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Optimal Investment Strategy for Risky Assets  [PDF]
Sergei Maslov,Yi-Cheng Zhang
Physics , 1998,
Abstract: We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are no longer applicable.
PRIVATE BENEFITS OF CONTROL VERSUS BLOCK STOCK OWNERSHIP IN FRENCH FIRMS
Amel BELANES,Raoudha DJEBALI,Abdelwahed OMRI
Economics and Finance Review , 2011,
Abstract: This research provides evidence on whether the block ownership breeds private benefits of control or that is the latter that incites the controlling holder to increase its stock ownership. Drawing on a French sample of 110 listed firms, during the period 2002- 2006, our modeling highlights a simultaneous relationship between block ownership and private benefits. Two proxies of private benefits are used: the excess managerial compensation and the amount of related-party transactions. This study provides empirical support for the rent-protection perspective in addition to the agency theory to prove the opportunistic decisions of the controlling party, either the manager or the block shareholder. It also offers insights to policy makers interested in enhancing the legitimacy of corporate governance. It is worth considering the specificities of the ownership structure and the aims of the controlling party so as to enact the suitable laws to protect the investors and enhance the investment.
Research on the Relationship between Managerial Overconfidence and Corporate R & D Investment in the Context of Financing Constraints  [PDF]
Tongying Liang, Xiangtian Mo
Open Journal of Business and Management (OJBM) , 2017, DOI: 10.4236/ojbm.2017.51003
Abstract: Using the data of Chinese listed companies from 2012 to 2014, this paper empirically tests the relationship between managerial overconfidence and corporate R & D investment in the context of financing constraints by the method of multiple regression analysis, and further tests the impact of ownership type on the relationship. We find that: 1) Compared with the companies with weak financing constraints, the positive relationship between managerial overconfidence and corporate R & D investment in the companies with strong financing constraints is stronger; 2) In the context of strong financing constraints, compared with the state-owned companies, the positive relationship between managerial overconfidence and corporate R & D investment in the non-state-owned companies is stronger.
Investigating cultural influences on investment process in stock exchange  [PDF]
Shamsodin Nazemi,Fariborz Rahimnia,Mohammad Lagzian,S. Morteza Ghayour
Management Science Letters , 2012,
Abstract: Cultural variety is a behavioral characteristic of investors and evaluating the cultural influences in the area of financial management on the decisions of investors plays an important role. In fact, different behaviors and decisions are required in various cultures facing the prices, price fluctuations and important or non-important published news of portfolio. In this paper, a questionnaire was designed including 22 cultural items in three criteria of values, facilities and behavior in order to measure the cultural factors affecting investment in stock exchange. Experts’ comments were used on the design of items and quintet Likert spectrum was applied for the answers. Structural equation modeling, or multivariable analysis with latent variables, is a comprehensive statistical approach for testing the hypotheses about relationships between observed and latent variables. Such analyzes have been done by LISREL software and the results showed that there was a significant relationship between investment and its triple factors and also between the items and triple factors affecting on investment.
Investment Sensitivity to Stock Prices and Analyst Coverage  [PDF]
Ahmed Marhfor, Rachid Ghilal, Bouchra M’Zali
American Journal of Industrial and Business Management (AJIBM) , 2015, DOI: 10.4236/ajibm.2015.53010
Abstract: This study examines whether more analyst coverage mitigates the informational risk borne by small investors. Using the investment-price sensitivity as a proxy for stock price informativeness, we find evidence that analysts do not specialize in the production of firm-specific information and substitute for other corporate governance mechanisms. Our results suggest that analysts are out-siders who have less access to firm-level information. The main findings are robust to many aspects of our methodology.
Stock Investment Value Analysis Model Based on AHP and Gray Relational Degree  [cached]
Hongyi LI,Chu ZHANG,Di ZHAO
Management Science and Engineering , 2010,
Abstract: The article presents a method for stock selection from the view of investors who contemplate stocks of a new investment. The AHP (Analytic Hierarchy Process) and Grey Relational Analysis are used as two integral parts of the method. By distilling information from the Judgment matrix, the AHP-GRA method provides a framework to assist investors in analyzing various investment factors, evaluating stock investment alternatives, and making final investment selections. The primary principle of the method is to match decision-makers’ preferences with stock characteristics. The model requires that a number of potential stocks have been proposed. Alternatives are then evaluated and compared under various factors. It allows investor to incorporate personal preference and judgement in the solution process. An example of evaluating eight listed companies in the steel industry of China is showed to illustrate the solution process, the results of which are promising.Key words: Stock Investment Decision; Judgment Matrix; AHP; Grey Relational Analysis
Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model  [PDF]
Hui Zhao, Ximin Rong, Weiqin Ma, Bo Gao
Modern Economy (ME) , 2012, DOI: 10.4236/me.2012.36092
Abstract: This paper studies the optimal investment problem for utility maximization with multiple risky assets under the constant elasticity of variance (CEV) model. By applying stochastic optimal control approach and variable change technique, we derive explicit optimal strategy for an investor with logarithmic utility function. Finally, we analyze the properties of the optimal strategy and present a numerical example.
Research on the Relationship between Board Composition and Managerial Control Mechanism of the Firm
董事会构成与经理控制机制关系研究

ZHAO Xi,|ping,LI You,|gen,LI Huai,|zu,
赵西萍
,李有根,李怀祖

系统工程理论与实践 , 2002,
Abstract: In this paper, we research the relationship between the corporate board composition and the managerial control mechanism, such as CEO compensation, executive stock ownership, and the CEO's position in the board. We present a structure equation model of the board\|structure\|independence and the managerial control mechanism. The evidence cannot reject the model in the mass, and the significant meaning of the board construction for corporate governance practicing in China is discussed.
A SIMULATION BASED APPROACH FOR AN INVESTMENT PROJECT EVALUATION UNDER UNCERTAIN AND RISKY ENVIRONMENTS  [cached]
?zgür ARMANER?,?zgür YAL?INKAYA
Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering , 2010,
Abstract: Under high uncertainty and risky environments, the future estimations related to project proposalscannot be certain and really materialized values. It is inevitable that there exists a deviation or gap betweenforecasted values and actual values. Thus, project risk level of the proposal should be analyzedin the assessment phase. Simulation based project evaluation approaches enables to make more reliableinvestment decision since they permits including future uncertainty and risk in analyze process. Inaddition, many times, project proposals are evaluated with more than one conflicted criteria. The aimof this paper is to present a new approach that accounts for multiple objectives for evaluating riskyinvestment projects and determining projects risk level. With the proposed simulation based optimizationapproach, necessity values for project parameters are determined to reach the expected profitabilityof the investment with the minimum initial investment cost. Also, there is an illustrative examplegiven in this study as an application of the proposed approach.
Stock-options and the performance of CAC40 listed companies  [cached]
Aziz El Marzougui Abdelaziz El Marzougui Abdelazi,Amine Lahiani,LANOUAR CHARFEDDINE
International Journal of Economics and Finance , 2011, DOI: 10.5539/ijef.v3n1p218
Abstract: This paper analyses two main issues. First, the determinants of the top-executives compensation of the CAC40s’ listed firms. Second, the impact of the equity-based compensation on the firm market and accounting performance. Our results show that stock-options grant for CAC40s’ top-executives are uncorrelated with its determinants and have no impact on the firm performance over the period of analysis. These results support the theoretical approach of the managerial power and entrenchment.
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