Index

Growing Presence of Real Options in Global Financial Markets

ISBN: 978-1-78714-838-3, eISBN: 978-1-78714-837-6

ISSN: 0196-3821

Publication date: 27 November 2017

This content is currently only available as a PDF

Citation

(2017), "Index", Growing Presence of Real Options in Global Financial Markets (Research in Finance, Vol. 33), Emerald Publishing Limited, Leeds, pp. 205-210. https://doi.org/10.1108/S0196-382120170000033011

Publisher

:

Emerald Publishing Limited

Copyright © 2018 Emerald Publishing Limited


INDEX

Accounting variables
, 128

Acquisitions
, 4

ACX. See Ang, Chen, and Xing (ACX)

Altman’s Z-score
, 163

AMEX
, 79

Analysis of variance (ANOVA) test
, 63

Ang, Chen, and Xing (ACX)

DA-preference-based model
, 76

relative beta vs. modified beta
, 99–101

ANOVA test. See Analysis of variance (ANOVA) test

AP option. See Average-price (AP) option

Asian-Pacific markets
, 125

Asian-Pacific region
, 127

Asian stock markets

equity market and accounting data
, 128

Asia-Pacific economies
, 188

Asset pricing models
, 124–127

Fama-French three-factor
, 151

markets, comparison
, 152–155

regression analysis
, 133

Asset pricing models, regression analysis of
, 133

AT&T-DirecTV
, 2

DirectTV, valuation of
, 6–10

merger and acquisition (M&A) activities
, 3–6

SBC Global and BellSouth Corp.
, 2

Average-price (AP) option
, 10

Bank defaults
, 187

Banking Stability Index (BSI)
, 183, 186, 187, 189, 192, 194–200

balance sheets
, 189

banking sector performance
, 187–188

fragility and instability in emerging countries
, 185, 199

generalized methods of moments (GMM)
, 189–192

hypotheses
, 194–195

check-up
, 197–199

income statements
, 189

literature
, 187–189

log transformation
, 194

measures
, 187

methodology/construction
, 192–193

period
, 2003-2011, 189

research model
, 193–194

sample
, 189

two-step system GMM estimator
, 195–198

variables

bank lending behavior
, 200

description
, 192

z-score to measure
, 186

Bank lending behavior
, 194, 196

Banks’ profitability
, 188

Bell companies
, 4

BE/ME factor
, 124, 128

O-score portfolios
, 128

ratio
, 128

testing of factor models
, 134–151

Betas
, 76–101

Black and Scholes (B&S) model
, 13

Blended portfolio
, 133

Bloomberg
, 86

BM&F Bovespa and Johannesbourg Stock Exchange
, 183, 184

Bond rating agencies
, 173

Book-to-market
, 77, 79, 81–87, 90, 91, 93, 94, 96–101

patterns
, 133–134

risk factors
, 124

BSE
, 500, 52

BSI. See Banking Stability Index (BSI)

B&S model. See Black and Scholes (B&S) model

Canadian financial system
, 187

Canadian policymakers
, 187

Capital Asset Pricing Model (CAPM)
, 11, 76–79, 81, 83, 84, 86, 87, 89, 101, 124

BE/ME variable
, 81

beta
, 76–79, 83, 86, 89, 99

cross-sectional results
, 82

data and methodology
, 77–80

equivalence of up beta and down beta.
, 80

modified beta processes
, 84

momentum/Fama-French factors
, 89–91

robustness check
, 91–99

size and book-to-market
, 85–89

up-down beta
, 81, 83

Capital budgeting analyst
, 114, 118

CAPM. See Capital Asset Pricing Model (CAPM)

Carhart four-factor model
, 154

Carhart model
, 133, 155

communications
, 6

momentum
, 125, 126, 151, 153

Coca-Cola Company
, 25

annual cash dividends paid
, 26

internal rate of return
, 26

frequency distribution of
, 27

year-over-year percentage change
, 26

Coefficient for sales (SALES)
, 40

Cointegration test
, 45, 56–61

Common stock outstanding (CSH)
, 40

COMPUSTAT database
, 38

Constant growth model
, 22

Contingent claims
, 3

Contingent pricing
, 107

Correlation matrix
, 167

Covariance matrix

estimating
, 111–112

Credit risk
, 195

Cross-sectional stock returns
, 77, 82, 83, 88, 93, 94, 96–99, 101

Czech National Bank
, 188

Data, Variables, and Estimation methods
, 46

DCF. See Discounted cash flow (DCF)

DE. See Debt to equity (DE)

Debt
, 47

financing
, 54

maturity
, 163

empirical studies
, 163

private placements of
, 159

structure
, 160

Debt to equity (DE)
, 34

Derivatives, on bank
, 182

Direct broadcast satellite (DBS) services market
, 4

DirecTV’s stock prices
, 11

DirecTV’s valuation model

application of
, 10–15

stock
, 3

Discounted cash flow (DCF)

analysis
, 20, 112

approach
, 117

investment
, 106

analysis tools
, 106

techniques
, 115, 116

Dividend discount approach
, 20

Dividend discount model
, 21, 22, 24

internal rate of return
, 23–24

return, internal rate of
, 23–24

two-stage
, 22

use of
, 24

Dividend-enhanced convertible stocks (DECS)
, 7

Dividend generation process
, 23

Dividend history
, 20

Dividend payment patterns
, 33, 34, 37, 41

data collection
, 38

descriptive statistics
, 38–40

empirical models
, 37

and firm characteristics, relationship
, 34–36

future research
, 41

hypotheses
, 36–37

probit analysis
, 40

limitations
, 41

sample selection
, 38

Dividend payout patterns
, 34, 36

DJIA. See Dow Jones Industrial Average (DJIA)

Dow Jones Industrial Average (DJIA)
, 21, 27, 28

companies
, 25

20 DJIA
, 27

DJIA30
, 55

Down beta
, 78–102

EFN model. See External funds needed (EFN) model

Emerging countries
, 182, 183

evolution of derivatives
, 183–185

fragility and instability of banks
, 185, 199

Equity
, 47

controlled firms
, 53

market
, 125, 128, 155

Errors-in-variables (EIV) problems
, 91

Exchange option

approach, integrates finance/strategy
, 115–117

model
, 114

External financing
, 44

External funds needed (EFN) model
, 44, 47–54, 59, 63, 66

cointegration regression
, 61

dependent variable
, 55

development to incorporate capital structure
, 46–47

Granger causality
, 64–66

independent variable
, 55

statistical tests
, 55–56

sustainable growth rates
, 62–64

Fama-French factors
, 77, 153

three-factor model
, 126, 133, 151, 152, 155

Fama-MacBeth regressions
, 99

Federal Communications Commission (FCC)
, 2

Financial crisis
, 182, 185

Financial distress
, 124, 125, 127, 128, 131, 133, 134, 152, 154

metrics
, 124

risk-based four-factor model
, 125

Financial measure
, 34

Financial stress index (FSI)
, 187

Firm size continuum
, 175

Flexible manufacturing system (FMS)
, 107

option to switch among multiple states
, 107

Forecasting dividends
, 20

Fortune
, 500, 38

Future cash flows
, 107

Future prices
, 112, 114

Generalized method of moments (GMM)
, 95, 183, 189, 191, 192

estimator technique
, 183

two-step system
, 197, 198

Generic model
, 108–111

Gibbons, Ross, and Shanken (GRS)
, 133

tests
, 152

Global financial tsunami
, 188

GMM. See Generalized method of moments (GMM)

GNP price-level index
, 131

Goodness-of-fit tests
, 154

Gram-Charlier expansion, of Taylor series
, 111

Granger causality
, 64–66

Growth portfolio
, 133

Herfindahl-Hirschman Index
, 192

High O-score portfolio (HO)
, 133, 134

High-quality firms
, 162

HML portfolios
, 89, 133

groupings
, 131–133

Index of bank stability (BSI). See Bank Stability Index

Information, switching among different levels
, 112–115

Institutional investors
, 37

Internal rate of return
, 21, 25

dividend discount model
, 23–24

several dividend-paying stocks
, 27–28

Internet
, 3

Intrinsic value
, 20

current market price
, 22

DirecTV stock
, 11, 14

probability distribution of
, 21

on VWAP option model
, 12

Iranian firms
, 54

Japanese markets
, 124, 128

Johannesbourg Stock Exchange (JSE)
, 184

Johansen’s cointegration test
, 56, 60, 61

Johnson model
, 110, 111

Ken French’s website
, 87

Liabilities
, 46

Liquidity
, 54

of assets
, 48, 49

liquidation value
, 49

risk models
, 163, 176

LLCW estimate O-score risk parameters
, 127

LLCW financial distress model
, 126, 151

LLCW four-factor model
, 152, 154

LLCW model
, 127, 128, 133, 152, 153

Loan-loss provisions (LLPs)
, 192

Loans, vulnerability of
, 195

Lognormal-distributed assets
, 110

Loss aversion (LA) preferences
, 76

Low O-score portfolio (LO)
, 134

Low-quality firms
, 162

LTE capabilities
, 4

Malaysian firms
, 151

Marked-to-market
, 162

Market portfolio return
, 126

Market-to-book ratio
, 164

Maturity regression
, 168

Maturity structure
, 160–164, 175

considerations
, 163–164

contracting hypothesis
, 162

liquidity risk hypothesis
, 163

signaling hypothesis
, 162–163

tax hypothesis
, 163

Maximum Eigenvalue approaches
, 59

Merger and acquisition (M&A) activities
, 3

Mergers
, 2–11, 14, 15

Modified beta
, 95, 99

Momentum factor (MOM)
, 77, 79, 80, 86–92, 93, 94, 96, 126–127, 153

Monte Carlo simulation
, 21

Moody-KMV’s Expected Default Risk Frequency
, 124

NASDAQ
, 79

NASDAQ100
, 55

National Rural Telecommunications Cooperative
, 5

Net present value (NPV)
, 109, 161

News Corp.
, 5

Nigeria, bank stability index
, 189

N-probit analyses
, 37, 38, 40

NYSE
, 79

Obama administration
, 4

OHL coefficients
, 152

Ohlson O-score model
, 127, 131

financial distress
, 131

parameters
, 125

OLS. See Ordinary least squares (OLS)

On-balance sheet interest rate risk
, 196

Option-pricing model
, 10, 106, 107, 114

Option pricing theory
, 107

Ordinary least squares (OLS)
, 95

estimation
, 168

O-Score
, 128, 131, 133–134

coefficient estimates
, 132

financial distress
, 124

factor
, 128–130

model
, 131

probability
, 131

risk measurement
, 131

Pearson correlation coefficients
, 39

Pecking order theory (POT)
, 44, 47–54

cointegration regression
, 61

dividend payout
, 51–53

financial flexibility
, 49–51

fixed assets, used as collaterals
, 48–49

and growth
, 53–54

Johansen’s cointegration test
, 57–61

objective of study
, 45

statistical tests
, 55–56

study contributes to current literature
, 45–46

support to cointegration test
, 61

sustainable sales growth rate, association between
, 54–55

tangible assets
, 48

vector error correction model
, 56–57

Percentage change of the gross domestic product (PCGDP)
, 194

Pettengill, Sundaram, and Mathur (PSM)
, 79

Portfolios time-series tests
, 134

Post-crisis period
, 189

POT. See Pecking order theory (POT)

Pre-crisis period
, 197

Private debt markets
, 160

Private placements
, 159–161, 164, 166, 168–171, 173, 175, 176

correlation matrix
, 167

debt

corporate
, 160

empirical studies of
, 160

high-quality issuers
, 175

maturity theories
, 173

sample distribution
, 165–166

Securities Data Company (SDC-Platinum)
, 164

tax rates
, 161

two-stage least squares regressions of maturity
, 169

firms with credit rating
, 172, 174

firms without credit rating
, 172, 174

Rule 144A vs. Non-Rule 144A
, 170, 171

two-stage least squares regressions
, 169

variables, descriptive statistics
, 166

Real options
, 107, 112, 113

Regression Equation Specification Error Test (RESET)
, 55

Regression mean square errors (RMSEs)
, 81, 92

Return on asset (ROA) profitability
, 193

Return on equity (ROE)
, 36

Romanian financial system
, 188

S&P 500 exchange
, 21

Schervish’s algorithm
, 110

Securities Data Company (SDC)
, 164, 166

Size
, 77, 79, 80, 82

Size-and-book-to-market-sorted portfolios
, 83

SMB
, 89

Stocks

graphical representation
, 29

non-dominated
, 28

returns
, 128

stock-for-stock transaction
, 5

valuation
, 21, 23

Switching among Different Levels of Information
, 107

Taylor series
, 111

Telecommunications
, 2, 5, 14

The Option to Switch among Multiple States
, 107

Time-series regressions
, 135–151

Time Warner Cable (TWC)
, 2

T-Mobile
, 2, 4

Tse algorithm
, 112

Turkish banking system
, 185

Two-stage least squares (2SLS) regressions
, 169, 171, 172, 174

United States Satellite Broadcasting
, 5

Vector Error Correction Model (VECM)
, 56, 58

Verizon Communications
, 5

Vodafone
, 5

Volume-weighted average price (VWAP) model
, 3, 10, 13

World Bank database
, 189

Zero strike options
, 110