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Valuation of Debt Indexed to Real Values I. The case of the Argentinean Growth Coupon: a Simple Mode [PDF]
This paper is the first of a series of works whose aim is trying to provide a framework for the understanding and valuation of debt indexed to real (gener- ally non-tradable) variables.
Federico López Fagundez, Sergio Pernice
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The relationship between relative productivity and price levels in Europe [PDF]
Pellenyi, Gabor
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Consideration in non-tradable shares reform: the compensation for benefit expropriation
China Finance Review International, 2014Purpose – The purpose of this paper is to investigate the main determinants of consideration in China's non-tradable shares reform. The primary objective is to dig into the institutional factors that affect consideration in China's non-tradable shares reform.
Weiting Huang, Jia He, GuiJun Zhang
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Trading and earnings management: Evidence from China's non-tradable share reform
Journal of Corporate Finance, 2015Abstract This paper examines the effect of trading on earnings management under the setting of China's non-tradable share reform. The government-enforced reform converted non-tradable shares to tradable and thus enabled blockholders and insiders to reduce holdings via public trading.
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Endogenous Non-Tradable Earnings and Householdss Demand for Risky Assets [PDF]
Using French survey data, we explore empirically whether earnings uncertainty and borrowing constraints decrease households demand for risky assets, consistent with theoretical predictions. A major empirical problem is the potential endogeneity bias of income risk, as more risk averse households may simultaneously choose safer occupations and invest ...
Arrondel, Luc, Calvo-Pardo, Hector
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Perpetual call options with non‐tradability
Optimal Control Applications and Methods, 2005AbstractWe explicitly solve an optimal stopping problem related to the exercise of a perpetual American call option when the option holder cannot trade the underlying asset. We prove the verification theorem for the solution proposed. We derive the moment generating function of the optimal exercise time and also the elasticity of the option value with ...
Ashay Kadam +2 more
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Non-tradable goods and the border effect puzzle
Economic Modelling, 2010Abstract The surprisingly high Canada–U.S. border effect estimated by McCallum has been puzzling trade economists in the last ten years. We argue in this paper that conventional estimates of the border effect without consideration of non-tradable goods can overstate the trade reducing effect of the national border and the impacts can be considerable.
Xiaoyun Liu, John Whalley, Xian Xin
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VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE [PDF]
After Geske (1979), compound options — options on options — have been employed in many fields in which real options are applied. The formula for a compound option is convenient to use in real project investment, but it has one drawback — the assets that underlie the compound options are usually non-tradable.
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