Showing papers in "The Quarterly Review of Economics and Finance in 1998"

TL;DR: In this article, the authors discuss possible alternatives for modeling and valuing real options that capture the essence of the problem, but do so in a simpler framework, and demonstrate the need to identify and develop alternative frameworks for practically modeling and valuation real options.

TL;DR: In this paper, the authors examine multi-stage real options applications that have strategic import beyond that captured by standard DCF valuation approaches and show that options valuation can justify making such strategic investment decisions even if NPV suggests otherwise.

TL;DR: This article analyzed a panel of unemployment rates of fifteen OECD countries by using a panel-based test and found that the null hypothesis of a unit root in unemployment rates can be rejected in general, which casts some doubt on the hysteresis hypothesis and provides limited support for the natural rate hypothesis of unemployment for these countries.

TL;DR: In this paper, the authors present the results of implementing a real options model for valuing an investment project that expands production capacity and/or modifies unit costs of a copper mine.

TL;DR: In this paper, the authors presented a straight-forward methodology for valuing the options and their "interaction effect" in the Transurban City Link project in Melbourne, Australia, which is a major project involving the financing, construction, operation and maintenance of 22 kilometers of toll-roads.

TL;DR: In this article, the authors use simple production models to formalize concepts for estimating project volatility and dividend yield, in single stochastic variable option models, and provide an example of how these estimates can be used in a real option valuation exercise.

TL;DR: In this article, the authors derive an optimum number of bidders which ensures the self-enforcing contract at the lowest expected procurement cost, and show how excessive bidding competition leads to the phenomenon of cost overruns.

TL;DR: In this article, the authors apply a binomial lattice approach to the valuation of a gold mine at the time of its initial public offering, and derive the value of the investment timing option using publicly available information contained in a prospectus, and relate the value derived from the option model to the final offer price of the IPO.

TL;DR: In this paper, a firm gains access to productive technology by successfully completing a basic R&D project before its competitors and introducing a new product into the market, and internal growth opportunities are valued as a real option.

TL;DR: In this paper, the authors focus on the quest for undervalued assets and postulate that the existence of market imperfections that cause frictions in the product and service markets also contributes to favor the acquisition of a company already operating.

TL;DR: In this article, the authors investigated the relationship between the level of institutional ownership and various firm specific factors and found support for the hypothesis that institutional investors are concerned with the appearance of their portfolio and invest to avoid extremes.

TL;DR: In this article, the authors apply option-based valuation to determine whether and when a firm should patent and adopt an innovation if the arrivai time of competitors is stochastic, and derive four distinct strategies: apply for a patent without introducing the new technology right away, patent the innovation and invest immediately, initiate the new project without patent protection, or defer the decision.

TL;DR: In this paper, a comparative study of how U.S. imports and exports prices react to exchange rate changes is presented, through time series analyses, and it is shown that while both U. S. and foreign exporters price to market, foreign exporters in general absorb a large portion of exchange rate change by themselves while U S. exporters pass through most of the change to foreign currency prices.

TL;DR: This paper showed that the EGARCH-M model is sensitive to the choice of starting values and the degree of computer precision, and that the instability of the risk aversion parameter in the mean equation is the greatest influence on these results.

TL;DR: In this paper, the authors estimate the returns to seniority (the wage-tenure profile) for university faculty, and the degree to which these returns respond to entry-level salaries (or opportunity wages).

TL;DR: In this article, the value of a firm based on its current earnings and cash balance is modelled on the assumption that earnings follow a mean-reverting process, and the effect of advertising on earnings is modeled and the condition for optimal advertising derived.

TL;DR: In this article, daily spreads for NYSE stocks (which also trade off board) with average spreads likely set by the specialist, are found to exhibit spread behavior consistent with the fragmentation hypothesis.

TL;DR: In this paper, the authors analyze the effect of capital inflows on Brazil's macroeconomic problems, such as an increase in the quasi-fiscal deficit due to the interest payments on the debt used to sterilize the inflows, and also the overvaluation of the currency.

TL;DR: In this paper, the authors present new evidence on the relationship between dividend announcements and stock price responses, and provide a more comprehensive empirical analysis than that previously found in the literature, and simultaneously test several competing theories regarding the information content of dividends using two types of announcements: dividend initiations and specially designated dividends.

TL;DR: In this paper, the authors examine the sensitivity of growth option sensitivity to inflation-induced changes in interest rates using a binomial model and find that growth options are generally less sensitive to these rate changes than assets in place, but the value of growth options frequently decreases as interest rates increase.

TL;DR: This paper examined the demand for major financial assets by householders during different stages of their lives using the life-cycle theory of consumption and saving and cross-sectional data from the Survey of Income and Program Participation (SIPP).

TL;DR: In this paper, a model for valuing an option to exchange one commodity for another, or any combination of n input commodities for some combination of m outputs, is applied to the capital budgeting problem.

TL;DR: In this article, the authors evaluate the effect of prior assumptions on sales tax incidence estimates and the robustness of the prior conclusions about sales tax tax incidence and show that the tax is neither broad based nor the burden limited to consumers.

TL;DR: In this paper, a paired sample design was used to investigate the specific sources of superior post-adoption ROE performance, and they found that the post adoption increase in ROE growth is primarily attributable to improved profit margins, which in turn is a result of a lower Cost Of Goods Sold (COGS) and reduced inventory related costs.

TL;DR: The authors examined the differing determinants of long-term versus short-term unemployment at the state level and examined whether employment growth is a reasonable way of reducing long durations of unemployment, or conversely, do the new jobs simply go to other individuals.