Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
Dividend Yield and Stability versus Performance at the German Stock Market [PDF]
It is often examined in the literature whether the dividend yields of stocks correlate with their total returns. This paper analyzes the effect of dividend yield on return as well as on risk and on performance of stocks and stock portfolios. Not only the
Peter Reichling +2 more
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Dividend policy, corporate control and tax clienteles : the case of Germany [PDF]
, 2011 This paper studies the impact of the concentration of control, the type of controlling shareholder and the dividend tax preference of the controlling shareholder on dividend policy for a panel of 220 German firms over 1984-2005.
Goergen, Marc +2 more
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Measuring Bubbles via Put‐Call Disparity: A Model‐Free Approach
Financial Management, EarlyView.ABSTRACT This paper uses violations of put‐call parity to provide simple lower and upper bounds for measuring the size of asset price bubbles. Assuming only no‐arbitrage, this bubble detection approach avoids restrictive parametric model assumptions. We show that put‐call disparity provides a bubble's lower bound, and the lowest price of an out‐of‐the ...
Robert A. Jarrow, Simon S. Kwok
wiley +1 more source
Dividend Taxes, Corporate Investment, and "Q" [PDF]
Taxes on corporate distributions have traditionally been regarded as a "double tax" on corporate income. This view implies that while the total effective tax rate on corporate source income affects real economic decisions, the distribution of this tax ...
James M. Poterba, Lawrence H. Summers
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Control Overhang and Owner Financial Constraints: Evidence From Equity Issuance
Financial Management, EarlyView.ABSTRACT Under the debt overhang problem, firms approaching distress issue too little equity because new capital primarily benefits creditors. We identify an additional mechanism—control overhang—that further suppresses equity issuance for firms with controlling owners. As distress risk rises, equity issuance discounts steepen, and each unit of capital
Jens Forssbæck +2 more
wiley +1 more source
Pricing uncertainty in the Brazilian stock market: do size and sustainability matter? [PDF]
SN Bus Econ, 2023 Gea C, Klotzle MC, Vereda L, Pinto ACF.
europepmc +1 more source
The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]
We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state).
Avram, Florin, Usábel, Miguel A.
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Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, EarlyView.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +1 more source
How did the 2003 dividend tax cut affect stock prices? [PDF]
We test the hypothesis that the 2003 dividend tax cut boosted U.S. stock prices and thus lowered the cost of equity. Using an event- study methodology, we attempt to identify an aggregate stock market effect by comparing the behavior of U.S. common stock
Steven Sharpe +2 more
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