The role of intellectual property (IP) as an important value determinant is widely recognized. This article tries to quantify the role of IP in companies valuation by comparing a sample of biotechnology companies (46 companies included in the Genetic Engineering News Index:GEN-Dex) to the...

As is well known, the classic Black­Scholes option pricing model assumes that returns follow Brownian motion. It is widely recognized that return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non­normal return innovations. Second,...

Este trabajo pretende, utilizando una versión modificada del modelo de crecimiento continuo de Higgins para la valuación de activos de capital, obtener evidencia en cuanto a la relevancia de la información contable en la valuación del valor de mercado del patrimonio en la industria de...

The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. In a series of papers, Brock and Hommes, propose to model economic and financial markets as adaptive belief systems. Asset price fluctuations in adaptive belief systems are...

We propose a quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory. Quantum Zeno paradoxes and noncomutative quantum mecanics are also discussed.

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and...

En el campo de las Finanzas, uno de los tópicos de investigación más importantes en los últimos años, ha sido la Valuación de Activos de Capital. Esta pretende determinar los factores que explican la tasa de retorno de tales activos. El Capital Asset Pricing Model (CAPM) y el Arbitrage...

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well approximated by the value of a particular...

This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...