We introduce a framework for testing asset pricing models based on their implications for book-to-market ratios. We focus on the performance of beta pricing models, such as the Fama-French …ve-factor model. Our tests exploit the fact that book-tomarket ratios represent expectations of long-run cash ‡ows and stock returns. Imposing this relation and a given asset pricing model, we jointly estima...

Based on IFRS laws, British companies have started providing their reporting systems according to International Standards Requirements regarding disclosing their financial derivatives since January 2005. In 2013, Iran revised its Accounting Standard No. 15 to include the derivative instruments. The present study aims at investigating the effect of this revision on financial derivatives and inst...

This paper reformulates the classical problem of cash flow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash flows for a broad class of models of stochastic interest rate ...

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

This study constructs a valuation model from which an option-adjusted spread approach is employed to value individual mortgage servicing contracts for both adjustable rate and fixed rate mortgages. The valuation model is comprised of an exogenous OTS prepayment model, a stochastic interest rate process, and other servicing fees and costs, all of which jointly determine the servicing contract’s ...

One of the most important perspectives of interest rate risk in the banking book (IRRBB) is the valuation of socalled embedded options and the quantification of their impact on the value of bank portfolios. One unequivocal characteristic of mortgage portfolios is the option of prepayment, providing the borrower the possibility of redeeming their debt before maturity. We have created a theoretic...

maximizing economic earnings is the most common goal in cut-off grade optimization of open-pit mining operations. when this is the case, the price of the product has a critical effect on optimum value of cut-off grade. this paper investigates the relationship between optimum cut-off grade and price to maximize total cash flow and net percent value (npv) of operation. in order to visualize this ...

Current theories of the discount rate have a theoretical basis focused on risk; risk-free and risk premium. The basic component rate, as purely empirical has natural infirmity which consequently weakens final theory. Similarly, premium category is not theoretically perfect. fundamental shortcoming that theory does relate to knowledge capital its potential growth. Therefore, purpose discussion j...