A Review of Firm Value Based Security Pricing Models from a Probabilistic Perspective

2003 ◽  
pp. 91-113
Author(s):  
Michael Hanke
Keyword(s):  
Firm Value ◽  
Pricing Models ◽  
Security Pricing

An Examination of Event Dependency and Structural Change in Security Pricing Models

1985 ◽  
Vol 20 (3) ◽  
pp. 315 ◽  
Author(s):  
Keith C. Brown ◽  
Larry J. Lockwood ◽  
Scott L. Lummer
Keyword(s):  
Structural Change ◽  
Pricing Models ◽  
Security Pricing

scholarly journals Game option models of convertible bonds: Determinants of call policies

2014 ◽  
Vol 01 (04) ◽  
pp. 1450029 ◽  
Author(s):  
Yue Kuen Kwok
Keyword(s):  
Firm Value ◽  
Fair Value ◽  
Structural Features ◽  
Convertible Bonds ◽  
Convertible Bond ◽  
Optimal Decision ◽  
Reduced Form ◽  
Corporate Structure ◽  
Pricing Models ◽  
Market Practices

The interaction of bondholder's conversion and issuer's call in a convertible bond leads to a game option model between the two counterparties. Like typical pricing models for corporate debts, the fair value of a convertible bond is highly dependent on issuer's credit risk, tax benefits of coupons and other structural features. The convertible bond pricing models in the literature can be categorized into two approaches: (i) structural firm value models that incorporate dilution effect in the issuer firm's corporate structure upon conversion; and (ii) reduced form models that price convertible bonds based on calibration with market liquid instruments. We review and comment on various pricing formulations of convertible bonds and effectiveness of different numerical schemes for solving the associated optimal stopping problems. Empirical studies on issuers' optimal call policies have revealed discrepancies between the optimal decision rule derived from pricing models and actual market practices. The more refined model formulation of a convertible bond should include corporate finance considerations in the determination of the optimal call policies.

Pengaruh Kinerja Keuangan Dan Corporate Social Responsibility (CSR) Terhadap Nilai Perusahaan Perbankan Di Bursa Efek Indonesia

2018 ◽  
Vol 26 (1) ◽  
pp. 95-111
Author(s):  
Sulastiningsih Sulastiningsih ◽  
Rizka Imanita Sholihati
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Financial Performance ◽  
Firm Value ◽  
Research Method ◽  
Quantitative Research ◽  
Annual Report ◽  
Stock Exchange ◽  
Secondary Data ◽  
Corporate Social

This study aims to determine whether the financial performance measured by using CAR, ROA, LDR, BOPO, and CSR can affect the value of banking companies as measured by using PBV. This study uses secondary data taken from the annual report of banking companies during the year 2012-2016 listed on the Indonesia Stock Exchange. The number of samples of this study as many as 25 banking companies with a total of 125 data. This research method is quantitative research. The results of this study indicate the effect of CAR, ROA, LDR, BOPO, and CSR variables on firm value measured by using PBV in a banking company listed on the Indonesia Stock Exchange. Keywords: CAR, ROA, LDR, BOPO, CSR, PBV

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

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