V
Vasant Naik
Researcher at Lehman Brothers
Publications - 16
Citations - 3181
Vasant Naik is an academic researcher from Lehman Brothers. The author has contributed to research in topics: Risk premium & Cash flow. The author has an hindex of 11, co-authored 16 publications receiving 3082 citations. Previous affiliations of Vasant Naik include University of British Columbia.
Papers
More filters
Posted Content
Optimal Investment, Growth Options, and Security Returns
TL;DR: In this article, the authors use a dynamic model to predict changes in a firm's systematic risk, and its expected return, and show that the model simultaneously reproduces the time series relation between the book-to-market ratio and asset returns, the cross-sectional relation between book to market, market value and return, contrarian effects at short horizons, momentum effects at longer horizons and the inverse relation between interest rates and the market risk premium.
Journal ArticleDOI
Optimal Investment, Growth Options, and Security Returns
TL;DR: In this article, the authors use a dynamic model to predict changes in a firm's systematic risk, and its expected return, and show that the model simultaneously reproduces the time-series relation between the book-to-market ratio and asset returns, the cross-sectional relation between book to market, market value, and return, contrarian effects at short horizons, momentum effects at longer horizons and the inverse relation between interest rates and the market risk premium.
Posted Content
Valuation and Return Dynamics of New Ventures
TL;DR: In this paper, the authors developed and analyzed a model of a multi-stage investment project that captures many features of R&D ventures and start-up companies, and showed that the systematic risk and the required risk premium of the venture are highest early in its life, and decrease as it approaches completion, despite the idiosyncratic nature of the technical risk.
Journal ArticleDOI
Valuation and Return Dynamics of New Ventures
TL;DR: In this article, a dynamic model of a multistage investment project that captures many features of research and development (R&D) ventures and start-up companies is developed.
Journal ArticleDOI
Leverage Constraints and the Optimal Hedging of Stock and Bond Options
Vasant Naik,Raman Uppal +1 more
TL;DR: In this article, the authors consider the problem of a financial institution that needs to hedge a stream of state-contingent cash flows while facing borrowing and short-sales restrictions.