Quantitative corporate finance:
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| Main Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
Cham, Switzerland
Springer
[2021]
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| Edition: | Second edition |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xxi, 611 Seiten Illustrationen, Diagramme |
| ISBN: | 9783030435462 |
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| 245 | 1 | 0 | |a Quantitative corporate finance |c John B. Guerard Jr., Anureet Saxena, Mustafa Gultekin |
| 250 | |a Second edition | ||
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| adam_text | Contents Introduction: Capital Formation, Risk, and the Corporation........................ Financial Mathematics and Theory........................................................................ Growth and Survival of the Firm............................................................... Risk and Uncertainty Inherent in Finance.............................................................. Types of Business Risk........................................................................................... Financial Risk.......................................................................................................... Division of Risk, Income, and Control.................................................................. Profitability and Risk............................................................................................... Areas Covered in This Book................................................................................... References............................................................................................................... 1 2 2 3 3 5 5 8 9 Ю The Corporation and Other Forms of Business Organization...................... The Sole or Single Proprietorship...................................................................... The Partnership.................................................................................................... The Limited Partnership...................................................................................... The Corporation, Its Basic
Characteristics......................................................... Chartering the Corporation..................................................................................... Administrative Organization............................................................................... Major Rights of the Shareholders....................................................................... The Advantages of the Corporate Form.............................................. References................................................................................... 11 13 14 16 17 19 22 24 26 The Corporation Balance Sheet...................................................................... The Balance Sheet................................................ Assets....................................................................................................................... Liabilities and Stockholder Equity......................................................................... Book Value of Common Stock................................................................. .. . · · Summary and Conclusions................................................................................. References............................................................................................................... 29 29 30 35 40 47 52 ix
x Contents The Annual Operating Statements: The Income Statement and Cash Flow Statement.................................................................................. Form and Content of the Income Statement...................................................... Retained Earnings vs. Dividends........................................................................ Income Statement in the World of Business: ШМ, Boeing, and Dominion Energy.................................................. Annual Cash Flow Statement.............................................................................. US Firm Cash Flow Analysis, 1971-2018......................................................... Summary.............................................................................................. References......................................................................... 60 67 71 76 77 Financing Current Operations and Efficiency Ratio Analysis................... Working Capital Concepts................................................................................... Quantitative Working Capital Models: Cash Management.............................. Sources of Net Working Capital......................................................................... Working Capital Management and Efficiency Ratio Analysis......................... Financial Ratios and the Perceived Financial Health of Firms......................... The Time Series of Ratios in the United States, 1962-2017............................ Profitability Ratios in
Industry............................................................................ Limitations of Ratio Analysis.............................................................................. Working Capital Analysis and Granting Credit................................................. A Summary of Ratio Analysis............................................................................. Appendix............................................. References.............................. 79 79 80 83 83 87 89 92 92 93 95 96 98 Financing Current Operations and the Cash Budget.................................. Sources of Short-Term Financing....................................................................... Trade Credit..................................................................................................... Bank Credit...................................................................................................... Other Forms of Short-Term Financing.......................................................... The Cash Budget.................................................................................................. 99 101 102 103 107 110 Capital and New Issue Markets....................................................................... The Secondary Markets....................................................................................... The Primary Market..................................................................... The Originating House.................................................................................... The Underwriting
Group................................................................................. The Selling Group........................................................................................... Other Aspects of Investment Banking................................................................ Best Effort vs. Firm Commitment or Underwriting Basis........................... Initial Public Offerings (IPOs)........................................................................ Expansion of a Privately Held Firm into a Public Corporation........................ The Problem of Control....................................................................................... Promotion of a Subsidiary by Parent Corporations........................................... Formation of a Joint Subsidiary by Two or More Parent Companies.............. The SEC and the Flotation of New Issues.......................................................... 115 115 118 119 120 120 120 120 121 122 123 124 125 125 53 53 59
Contents x Secondary Flotations....................................................................................... Issuing Securities Through Rights................................................................. Stock Tenders.................................................................................................. Costs of Floating an Issue................................................................................... Regulation of the Capital Markets...................................................................... Securities Act of 1933.................................................................................... The Securities Exchange Act of 1934........................................................... Banking Act (Glass-Steagall Act) of 1933.................................................... Glass-Steagall Act Amended.......................................................................... Retail Brokerage Houses......................... Public Utility Act of 1935 .............................................................................. The Maloney Amendment, 1938................................................................... The Investment Company Act of 1940......................................................... Sarbanes-Oxley Act of 2002.......................................................................... The Capital Market as a Source of Funds. ....................................................... The Debate on the Optimal Organization of the Capital Market..................... Capital Markets and Long-Term
Economic Growth......................................... References............................................................................................................ 127 127 129 130 132 132 133 134 135 135 135 136 137 137 138 141 141 142 The Equity of the Corporation: Common and Preferred Stock................ Common Stock..................................................................................................... Rewards to Common Shareholders.................................................................... The Corporate Sector: A Net Exporter of Funds............................................... Corporate Exports.................................................................................... Definitions of the Value of Common Shares..................................................... Stock Prices and Dividends: An Example......................................................... Noncash-Paying Growth Shares...................................................... Valuing a Dividend-Paying Growth Stock........................................................ Illustration of the Valuation of a Dividend-Paying: Growth Stock—Shorehamlnc...................................................................................... Super Growth Cannot Be Infinite....................................................................... The Paradox of the Low Current Return on Growth Options.......................... Risk and Returns to Growth Investments.................. The Cost of Capital to a Growth
Firm............................................................... The Cost of Common Stock Financing: The Norm.......................................... Preferred Stock..................................................................................................... Features of Preferred Stock................................................................................. Rational for Preferred Stock Financing............ .................................................. Convertible Preferred........................................................................................... Protective Features on Preferred Shares............................................................. Floating New Common Equity Issues...................................................... Advantage of New Share Financing................................................................... References............................................................................................................ 145 145 147 149 151 155 159 162 163 163 165 166 166 167 167 168 168 170 170 172 173 173 174
xii Contents Long-Term Debt................................................................................................. Bonds.................................................................................................................... Other Types of Long-Term Debt........................................................................ Long-Term Lease................................................................................................. Lease Accounting: Recent Changes.................................................................... The Cost of Debt Capital..................................................................................... Level and Structure of the Interest Rates........................................................... The Call Feature on Bonds.................................................................................. Convertible Bonds and Bonds with Warrants Attached................................... The Advantages and Disadvantages of Long-Term Debt................................. Malkiel’s Bond Theorems................................................................................... Retirement of Debt............................................................................................... Reference.............................................................................................................. 177 177 181 182 185 185 188 193 195 198 198 200 208 Debt, Equity, the Optima] Financial Structure, and the Cost of
Funds........................................................................................ 209 A Most Misleading Relationship........................................................................ 210 Definition of Leverage: Profits and Financial Risk........................................... 210 Illustrations of Leverage: Return and Risk......................................................... 211 Surrogate Evidence on the Development of “Optimum” Financial Structure................................................................................................ 214 The Pure Theory of the Optimal Financial Structure........................................ 215 Modigliani and Miller: Constant Capital Costs................................................. 218 The Optimal Capital Structure and the M M Hypothesis............................... 222 Empirical Factors Influencing Financial Structures........................................... 223 Measures for Approximating Financial Risk..................................................... 224 Outside Financing Capacity................................................................................. 227 References............................................................................................................. 231 Investing in Assets: Theory of Investment Decision-Making..................... Net Present Value and the Internal Rate of Return............................................ Mutually Exclusive Projects................................................................................ Difference in Project
Size.................................................................................... Differing Duration of the Inflows....................................................................... Lowest Annualized Total Costs.......................................................................... The Irrational Fixed Capital Budget................................................................... Operating Practice and the Internal Rate of Return........................................... Real Investments and the Cost of Funds............................................................ Applying Investment Theory............................................................................... CFO Practice...................... Current Costs of the “Optimum” Financial Mix................................................ Adjusting the Capital Mix and Costs for Individual Project............................. Closing or Continuing Operations...................................................................... Stability of Forecasts: Risk of the Investment................................................... The Theory of Dealing with Risk....................................................................... 233 234 237 239 240 242 242 243 243 243 246 247 247 248 249 249
Contents хш Risk-Adjusted Discount Rate.............................................................................. 250 Risk-Return Distribution..................................................................................... 250 Certainty Equivalence........................................................ Maximum Loss and Reversibility......................................................................... 252 Gross Uncertainty.................................................................................................. 252 Market Risk............................................................................................................ 252 The Effect of Taxes on the Financial Structure................................................. 253 Costing the Components of the Financial Mix.................................................... 253 Investments Under Negative Interest Rates and Hyperinflation......................... 257 Summary................................................................................................................ 259 Problems................................................................................................................. 260 References.............................................................................................................. 260 Regression Analysis and Estimating Regression Models............................... 263 Estimating an Ordinary Least Square Regression Line....................................... 264
Autocorrelation........................................................................... Estimating Multiple Regression Lines.................................................................. 271 Influential Observations and Possible Outliers and the Application of Robust Regression............................................................................................. 273 The Conference Board Composite Index of Leading Economic Indicators and Real US GDP Growth: A Regression Example........................ 275 Summary and Conclusions.................................................... Appendix 1: Least Angle Regression................................................................... 285 Appendix 2: The US Leading Economic Indicators............................................ 287 BCI-01 Average Weekly Hours, Manufacturing............................................ 287 BCI-05 Average Weekly Initial Claims for Unemployment Insurance........................................................................................................... 287 BCI-08 Manufacturers’ New Orders, Consumer Goods and Materials (in 1982 $)................................................................................. 287 BCI-130 ISM New Order Index...................................................................... 288 BCI-33 Manufacturers’ New Orders, Non-defense Capital Goods Excl. Aircraft (in 1982 $)..................................................................... 288 BCI-29 Building Permits, New Private Housing Units.................................. 288 BCI-19 Stock Prices,
500 Common Stocks............................................ 288 BCI-107 Leading Credit Index™.................................................................... 289 ВСІ-129 Interest Rate Spread, 10-Year Treasury Bonds Less Federal Funds.................................................................................................... 289 ВСІ-125 Avg. Consumer Expectations for Business and Economic Conditions................................................................................ 289 Regression Appendix 3......................................................................................... 289 References.................................................................................................. 300 Time Series Modeling and the Forecasting Effectiveness of the US Leading Economic Indicators.......................................................... Basic Statistical Properties of Economic Series................................................... 301 302 26
xiv Contents The Autoregressive and Moving Average Processes................................... ARMA Model Identification in Practice............................................................. Leading Economic Indicators (LEI) and Real GDP Analysis: The Statistical Evidence of the Initial Period, 1970-2002 ................................ Updating the Forecasting Effectiveness of Time Series Modeling: Studies of the US Real GDP, 1959Q2-2018Q3................................................ Forecasting Effectiveness of Time Series Modeling Using Autometrics and SCA Model the US Unemployment Rate, 1959Q2-2018Q3.................... Causality Testing of the US Unemployment, 1959Q2-2018Q2. . .................. Summary and Conclusions.................................................................................. Time Series Analysis Appendix 1: Table 19 (Continued) with Identified Outliers.................................................................................................................. Time Series Analysis Appendix 2: Table 22 (Continued)................................ References............................................................................................................. 305 311 315 318 334 350 373 374 376 379 Risk and Return of Equity and the Capital Asset Pricing Model.............. 383 Calculating Holding Period Returns................................................................... 384 Minimizing Risk.................................................................................................. 387 An Introduction to Modem Portfolio
Theory..................................................... 389 Expected Returns vs. Historic Mean Retums..................................................... 403 Fundamental Analysis and Stock Selection........................................................ 404 Modem Portfolio Theory and GPRD: An Example of Markowitz Analysis................................................................................................................. 406 Further Estimations of a Composite Equity Valuation Model: The Roles of Analysts Forecasts and Momentum in Stock Selection................................................................................................................ 406 REG8 Model.................................................................................................... 414 REG9 Model....................................... 414 REGIO Model.................................................................................................. 415 Summary and Conclusions.................................................................................. 420 Appendix: The Three-Asset Case........................................................................ 420 References............................................................................................................. 423 Multifactor Risk Models and Portfolio Construction and Management................................................................................................ The Barra System................................................................................................. Barra Model
Mathematics.................................................................................... Risk Prediction with MFMs................................................................................. The Barra Multifactor Model and Analysts’ Forecasts, Revisions, and Breadth........................... Early Alternative Multi-Beta Risk Models.................................................... APT Approach................................................................................................. Applying the Blin and Blender APT Model................................................. Applying the Blin and Blender APT Model, Barra, and Axioma: The McKinley Capital Management (MCM) Horse Race Tests................. 427 428 429 430 433 437 439 442 444
Contents XV Why Use the Axioma Statistical Model?...................................................... Alpha Alignment Factor................................................................................. Axioma AAF Applications................................................................. Summary and Conclusions.................... Appendix 1: US-E3 Descriptor Definitions....................................................... Volatility.......................................................................................................... Momentum...................................................................................................... Size................................................................................................................... Size Nonlinearity............................................................................................ Trading Activity.............................................................................................. Growth............................................................................................................. Earnings Yield................................................................................................ Value............................................................................................................... Earnings Variability........................................................................................ Leverage....................................................... Currency
Sensitivity....................................................................................... Dividend Yield............................................................ Non-estimation Universe Indicator................................................................ Appendix 2: Factor Alignment Problems and Quantitative Portfolio Management......................................................................................................... References......................................... 445 447 448 449 450 451 452 453 453 453 454 455 456 456 457 458 458 458 Options................................................................................................................ The Malkiel-Quandt Notation............................................................................. The Binominal Option Pricing Model................................................................ The More Traditional Black and Scholes Option Pricing Model Derivation............................................................................................................. Black and Scholes Model Calculation............................................................... The OPM and Corporate Liabilities................................................................... References............................................................................................................ 465 470 472 475 478 480 484 Real Options....................................................................................................... The Option to Delay a
Project............................................................................ Implications of Viewing the Right to Delay a Project as an Option................ Abandonment Value............................................................................................ Options in Investment Analysis/Capital Budgeting.......................................... References............................................................................................................ 485 486 487 487 494 494 Mergers and Acquisitions................................ Noneconomic Motives for Combinations.......................................................... Holding Companies............................................................................................. A Merger History of the United States....................................................... Using an Accounting Basis......................................................... The Economic Basis for Acquisitions........................................................... Theories of Conglomerate Mergers.................................................................... Combinations Correcting Economic or Financial Imbalances.......................... 495 496 497 498 501 502 502 507 459 462
XVI Contents Combinations Increasing Market Dominance.................................................... Combinations for Tax Advantages...................................................................... The Larson-Gonedes Exchange Ratio Model.................................................... Valuation of a Merger Candidate........................................................................ Testing for Synergism.......................................................................................... Do Mergers Enhance Shareholder Wealth?........................................................ Divestment and Spinoff....................................................................................... Summary and Conclusions.................................................................................. References............................................................................................ 508 509 5П 514 517 519 521 522 522 Corporate Restructing: Leveraged Buyouts, Liquidations, Failures, and Bankruptcies............................................................................... Voluntary Liquidation.......................................................................................... A Liquidation Example........................................................................................ Remaining in Business........................................................................................ Failure.................................................................................................................... Informal
Remedies......................... Bankruptcy............................................................................................................ Bankruptcy Procedures........................................................................................ Priorities in Liquidation....................................................................................... Reorganization... ;............................................................................................. Analysis of the Plan........................................................................................ Analysis of the Reorganization...................................................................... Summary................................ References............................................................................................................. 525 529 530 531 532 533 534 536 536 538 541 542 543 543 Corporation Growth and Economic Growth and Stability........................ Factors in Economic Growth............................................................................... Savings and Real Investment.............................................. Corporation Investment Spending and Economic Stability.............................. Monetary Policy, the Cost of Capital, and the Firm Investment Process................................................................................................................... Economic Growth and Firm Growth.................................................................. Firm Growth and Economic
Growth................................................................... References............................................................................................................. 545 545 547 548 International Business Finance........................................................................ Currency Exchange Rates.................................................................................... International Diversification................................................................................ International Stock Selection and Portfolio Construction and Optimization................................ International Corporate Finance Decisions......................................................... References............................................................................................................. 555 555 560 550 551 551 553 563 566 570
Contents Management-Stockholder Relations: Is Optimal Behavior All That Is Necessary?........................................................................................ General Agreement and Potential Conflicts in Management and Control................................................ Areas of Potential Conflict.................................................................................. Executive Compensation....................................................................................... Board of Directors.............................................................. Stock Options....................................................................................................... Bonuses................................................................................................................... Risky Acquisitions....................................................................... Turning Agents into Owners................................................................................. The Diseconomies of Financial Scams............................................................... Insider Trading....................................................................................................... Stockholder Remedies............................................................................................ To Whom Is Management Responsible?.............................................................. Summary and Conclusions.................................................................................. Appendix: Socially Responsible
Investing........................................................... From Raw to Normalized Score Definitions................................................... Fama- and French-Weighted Portfolios...................................... A Return to Optimized Portfolio Construction and Management................. CTEF MVTaR with Normalized KLD Criteria.............................................. ESG Ratings’ Definitions................................................................................. References.............................................................................................................. Index xvii 571 573 573 574 577 578 581 582 583 583 585 586 587 587 591 593 594 598 600 602 603
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| adam_txt |
Contents Introduction: Capital Formation, Risk, and the Corporation. Financial Mathematics and Theory. Growth and Survival of the Firm. Risk and Uncertainty Inherent in Finance. Types of Business Risk. Financial Risk. Division of Risk, Income, and Control. Profitability and Risk. Areas Covered in This Book. References. 1 2 2 3 3 5 5 8 9 Ю The Corporation and Other Forms of Business Organization. The Sole or Single Proprietorship. The Partnership. The Limited Partnership. The Corporation, Its Basic
Characteristics. Chartering the Corporation. Administrative Organization. Major Rights of the Shareholders. The Advantages of the Corporate Form. References. 11 13 14 16 17 19 22 24 26 The Corporation Balance Sheet. The Balance Sheet. Assets. Liabilities and Stockholder Equity. Book Value of Common Stock. . . · · Summary and Conclusions. References. 29 29 30 35 40 47 52 ix
x Contents The Annual Operating Statements: The Income Statement and Cash Flow Statement. Form and Content of the Income Statement. Retained Earnings vs. Dividends. Income Statement in the World of Business: ШМ, Boeing, and Dominion Energy. Annual Cash Flow Statement. US Firm Cash Flow Analysis, 1971-2018. Summary. References. 60 67 71 76 77 Financing Current Operations and Efficiency Ratio Analysis. Working Capital Concepts. Quantitative Working Capital Models: Cash Management. Sources of Net Working Capital. Working Capital Management and Efficiency Ratio Analysis. Financial Ratios and the Perceived Financial Health of Firms. The Time Series of Ratios in the United States, 1962-2017. Profitability Ratios in
Industry. Limitations of Ratio Analysis. Working Capital Analysis and Granting Credit. A Summary of Ratio Analysis. Appendix. References. 79 79 80 83 83 87 89 92 92 93 95 96 98 Financing Current Operations and the Cash Budget. Sources of Short-Term Financing. Trade Credit. Bank Credit. Other Forms of Short-Term Financing. The Cash Budget. 99 101 102 103 107 110 Capital and New Issue Markets. The Secondary Markets. The Primary Market. The Originating House. The Underwriting
Group. The Selling Group. Other Aspects of Investment Banking. Best Effort vs. Firm Commitment or Underwriting Basis. Initial Public Offerings (IPOs). Expansion of a Privately Held Firm into a Public Corporation. The Problem of Control. Promotion of a Subsidiary by Parent Corporations. Formation of a Joint Subsidiary by Two or More Parent Companies. The SEC and the Flotation of New Issues. 115 115 118 119 120 120 120 120 121 122 123 124 125 125 53 53 59
Contents x' Secondary Flotations. Issuing Securities Through Rights. Stock Tenders. Costs of Floating an Issue. Regulation of the Capital Markets. Securities Act of 1933. The Securities Exchange Act of 1934. Banking Act (Glass-Steagall Act) of 1933. Glass-Steagall Act Amended. Retail Brokerage Houses. Public Utility Act of 1935 . The Maloney Amendment, 1938. The Investment Company Act of 1940. Sarbanes-Oxley Act of 2002. The Capital Market as a Source of Funds. . The Debate on the Optimal Organization of the Capital Market. Capital Markets and Long-Term
Economic Growth. References. 127 127 129 130 132 132 133 134 135 135 135 136 137 137 138 141 141 142 The Equity of the Corporation: Common and Preferred Stock. Common Stock. Rewards to Common Shareholders. The Corporate Sector: A Net Exporter of Funds. Corporate Exports. Definitions of the Value of Common Shares. Stock Prices and Dividends: An Example. Noncash-Paying Growth Shares. Valuing a Dividend-Paying Growth Stock. Illustration of the Valuation of a Dividend-Paying: Growth Stock—Shorehamlnc. Super Growth Cannot Be Infinite. The Paradox of the Low Current Return on Growth Options. Risk and Returns to Growth Investments. The Cost of Capital to a Growth
Firm. The Cost of Common Stock Financing: The Norm. Preferred Stock. Features of Preferred Stock. Rational for Preferred Stock Financing. . Convertible Preferred. Protective Features on Preferred Shares. Floating New Common Equity Issues. Advantage of New Share Financing. References. 145 145 147 149 151 155 159 162 163 163 165 166 166 167 167 168 168 170 170 172 173 173 174
xii Contents Long-Term Debt. Bonds. Other Types of Long-Term Debt. Long-Term Lease. Lease Accounting: Recent Changes. The Cost of Debt Capital. Level and Structure of the Interest Rates. The Call Feature on Bonds. Convertible Bonds and Bonds with Warrants Attached. The Advantages and Disadvantages of Long-Term Debt. Malkiel’s Bond Theorems. Retirement of Debt. Reference. 177 177 181 182 185 185 188 193 195 198 198 200 208 Debt, Equity, the Optima] Financial Structure, and the Cost of
Funds. 209 A Most Misleading Relationship. 210 Definition of Leverage: Profits and Financial Risk. 210 Illustrations of Leverage: Return and Risk. 211 Surrogate Evidence on the Development of “Optimum” Financial Structure. 214 The Pure Theory of the Optimal Financial Structure. 215 Modigliani and Miller: Constant Capital Costs. 218 The Optimal Capital Structure and the M M Hypothesis. 222 Empirical Factors Influencing Financial Structures. 223 Measures for Approximating Financial Risk. 224 Outside Financing Capacity. 227 References. 231 Investing in Assets: Theory of Investment Decision-Making. Net Present Value and the Internal Rate of Return. Mutually Exclusive Projects. Difference in Project
Size. Differing Duration of the Inflows. Lowest Annualized Total Costs. The Irrational Fixed Capital Budget. Operating Practice and the Internal Rate of Return. Real Investments and the Cost of Funds. Applying Investment Theory. CFO Practice. Current Costs of the “Optimum” Financial Mix. Adjusting the Capital Mix and Costs for Individual Project. Closing or Continuing Operations. Stability of Forecasts: Risk of the Investment. The Theory of Dealing with Risk. 233 234 237 239 240 242 242 243 243 243 246 247 247 248 249 249
Contents хш Risk-Adjusted Discount Rate. 250 Risk-Return Distribution. 250 Certainty Equivalence. Maximum Loss and Reversibility. 252 Gross Uncertainty. 252 Market Risk. 252 The Effect of Taxes on the Financial Structure. 253 Costing the Components of the Financial Mix. 253 Investments Under Negative Interest Rates and Hyperinflation. 257 Summary. 259 Problems. 260 References. 260 Regression Analysis and Estimating Regression Models. 263 Estimating an Ordinary Least Square Regression Line. 264
Autocorrelation. Estimating Multiple Regression Lines. 271 Influential Observations and Possible Outliers and the Application of Robust Regression. 273 The Conference Board Composite Index of Leading Economic Indicators and Real US GDP Growth: A Regression Example. 275 Summary and Conclusions. Appendix 1: Least Angle Regression. 285 Appendix 2: The US Leading Economic Indicators. 287 BCI-01 Average Weekly Hours, Manufacturing. 287 BCI-05 Average Weekly Initial Claims for Unemployment Insurance. 287 BCI-08 Manufacturers’ New Orders, Consumer Goods and Materials (in 1982 $). 287 BCI-130 ISM New Order Index. 288 BCI-33 Manufacturers’ New Orders, Non-defense Capital Goods Excl. Aircraft (in 1982 $). 288 BCI-29 Building Permits, New Private Housing Units. 288 BCI-19 Stock Prices,
500 Common Stocks. 288 BCI-107 Leading Credit Index™. 289 ВСІ-129 Interest Rate Spread, 10-Year Treasury Bonds Less Federal Funds. 289 ВСІ-125 Avg. Consumer Expectations for Business and Economic Conditions. 289 Regression Appendix 3. 289 References. 300 Time Series Modeling and the Forecasting Effectiveness of the US Leading Economic Indicators. Basic Statistical Properties of Economic Series. 301 302 26
xiv Contents The Autoregressive and Moving Average Processes. ARMA Model Identification in Practice. Leading Economic Indicators (LEI) and Real GDP Analysis: The Statistical Evidence of the Initial Period, 1970-2002 . Updating the Forecasting Effectiveness of Time Series Modeling: Studies of the US Real GDP, 1959Q2-2018Q3. Forecasting Effectiveness of Time Series Modeling Using Autometrics and SCA Model the US Unemployment Rate, 1959Q2-2018Q3. Causality Testing of the US Unemployment, 1959Q2-2018Q2. . . Summary and Conclusions. Time Series Analysis Appendix 1: Table 19 (Continued) with Identified Outliers. Time Series Analysis Appendix 2: Table 22 (Continued). References. 305 311 315 318 334 350 373 374 376 379 Risk and Return of Equity and the Capital Asset Pricing Model. 383 Calculating Holding Period Returns. 384 Minimizing Risk. 387 An Introduction to Modem Portfolio
Theory. 389 Expected Returns vs. Historic Mean Retums. 403 Fundamental Analysis and Stock Selection. 404 Modem Portfolio Theory and GPRD: An Example of Markowitz Analysis. 406 Further Estimations of a Composite Equity Valuation Model: The Roles of Analysts Forecasts and Momentum in Stock Selection. 406 REG8 Model. 414 REG9 Model. 414 REGIO Model. 415 Summary and Conclusions. 420 Appendix: The Three-Asset Case. 420 References. 423 Multifactor Risk Models and Portfolio Construction and Management. The Barra System. Barra Model
Mathematics. Risk Prediction with MFMs. The Barra Multifactor Model and Analysts’ Forecasts, Revisions, and Breadth. Early Alternative Multi-Beta Risk Models. APT Approach. Applying the Blin and Blender APT Model. Applying the Blin and Blender APT Model, Barra, and Axioma: The McKinley Capital Management (MCM) Horse Race Tests. 427 428 429 430 433 437 439 442 444
Contents XV Why Use the Axioma Statistical Model?. Alpha Alignment Factor. Axioma AAF Applications. Summary and Conclusions. Appendix 1: US-E3 Descriptor Definitions. Volatility. Momentum. Size. Size Nonlinearity. Trading Activity. Growth. Earnings Yield. Value. Earnings Variability. Leverage. Currency
Sensitivity. Dividend Yield. Non-estimation Universe Indicator. Appendix 2: Factor Alignment Problems and Quantitative Portfolio Management. References. 445 447 448 449 450 451 452 453 453 453 454 455 456 456 457 458 458 458 Options. The Malkiel-Quandt Notation. The Binominal Option Pricing Model. The More Traditional Black and Scholes Option Pricing Model Derivation. Black and Scholes Model Calculation. The OPM and Corporate Liabilities. References. 465 470 472 475 478 480 484 Real Options. The Option to Delay a
Project. Implications of Viewing the Right to Delay a Project as an Option. Abandonment Value. Options in Investment Analysis/Capital Budgeting. References. 485 486 487 487 494 494 Mergers and Acquisitions. Noneconomic Motives for Combinations. Holding Companies. A Merger History of the United States. Using an Accounting Basis. The Economic Basis for Acquisitions. Theories of Conglomerate Mergers. Combinations Correcting Economic or Financial Imbalances. 495 496 497 498 501 502 502 507 459 462
XVI Contents Combinations Increasing Market Dominance. Combinations for Tax Advantages. The Larson-Gonedes Exchange Ratio Model. Valuation of a Merger Candidate. Testing for Synergism. Do Mergers Enhance Shareholder Wealth?. Divestment and Spinoff. Summary and Conclusions. References. 508 509 5П 514 517 519 521 522 522 Corporate Restructing: Leveraged Buyouts, Liquidations, Failures, and Bankruptcies. Voluntary Liquidation. A Liquidation Example. Remaining in Business. Failure. Informal
Remedies. Bankruptcy. Bankruptcy Procedures. Priorities in Liquidation. Reorganization. ;. Analysis of the Plan. Analysis of the Reorganization. Summary. References. 525 529 530 531 532 533 534 536 536 538 541 542 543 543 Corporation Growth and Economic Growth and Stability. Factors in Economic Growth. Savings and Real Investment. Corporation Investment Spending and Economic Stability. Monetary Policy, the Cost of Capital, and the Firm Investment Process. Economic Growth and Firm Growth. Firm Growth and Economic
Growth. References. 545 545 547 548 International Business Finance. Currency Exchange Rates. International Diversification. International Stock Selection and Portfolio Construction and Optimization. International Corporate Finance Decisions. References. 555 555 560 550 551 551 553 563 566 570
Contents Management-Stockholder Relations: Is Optimal Behavior All That Is Necessary?. General Agreement and Potential Conflicts in Management and Control. Areas of Potential Conflict. Executive Compensation. Board of Directors. Stock Options. Bonuses. Risky Acquisitions. Turning Agents into Owners. The Diseconomies of Financial Scams. Insider Trading. Stockholder Remedies. To Whom Is Management Responsible?. Summary and Conclusions. Appendix: Socially Responsible
Investing. From Raw to Normalized Score Definitions. Fama- and French-Weighted Portfolios. A Return to Optimized Portfolio Construction and Management. CTEF MVTaR with Normalized KLD Criteria. ESG Ratings’ Definitions. References. Index xvii 571 573 573 574 577 578 581 582 583 583 585 586 587 587 591 593 594 598 600 602 603 |
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| any_adam_object_boolean | 1 |
| author | Guerard, John Baynard Saxena, Anureet Gültekin, Mustafa N. |
| author_GND | (DE-588)170085600 (DE-588)1225762979 (DE-588)170623572 |
| author_facet | Guerard, John Baynard Saxena, Anureet Gültekin, Mustafa N. |
| author_role | aut aut aut |
| author_sort | Guerard, John Baynard |
| author_variant | j b g jb jbg a s as m n g mn mng |
| building | Verbundindex |
| bvnumber | BV047105634 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4026 |
| callnumber-raw | HG4026 |
| callnumber-search | HG4026 |
| callnumber-sort | HG 44026 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 700 |
| classification_tum | WIR 680f |
| ctrlnum | (OCoLC)1240407882 (DE-599)BVBBV047105634 |
| 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 |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | Second edition |
| format | Book |
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| id | DE-604.BV047105634 |
| illustrated | Illustrated |
| index_date | 2024-07-03T16:24:40Z |
| indexdate | 2024-07-10T09:02:44Z |
| institution | BVB |
| isbn | 9783030435462 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032511922 |
| oclc_num | 1240407882 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-384 DE-1050 |
| owner_facet | DE-355 DE-BY-UBR DE-384 DE-1050 |
| physical | xxi, 611 Seiten Illustrationen, Diagramme |
| publishDate | 2021 |
| publishDateSearch | 2021 |
| publishDateSort | 2021 |
| publisher | Springer |
| record_format | marc |
| spelling | Guerard, John Baynard Verfasser (DE-588)170085600 aut Quantitative corporate finance John B. Guerard Jr., Anureet Saxena, Mustafa Gultekin Second edition Cham, Switzerland Springer [2021] xxi, 611 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Corporations Finance Corporate Finance (DE-588)4269795-5 gnd rswk-swf Statistische Analyse (DE-588)4116599-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Corporate Finance (DE-588)4269795-5 s Statistische Analyse (DE-588)4116599-8 s b DE-604 Saxena, Anureet Verfasser (DE-588)1225762979 aut Gültekin, Mustafa N. Verfasser (DE-588)170623572 aut Erscheint auch als Online-Ausgabe 978-3-030-43547-9 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032511922&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Guerard, John Baynard Saxena, Anureet Gültekin, Mustafa N. Quantitative corporate finance Corporations Finance Corporate Finance (DE-588)4269795-5 gnd Statistische Analyse (DE-588)4116599-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4269795-5 (DE-588)4116599-8 (DE-588)4017182-6 |
| title | Quantitative corporate finance |
| title_auth | Quantitative corporate finance |
| title_exact_search | Quantitative corporate finance |
| title_exact_search_txtP | Quantitative corporate finance |
| title_full | Quantitative corporate finance John B. Guerard Jr., Anureet Saxena, Mustafa Gultekin |
| title_fullStr | Quantitative corporate finance John B. Guerard Jr., Anureet Saxena, Mustafa Gultekin |
| title_full_unstemmed | Quantitative corporate finance John B. Guerard Jr., Anureet Saxena, Mustafa Gultekin |
| title_short | Quantitative corporate finance |
| title_sort | quantitative corporate finance |
| topic | Corporations Finance Corporate Finance (DE-588)4269795-5 gnd Statistische Analyse (DE-588)4116599-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Corporations Finance Corporate Finance Statistische Analyse Finanzierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032511922&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT guerardjohnbaynard quantitativecorporatefinance AT saxenaanureet quantitativecorporatefinance AT gultekinmustafan quantitativecorporatefinance |