to complementary players. We also show that the 1999 CBA’s rookie contract provisions reduced salaries of early career players. Full article
(This article belongs to the Special Issue Sports Finance)
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