Detail Essays on event studies and on numerical methods Bibliografi Author: Castillo, Augusto ; Brennan, Michael (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-78795-3     Penerbit: University of California     Tahun Terbit: 2000     Jenis: Theses - Dissertation Fulltext: 9973215.pdf (0.0B; 5 download) Abstract The dissertation contains three essays. The first essay analyzes the impact of corporate junk bond offering announcements on stock prices for a sample of 680 issues of below investment grade bonds, during the 1976–1989 period. The sample shows a –1.0% cumulative abnormal return (CAR) for a two day event window period, and the zero CAR hypothesis is rejected with 99% confidence. The second essay examines the long run post issue stock price performance of 377 firms that issued below investment grade bonds during the 1976–1989 period. Three methodologies that control for the usual sources of bias affecting long run performance studies are used. The results obtained by the different methodologies are very consistent among them, showing no significant underperformance over the three years following the issues, and increasing underperformance for longer periods. The underperformance is particularly severe for the issuers of convertible bonds and debt with equity, for firms listed in the Amex, for issuers of CCC rated debt, for smaller companies, and for firms with high book to market ratios. In the third essay I adjust an hybrid of simulation and dynamic programming algorithm recently developed to price American options, to value a copper mine that offers the options to close, reopen, and abandon, with some finite frequency, The methodology presented here allows for the valuation of high dimensional option-type securities, i.e. the ones whose values are a function of several random variables. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

Copyright © 2006, 2007 Unika Atma Jaya, all rights reserved