Corporate diversification and dependence: valuation of multi-business firms and basket default swaps
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Lohmar [u.a.]
Eul
2012
|
| Edition: | 1. Aufl. |
| Series: | Finanzierung, Kapitalmarkt und Banken
83 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XX, 142 S. graph. Darst. 21 cm, 248 g |
| ISBN: | 9783844101638 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | IMAGE 1
I X
C O N T E N T S
LIST OF FIGURES XI
LIST OF TABLES XIII
LIST OF ABBREVIATIONS XV
LIST OF SYMBOLS XVII
1 INTRODUCTION 1
1.1 MOTIVATION AND RESEARCH QUESTIONS 1
1.2 OUTLINE OF THE DISSERTATION 2
2 CORPORATE DIVERSIFICATION AND FIRM VALUE 7
2.1 OVERVIEW OF MAIN THEORETICAL CONTRIBUTIONS 7
2.2 EMPIRICAL EVIDENCE 11
2.2.1 EMPIRICAL STUDIES: IS THERE A DIVERSIFICATION DISCOUNT? . . . . 11
2.2.2 BIAS IN THE VALUATION METHODOLOGY 17
2.3 HETEROGENEOUS EFFECT OF DIVERSIFICATION ACROSS INDUSTRIES 23
2.4 FIRM VALUE ACROSS THE BUSINESS CYCLE 25
2.5 CONCLUSION 32
3 CO-MOVEMENT OF REVENUE: STRUCTURAL CHANGES IN THE BUSINESS CYCLE . . .
35
3.1 RELATED LITERATURE 35
3.2 SCHEMES OF INDUSTRY AND BUSINESS CYCLE CLASSIFICATION 37
3.2.1 INDUSTRY CLASSIFICATION 38
3.2.2 BUSINESS CYCLE INDICATORS 39
3.3 RESEARCH METHODOLOGY 40
3.3.1 SAMPLE DESCRIPTION 40
3.3.2 DATA PREPARATION 41
3.3.3 DEPENDENCE MEASURES 46
3.3.4 HYPOTHESES 48
3.3.5 METHODS OF STATISTICAL SIGNIFICANCE 49
3.4 EMPIRICAL RESULTS 50
3.4.1 AVERAGE CORRELATION COEFFICIENTS 50
. 3.4.2 HYPOTHESES TESTS 53
3.4.3 CORRELATIONS BETWEEN THE INDUSTRIES AND THE AGGREGATE MARKET 55
3.4.4 CORRELATIONS OF EARNINGS 58
3.5 CONCLUSION 58
HTTP://D-NB.INFO/1024256847
IMAGE 2
X CONTENTS
4 VALUATION OF MULTI-BUSINESS FIRMS: DIVERSIFICATION IN A STOCHASTIC
MODEL . 61
4.1 VALUATION APPROACH 62
4.1.1 STOCHASTIC DISCOUNTED CASH FLOW MODEL 62
4.1.2 FREE CASH FLOW ESTIMATION 65
4.1.3 INTRODUCING DEPENDENCE BETWEEN THE SEGMENTS 69
4.1.4 SEGMENT-SPECIFIC DISCOUNT RATES 76
4.1.5 EVENT OF BANKRUPTCY 77
4.2 ILLUSTRATIVE EXAMPLES 79
4.2.1 FIRMS AND BUSINESS SEGMENTS 79
4.2.2 PARAMETER ESTIMATION 80
4.2.3 SIMULATION DESIGN 85
4.2.4 SIMULATION RESULTS 86
4.3 CONCLUSION 88
5 VALUATION OF BASKET DEFAULT SWAPS: IMPACT OF DEPENDENCE STRUCTURES ON
CREDIT SPREADS 89
5.1 PRICING BASKET DEFAULT SWAPS 90
5.2 MODELING DEPENDENCE BETWEEN THE DEFAULT TIMES 93
5.2.1 SURVIVAL COPULAS AND PAIR-COPULA CONSTRUCTIONS 93
5.2.2 TAIL DEPENDENCE 97
5.3 SIMULATION STUDY 99
5.3.1 MODELING DEFAULTS WITH COPULAS 100
5.3.2 DATA AND PARAMETER ESTIMATION 102
5.3.3 SIMULATION RESULTS 103
5.3.4 ROBUSTNESS CHECKS 107
5.4 CONCLUSION 108
6 SUMMARY AND CONCLUSION I L L
APPENDIX 115
A DEMEANED REVENUE GROWTH RATES AND RESULTS OF PRELIMINARY TESTS . . . .
115
B CORRELATION MATRICES 118
C BOOTSTRAP CONFIDENCE INTERVALS 121
D CORRELATIONS BETWEEN THE INDUSTRIES AND THE MARKET 123
REFERENCES 125
|
| any_adam_object | 1 |
| author | Erdorf, Stefan |
| author_facet | Erdorf, Stefan |
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| classification_rvk | QP 770 |
| ctrlnum | (OCoLC)812614619 (DE-599)DNB1024256847 |
| dewey-full | 658.15 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15 |
| dewey-search | 658.15 |
| dewey-sort | 3658.15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| id | DE-604.BV040489440 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:24:50Z |
| institution | BVB |
| isbn | 9783844101638 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025336478 |
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| physical | XX, 142 S. graph. Darst. 21 cm, 248 g |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Eul |
| record_format | marc |
| series | Finanzierung, Kapitalmarkt und Banken |
| series2 | Finanzierung, Kapitalmarkt und Banken |
| spelling | Erdorf, Stefan Verfasser aut Corporate diversification and dependence valuation of multi-business firms and basket default swaps Stefan Erdorf 1. Aufl. Lohmar [u.a.] Eul 2012 XX, 142 S. graph. Darst. 21 cm, 248 g txt rdacontent n rdamedia nc rdacarrier Finanzierung, Kapitalmarkt und Banken 83 Zugl.: Köln, Univ., Diss., 2012 Diversifikation (DE-588)4012539-7 gnd rswk-swf Unternehmensbewertung (DE-588)4078594-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Diversifikation (DE-588)4012539-7 s Unternehmensbewertung (DE-588)4078594-4 s b DE-604 Finanzierung, Kapitalmarkt und Banken 83 (DE-604)BV013664459 83 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025336478&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Erdorf, Stefan Corporate diversification and dependence valuation of multi-business firms and basket default swaps Finanzierung, Kapitalmarkt und Banken Diversifikation (DE-588)4012539-7 gnd Unternehmensbewertung (DE-588)4078594-4 gnd |
| subject_GND | (DE-588)4012539-7 (DE-588)4078594-4 (DE-588)4113937-9 |
| title | Corporate diversification and dependence valuation of multi-business firms and basket default swaps |
| title_auth | Corporate diversification and dependence valuation of multi-business firms and basket default swaps |
| title_exact_search | Corporate diversification and dependence valuation of multi-business firms and basket default swaps |
| title_full | Corporate diversification and dependence valuation of multi-business firms and basket default swaps Stefan Erdorf |
| title_fullStr | Corporate diversification and dependence valuation of multi-business firms and basket default swaps Stefan Erdorf |
| title_full_unstemmed | Corporate diversification and dependence valuation of multi-business firms and basket default swaps Stefan Erdorf |
| title_short | Corporate diversification and dependence |
| title_sort | corporate diversification and dependence valuation of multi business firms and basket default swaps |
| title_sub | valuation of multi-business firms and basket default swaps |
| topic | Diversifikation (DE-588)4012539-7 gnd Unternehmensbewertung (DE-588)4078594-4 gnd |
| topic_facet | Diversifikation Unternehmensbewertung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025336478&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013664459 |
| work_keys_str_mv | AT erdorfstefan corporatediversificationanddependencevaluationofmultibusinessfirmsandbasketdefaultswaps |