Articles de revues : « Consistent valuation »

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Sheldon, T. J., and A. D. Smith. "Market Consistent Valuation of Life Assurance Business." British Actuarial Journal 10, no. 3 (2004): 543–605. http://dx.doi.org/10.1017/s1357321700002695.

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ABSTRACTIn recent years there has been a trend towards market consistent valuation in those institutions for which actuaries have responsibilities. The larger United Kingdom with-profits insurance companies are now preparing realistic balance sheets, both for internal purposes and also at the request of the Financial Services Authority. International accounting standards have been moving to a fair value approach. Pension fund accounting under FRS 17 has also moved in this direction.In this paper we examine the reasons for the adoption of market consistent valuation and discuss some of the commercial implications and corporate valuation. We consider the methods and assumptions which can be used to develop market consistent valuations of cash flows typically encountered in the liabilities of financial institutions, together with some of the problems inherent in the calibration of models used for the valuation of these cash flows. The volatility assumption is crucial to the valuation of options and guarantees, and we discuss the relationship between historical and implied volatility.While most insurance companies initially adopted formulae to value their with-profits guarantees, several offices are now using a Monte Carlo simulation approach for their realistic balance sheets. The Monte Carlo approach enables allowance to be made for management discretion in bonus and investment policy, as well as policyholder actions. However, in many cases it is possible to develop analytical formulae for cash flows approximating those payable under insurance contracts.The valuation formulae have implications for the hedging of embedded guarantees. The authors discuss the construction of hedges for financial risks in with-profits funds, the separate perspectives of policyholders and shareholders, possible funds in which to hold hedging instruments, limitations of capital market hedging tools and the effect of taxation on hedge effectiveness.

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Esteller-Moré, Alejandro, and Montserrat Eres-García. "A Note on Consistent Players’ Valuation." Journal of Sports Economics 3, no. 4 (2002): 354–60. http://dx.doi.org/10.1177/152700202237500.

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Beer, Simone, and Alexander Braun. "Market-consistent valuation of natural catastrophe risk." Journal of Banking & Finance 134 (January 2022): 106350. http://dx.doi.org/10.1016/j.jbankfin.2021.106350.

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Macrina, Andrea, and Obeid Mahomed. "Consistent Valuation Across Curves Using Pricing Kernels." Risks 6, no. 1 (2018): 18. http://dx.doi.org/10.3390/risks6010018.

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Małkowska, Agnieszka, and Małgorzata Uhruska. "Towards Specialization or Extension? Searching for Valuation Services Models Using Cluster Analysis." Real Estate Management and Valuation 27, no. 4 (2019): 27–38. http://dx.doi.org/10.2478/remav-2019-0033.

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Abstract The paper delivers original data on specialization in property valuation services in Poland. Its aim is to identify relatively homogeneous groups of property appraisers taking into consideration the scope of services performed by them and the types of clients served. Based on the survey results, it was possible to indicate major models in property valuation services consistent with market applications, which allows us to verify the thesis on specialization in doing business in property valuation. The research strategy approach is twofold. Firstly, we have used the agglomerative cluster method to divide the types of valuation services and appraisers’ clients in order to find groups of similar valuation services and represent the main models of business in property appraisals. Secondly, we have applied the k-means partition methods to find relatively homogenous groups of respondents, taking into account the frequency of carrying out the particular types of valuations and clients served. As a result of our research, we present four clusters combining valuations and client types which reflect the models of property valuers’ professional activity, i.e: the market-oriented housing valuation model, market-oriented commercial valuation model, non-market-oriented judicial valuation model and non-market- oriented public valuation model. Research findings confirm the existence of three out of the four specialization clusters within the professional activity. We also extracted a group of appraisers operating on a broad scale, both when it comes to the types of services offered and clients served.

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Holland, Larry C. "Calculating a Consistent Terminal Value in Multistage Valuation Models." Accounting and Finance Research 7, no. 1 (2017): 1. http://dx.doi.org/10.5430/afr.v7n1p1.

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Valuation analysis based on the present value of future cash flows often requires a multistage valuation model which includes a terminal value. An accurate calculation of the terminal value is very important, particularly if it represents a significant portion of the stock price. A typical analysis would include a finite forecast of cash flows for a five to ten-year period followed by a terminal value that represents all the cash flows thereafter. A common assumption is that the valuation cash flows beyond the finite horizon simply continue to grow at a lower long-term growth rate. The analysis in this paper demonstrates that such an assumption is rarely appropriate except under very restrictive assumptions, if consistent accounting relationships are maintained. Using dividends as the valuation cash flows in an example calculation, the dividend at the point that the growth rate declines is shown to increase by a step function rather than simply growing at a lower, mature growth rate. The size of the step function increase is then shown to change when the values of various key value drivers in the analysis are also allowed to change. Such value drivers include the EBIT margin, the asset intensity, and the relative level of debt. The step function increase in dividends can have a significant effect on the size of the terminal value and highlights the importance of maintaining consistent accounting relationships when forecasting future cash flows in a multistage valuation model.

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Azar, Samih Antoine. "LOSS AVERSION IS CONSISTENT WITH STOCK MARKET BEHAVIOR." International Journal of Accounting & Finance Review 5, no. 4 (2020): 60–73. http://dx.doi.org/10.46281/ijafr.v5i4.893.

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The purpose of this paper is to verify that discrete statistical distributions of the US stock market are consistent with loss aversion. Loss aversion has the following tenets: an S-shaped valuation function, characterized by diminishing sensitivity, a loss aversion coefficient higher than +1, probability weighting, and reference-dependence. Diminishing sensitivity implies that the exponent of the valuation function is between 0 and +1. It is expected that this exponent be higher for losses. Probability weighting replaces objective with subjective probabilities. Loss aversion is indicated by a coefficient higher than +1 for the valuation of losses. There are three parameters: the two exponents of the valuation function, and the loss aversion coefficient. There is one non-linear equation: the certainty equivalence relation. The procedure is to fix two parameters and find the third parameter by solving the non-linear certainty equivalence equation, using the EXCEL spreadsheet. The program is repeated for more than one case about the fixed parameters, and by enriching the analysis with probability weighting. The calibrations executed point strongly to the conclusion that loss aversion is consistent with six discrete distributions of the first two moments of returns of the US stock markets. The calibration process provides for reasonable estimates of the key parameters of loss aversion. These estimates suggest a more pronounced diminishing sensitivity, and a higher than expected coefficient of loss aversion, especially when probability weighting is imposed.

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Knispel, Thomas, Gerhard Stahl, and Stefan Weber. "From the Equivalence Principle to Market Consistent Valuation." Jahresbericht der Deutschen Mathematiker-Vereinigung 113, no. 3 (2011): 139–72. http://dx.doi.org/10.1365/s13291-011-0022-y.

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KOVACEVIC, RAIMUND M., and GEORG CH PFLUG. "ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE?" International Journal of Theoretical and Applied Finance 17, no. 01 (2014): 1450003. http://dx.doi.org/10.1142/s0219024914500034.

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Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period functionals in such a way that the development of available information over time (expressed as a filtration) enters explicitly the definition of the functional. This allows to define and study the property of information monotonicity, i.e. monotonicity w.r.t. increasing filtrations. On the other hand, time consistency of valuations is a favorable property and it is well-known that this requirement essentially leads to compositions of conditional mappings. We demonstrate that generally spoken the intersection of time consistent and information monotone valuation functionals is rather sparse, although both classes alone are quite rich. In particular, the paper gives a necessary and sufficient condition for information monotonicity of additive compositions of positively homogeneous risk/acceptability mappings. Within the class of distortion functionals only compositions of expectation or essential infima are information monotone. Furthermore, we give a sufficient condition and examples for compositions of nonhomogeneous mappings exhibiting information monotonicity.

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Russell, Mark. "The valuation of pharmaceutical intangibles." Journal of Intellectual Capital 17, no. 3 (2016): 484–506. http://dx.doi.org/10.1108/jic-10-2015-0090.

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Purpose – The purpose of this paper is to value the patents of pharmaceutical companies using discounted cash flows, and compare the value-relevance of these assets against alternative intangible asset measures such as reported intangible assets and R & D capital. Design/methodology/approach – The study values pharmaceutical intangibles using three methods: an income method; the sum of unamortised R & D expenditures; the firm’s reported intangible assets. Value-relevance tests use ordinary least squares regression and Vuong and Clarke tests. Findings – First, the study finds that the discounted cash-flow valuation of pharmaceutical patents is value-relevant. Second, the value of pharmaceutical patents explains market value better than reported intangible assets but not R & D capital. However, the valuation of pharmaceutical patents is more consistent with the risks of R & D than the valuation of R & D capital which assumes recovery of R & D expenditure. Originality/value – This is the first known study that values patents using an income method and compares those valuations with reported intangible assets and R & D capital valuation models.

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Barniv, Ran, Ole-Kristian Hope, Mark J. Myring, and Wayne B. Thomas. "Do Analysts Practice What They Preach and Should Investors Listen? Effects of Recent Regulations." Accounting Review 84, no. 4 (2009): 1015–39. http://dx.doi.org/10.2308/accr.2009.84.4.1015.

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ABSTRACT: From 1994 to 1998, Bradshaw (2004) finds that analysts' stock recommendations relate negatively to residual income valuation estimates (scaled by current price) but positively to valuation heuristics based on the price-to-earnings-to-growth ratio and long-term growth. These results are surprising, especially considering that future returns relate positively to residual income valuation estimates and negatively to heuristics. Using a large sample of analysts for the 1993–2005 period, we consider whether recent regulatory reforms affect this apparent inconsistent analyst behavior. Consistent with the intent of these reforms, we find that the negative relation between analysts' stock recommendations and residual income valuations is diminishing following regulations. We also show that residual income valuations, developed using analysts' earnings forecasts, relate more positively with future returns. However, we document that stock recommendations continue to relate negatively with future returns. We conclude that recent regulations have affected analysts' outputs—forecasted earnings and stock recommendations—but investors should be aware that factors other than identifying mispriced stocks continue to influence how analysts recommend stocks.

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Asres, Habtamu Bishaw, Hans Lind, and Belachew Yirsaw Alemu. "Understanding the Bases and Approaches of Mortgage Valuation in Ethiopia." JOURNAL OF AFRICAN REAL ESTATE RESEARCH 5, no. 1 (2020): 55–76. http://dx.doi.org/10.15641/jarer.v5i1.856.

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In Ethiopia there is no mortgage valuation framework or a regulatory valuation institution. Due to this, financial institutions may value mortgage securities without any clear and consistent basis; resulting in confusion among experts and parties dependent on valuations for their business. Further, there is no previous empirical evidence on how banks or financial institutions value mortgage securities. This study is therefore intended to examine the practice of mortgage valuation adopted by Ethiopian banks by looking at valuation bases and their corresponding approaches. To meet this objective the researchers adopted a qualitative research approach where primary data were collected using key informant interviews from experienced valuers at four Ethiopian banks. The collected data were analysed and interpreted using clustering and the data were categorised into relevant themes. The study found that banks undertake mortgage valuation without any valuation basis, and they consider the cost approach as the only recognised valuation approach. Moreover, property valuers do not have sufficient professional competence in valuation and have no discretion to choose the appropriate valuation approaches. Based on the findings of this research, it is suggested that banks apply market value as a basis of valuation. The market value basis is compatible with the property market context of Ethiopia and international practices. The constitution of Ethiopia also supports it. Furthermore, banks should also adopt either the income, market or cost approaches depending on the nature and type of properties. But the cost approach can be applied as a check and balance on the reasonableness of the value determined using another approach and in cases where the two approaches are inappropriate. Valuers should also be able to use their discretion in selecting valuation approaches. These can be realised by establishing an independent national institution responsible for valuation regulation and certification.

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Hardy, M. R., D. Saunders, and X. Zhu. "Market-Consistent Valuation and Funding of Cash Balance Pensions." North American Actuarial Journal 18, no. 2 (2014): 294–314. http://dx.doi.org/10.1080/10920277.2014.906154.

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Cai, Jun, Miao Luo, and Alan J. Marcus. "Financial health and the valuation of corporate pension plans." Journal of Pension Economics and Finance 19, no. 4 (2019): 459–90. http://dx.doi.org/10.1017/s1474747219000210.

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AbstractWe return to the long-standing question ‘Who owns the assets in a defined benefit pension plan?’ Unlike earlier studies, we condition the market's assessment of implicit property rights on the sponsoring firm's financial health. Valuations of financially strong firms, and those that are strengthening, are more responsive to pension plan funding. For these firms, each extra dollar of net plan assets is valued at between $0.50 and $1.00. In contrast, for weak and weakening firms, valuation effects are statistically indistinguishable from zero. This result is consistent with the higher likelihood that they will renege on their pension obligations.

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Macdonald, Heather, and Daniel McKenney. "Varying levels of information and the embedding problem in contingent valuation: the case of Canadian wilderness." Canadian Journal of Forest Research 26, no. 7 (1996): 1295–303. http://dx.doi.org/10.1139/x26-144.

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This study examines the effect of providing varying amounts of information and embedding to contingent valuation respondents in the context of wilderness reservation. Contingent valuation is a technique developed to assess the monetary value of nonmarket goods by asking survey respondents how much they would be willing to pay (or accept) for an increase (or decrease) in the level of provision of such goods. Embedding refers to obtaining willingness-to-pay measures for a good when it is valued as part of a larger good. When subjects were provided with more complete information to make evaluations, their willingness-to-pay responses were reasonably consistent across levels of embedding. In contrast, when little background information was provided, willingness-to-pay amounts were inconsistent and showed significantly more variability and greater signs of embedding. In addition, low-information subjects volunteered more protest zeros and reported feeling slightly less confident of their responses. Perhaps the most interesting finding was the difference in mean valuations depending on how much background information subjects received. This issue of information provision can be a problematic challenge for contingent-valuation practitioners.

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Heinzer, William J., Louis J. Ratliff, and David E. Rush. "Compositions of Consistent Systems of Rank One Discrete Valuation Rings." Communications in Algebra 38, no. 8 (2010): 2943–64. http://dx.doi.org/10.1080/00927870903100085.

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Dempsey, Mike. "Consistent Cash Flow Valuation with Tax-Deductible Debt: a Clarification." European Financial Management 19, no. 4 (2011): 830–36. http://dx.doi.org/10.1111/j.1468-036x.2011.00625.x.

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Schmidt, Jan-Philipp. "Market-consistent valuation of long-term insurance contracts: valuation framework and application to German private health insurance." European Actuarial Journal 4, no. 1 (2014): 125–53. http://dx.doi.org/10.1007/s13385-014-0087-y.

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Fortin, Steve, Ahmad Hammami, and Michel Magnan. "Fair value's effects on closed-end funds' discounts and premia: is level 3 the sole perpetrator?" Managerial Finance 46, no. 8 (2020): 1001–22. http://dx.doi.org/10.1108/mf-04-2018-0163.

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PurposeThis study examines the long-term link between fair valuation uncertainty and discounts/premia in closed-end funds. This study argues that, in exploring the close-end funds puzzle, prior research generally omits to consider the uncertainty surrounding the measurement of funds' financial disclosure, as reflected in the fair value hierarchy, when investment specialty differs across funds.Design/methodology/approachRegressions were employed to explore how the fair value hierarchy affects closed-end funds' discounts/premia when investment specialty differs. The authors also examine the effects pre- and post-2012 to explore if that relationship changes due to the additional disclosure requirements enacted at the end of 2011.FindingsThe authors find that the three levels of the fair value hierarchy have effects that vary according to a fund's specialty. For equity specialized funds, Level 3 significantly increases discounts and decreases premia, suggesting the impact of valuation uncertainty that underlies Level 3 estimates; this relationship disappears (decreases in severity) for premia (discount) experiencing funds post-2012. In contrast, Level 1 and Level 2 do not have any significant effect on discounts or premia except that post-2012, Level 2 begins to display discount decreasing effects. For bond specialized funds, no significant association was noted between premia and any of the fair value levels except that post-2012, Level 3 begins to display premium increasing effects. However, results are different for discounts. The authors note that Level 1 valuations significantly increase discounts, but only post-2012; Level 2 valuations significantly decrease discounts (pre- and post-2012), consistent with such estimates incorporating unique and relevant information; and Level 3 valuations do not have a significant effect on discounts.Originality/valueThe results of this study revisit prior evidence and indicate that results about the effects of fair value measurement and the closed-end funds' puzzle are sensitive to the period length being considered and the investment specialty of the fund. The authors also note that additional disclosure regarding Level 3 valuation inputs decreases market concern for valuation uncertainty and increases the liquidity benefits of investing in Level 3 carrying funds.

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Rhodes, Heather N., and James A. Ligon. "Regulatory Corporate Governance and the Valuation of IPO Firms." International Journal of Finance & Banking Studies (2147-4486) 8, no. 2 (2019): 18–56. http://dx.doi.org/10.20525/ijfbs.v8i2.449.

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This study aims to evaluate the effect of regulatory corporate governance mandates on the valuation of equity-issuing firms in the U.S. Using a matched sample, we examine how the Exchange Listing Requirements, specifically, and the Sarbanes-Oxley Act (SOX), generally, affect IPO valuations. Board structure compliance provides no consistent valuation benefit. We find some evidence of negative effects for firms whose board structure is significantly altered by Reform and among small firms. The absence of increased valuations post-Reform suggests that there is little to offset the loss of private control benefits that Reform represents (post-Reform insider ownership and founder involvement are lower) and, thus, at the margin, Reform creates incentives for some firms to stay private. While the 2012 JOBS Act reduced the burden of registration, reporting and accounting requirements of SOX for small firms, it did nothing to change the board structure requirements of these firms. The results of this study together with those of Wintoki (2007) and Rhodes (2018) suggest that regulations pertaining to the board structure requirements of small equity-issuing firms should either be modified to allow more flexibility or repealed altogether. If lawmakers ultimately relax these requirements, future studies may focus on changes in board structures, private benefits of control, and the rates at which firms access public equity markets.

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Hong, Yi. "Arbitrage Bounds on Currency Basket Options." Mathematical and Computational Applications 25, no. 3 (2020): 60. http://dx.doi.org/10.3390/mca25030060.

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This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets. In the absence of arbitrage, we identify valuation bounds on currency basket options without model specifications. Our results extend the work in the literature by seeking tight arbitrage valuation bounds on these options. Specifically, the valuation bounds are enforced by static portfolios that consist of both cross-currency options and individual options denominated in the numeraire currency.

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Wilkinson, David, William J. Bailey, and Benoît Couët. "Method for Consistent Valuation of Assets With Multiple Sources of Uncertainty." SPE Economics & Management 4, no. 04 (2012): 204–14. http://dx.doi.org/10.2118/163080-pa.

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Cui, Zhenyu, J. Lars Kirkby, and Duy Nguyen. "A data-driven framework for consistent financial valuation and risk measurement." European Journal of Operational Research 289, no. 1 (2021): 381–98. http://dx.doi.org/10.1016/j.ejor.2020.07.011.

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Felice, Massimo De, and Franco Moriconi. "Market Based Tools for Managing the Life Insurance Company." ASTIN Bulletin 35, no. 01 (2005): 79–111. http://dx.doi.org/10.2143/ast.35.1.583167.

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In this paper we present an approach to market based valuation of life insurance policies, in the spirit of the NUMAT proposed by Hans Bühlmann (2002) in an editorial in the ASTIN Bulletin. We have experienced the valuation method for more than one decade, both as a pricing procedure applied to policy portfolios of leading insurance companies, and by including the valuation principles into several actuarial teaching activities. Our interest is mainly focused here on participating policies that in Italy are characterized by contractually binding profit sharing rules. The problem of the fair valuation of the liabilities generated to the insurer by these contracts can be conveniently addressed using the methods of contingent claims pricing. These allow to price correctly the options embedded into the policies and to implement consistent plans of asset-liability management. The approach also provides a market based measurement of the value of business in force for outstanding policy portfolios and consistent assessments of the financial risk based capitals.

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Daradkah, Demeh Ahmad, and Moh'd Mahmoud Ajlouni. "The Effect of Corporate Governance on Bank's Dividend Policy: Evidence from Jordan." Australian Journal of Business and Management Research 03, no. 01 (2013): 30–39. http://dx.doi.org/10.52283/nswrca.ajbmr.20130301a04.

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This study aims at investigating the relationship between corporate governance measures and dividends policy, along with other control variables, such as tax charges, growth rate, market valuation of the bank’s book value and profitability. Using all banks listed in Amman Stock Exchange during the period 2001-2009, the analysis is performed by employing each of the institutional ownership and top shareholders, separately, as a proxy of corporate governance (GC) and dividends payout ratio (DPR) as a proxy for the dividends. The empirical results show strong evidence on the importance of one simple CG measure, i.e. institutional ownership concentration or top shareholders, on bank’s DPR. Similarly, there were evidences on the effect of tax charges, total assets growth rate, market valuation (MVBV) and profitability (ROE) on dividends policy. Thus, banks with more institutional investors or top shareholders have higher DPR, which is consistent with agency models of dividends. In addition, taxes, market valuation and profitability are negatively associated with DPR, which is consistent with stock valuation models.

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Felice, Massimo De, and Franco Moriconi. "Market Based Tools for Managing the Life Insurance Company." ASTIN Bulletin 35, no. 1 (2005): 79–111. http://dx.doi.org/10.1017/s0515036100014070.

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In this paper we present an approach to market based valuation of life insurance policies, in the spirit of the NUMAT proposed by Hans Bühlmann (2002) in an editorial in the ASTIN Bulletin. We have experienced the valuation method for more than one decade, both as a pricing procedure applied to policy portfolios of leading insurance companies, and by including the valuation principles into several actuarial teaching activities.Our interest is mainly focused here on participating policies that in Italy are characterized by contractually binding profit sharing rules. The problem of the fair valuation of the liabilities generated to the insurer by these contracts can be conveniently addressed using the methods of contingent claims pricing. These allow to price correctly the options embedded into the policies and to implement consistent plans of asset-liability management. The approach also provides a market based measurement of the value of business in force for outstanding policy portfolios and consistent assessments of the financial risk based capitals.

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d’Amato, Maurizio. "Supporting property valuation with automatic reconciliation." Journal of European Real Estate Research 11, no. 1 (2018): 125–38. http://dx.doi.org/10.1108/jerer-01-2017-0005.

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Purpose Valuation is a professional activity based on international and local standards. In the valuation process more than one method can be modified. In this case, a final reconciliation of different opinions of value may be required. It is a matter of fact that the final result of these different valuation methods may vary. Therefore, in the final part of the valuation process, the valuer is required to assign a weight to the different methodologies to reach an appropriate opinion of value. This process is essentially based on valuer’s expertise. This paper aims to propose an automatic procedure of calculating the weights to assist the valuer in the valuation process. Design/methodology/approach The work provides methodologies to assign the weights through simple mathematical procedures that can be used to support subjective judgement in the valuation process. The models proposed can be applied to other phases of reconciliation inside the valuation process and are based on the collection of previous property data in the same market segment. Findings Two different methodologies are proposed to support valuers in the valuation process and in particular in the phase of the choice of the weights for final reconciliation purposes. Research limitations/implications The implication is the development of an information system to support the appraiser in providing these weights. The models proposed are only two but represent a future, much larger field of research. Practical implications The models may help in determining more consistent valuation reports. Social implications Consistent valuation reports for the determination of mortgage lending value may contribute to the stability of the social and economic system, especially after the 2008 non-agency mortgage crisis. Originality/value These are original models proposed in literature for such kind of problems.

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Carter, Kelly. "Do sentimental investors price rational information? Evidence from the Boston Celtics." Managerial Finance 46, no. 9 (2020): 1199–214. http://dx.doi.org/10.1108/mf-11-2019-0573.

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PurposeMuch evidence exists that rational investors factor rational information into their valuation of shares. This paper aims to examine whether sentimental investors do the same.Design/methodology/approachTo investigate this issue, the author measures sentimental investors’ reaction to the surprise player transactions of the Boston Celtics, which traded on the New York Stock Exchange for 18 years. The team’s shares were bought mainly as souvenirs by sports fans, whose largely unwavering support makes them perhaps the least likely investors to be influenced by rational information. Thus, if the team’s share price changes because of the arrival of rational information, evidence that sentimental traders price rational information into their valuation of a stock will exist.FindingsAn acquired player’s salary, education and firm-specific experience with the Boston Celtics cause higher returns. This result provides evidence that sentimental traders factor rational information into their valuations of shares. On a broader scale, the findings underscore the importance of rational information to the valuation process, as even sentimental investors price rational information into a stock that is held for sentimental reasons. Moreover, the results are consistent with the nudge theory, in that the arrival of rational information encourages (i.e. nudges) sentimental investors to price the rational information as a rational investor world.Originality/valueThis study is the first to show that sentimental traders also factor rational information into the valuation process – an idea that was likely assumed prior to this study, but was never substantiated.

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Beatty, Randolph P., Susan M. Riffe, and Rex Thompson. "The Method of Comparables and Tax Court Valuations of Private Firms: An Empirical Investigation." Accounting Horizons 13, no. 3 (1999): 177–99. http://dx.doi.org/10.2308/acch.1999.13.3.177.

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This paper introduces a series of valuation models that mimic important features of regulatory prescriptions and legal precedent for the method of comparables as applied in estate and gift tax cases. We evaluate the models using out-of-sample estimation to determine which ones have the most desirable statistical properties for prediction. We then compare the predictions from these models to the valuations put forth by taxpayers, the IRS, and judges in estate and gift tax cases. This analysis reveals that taxpayers and the IRS propose values consistent with their underlying incentives, but significantly different from most bias-adjusted forecast models. The judges choose values consistent with the average value of the two experts and with bias-adjusted forecast models. Thus, the tax litigation system appears to ultimately produce an estimate of value that is consistent with an objective application of the method of comparables to the available data.

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Kozlova, Mariia, Mikael Collan, and Pasi Luukka. "Comparison of the Datar-Mathews Method and the Fuzzy Pay-Off Method through Numerical Results." Advances in Decision Sciences 2016 (October 12, 2016): 1–7. http://dx.doi.org/10.1155/2016/7836784.

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The paper compares numerically the results from two real option valuation methods, the Datar-Mathews method and the fuzzy pay-off method. Datar-Mathews method is based on using Monte Carlo simulation within a probabilistic valuation framework, while the fuzzy pay-off method relies on modeling the real option valuation by using fuzzy numbers in a possibilistic space. The results show that real option valuation results from the two methods seem to be consistent with each other. The fuzzy pay-off method is more robust and is also usable when not enough information is available for a construction of a simulation model.

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Lipman, S. A., V. T. Reckers-Droog, M. Karimi, M. Jakubczyk, and A. E. Attema. "Self vs. other, child vs. adult. An experimental comparison of valuation perspectives for valuation of EQ-5D-Y-3L health states." European Journal of Health Economics 22, no. 9 (2021): 1507–18. http://dx.doi.org/10.1007/s10198-021-01377-y.

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Abstract Objectives EQ-5D-Y-3L health states are valued by adults taking the perspective of a 10-year-old child. Compared to valuation of adult EQ-5D instruments, this entails two changes to the perspective: (i) child health states are valued instead of adult health states and: (ii) health states are valued for someone else instead of for oneself. Although earlier work has shown that these combined changes yield different values for child and adult health states that are otherwise equal, it currently remains unclear why. Hence, we aimed to disentangle the effects of both changes. Methods A sample of 205 students (mean age: 19.48) was surveyed. Each respondent completed visual analogue scale (VAS) and time trade-off (TTO) tasks for five EQ-5D-Y-3L states, using four randomly ordered perspectives: (i) self-adult (themselves), (ii) other-adult (someone their age), (iii) self-child (themselves as a 10-year-old), (iv) other-child (a child of 10 years old). We compared how each perspective impacted outcomes, precision and quality of EQ-5D-Y-3L valuation. Results Overall, differences between perspectives were consistent, with their direction being dependent on the health states and respondents. For VAS, the effect on outcomes of valuation depended on severity, but variance was higher in valuation with child perspectives. For TTO, we observed that EQ-5D-Y-3L states valued on behalf of others (i.e., children or adults) received higher valuations, but lower variances. Conclusion The use of a different perspective appears to yield systematic differences in EQ-5D-Y-3L valuation, with considerable heterogeneity between health states and respondents. This may explain mixed findings in earlier work.

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Hare, D. J. P., G. Craske, J. R. Crispin, et al. "The Realistic Reporting of With-Profits Business. Reference Paper for the Discussion." British Actuarial Journal 10, no. 2 (2004): 223–93. http://dx.doi.org/10.1017/s1357321700002816.

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ABSTRACTThis paper was written at the request of the Life Research Committee of the United Kingdom Actuarial Profession's Life Board. It concerns the valuation of U.K. with-profits business, with particular attention to the market-consistent ‘realistic reporting’ basis currently being used in the U.K. by the regulator, the Financial Services Authority (FSA). The paper surveys recent regulatory activity concerning the development and introduction of the new valuation approach, and puts it into the context of a survey of alternative methodologies, both deterministic and stochastic. The particular issues arising when considering prudential solvency are discussed, and various approaches are reviewed and compared with market consistent methods. Numerical examples are given, which demonstrate potential issues (regarding comparability and consistency) with the FSA's proposed approach — in particular the sensitivity of results to model calibration. The authors support the FSA's move to a stochastically-based framework for solvency measurement, but highlight some issues which need to be taken into account.

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Reis, Pedro Nogueira, and Mário Gomes Augusto. "What Is a Firm’s Life Expectancy? Empirical Evidence in the Context of Portuguese Companies." Journal of Business Valuation and Economic Loss Analysis 10, no. 1 (2015): 45–75. http://dx.doi.org/10.1515/jbvela-2014-0003.

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AbstractIt isa fact that the uncertainty about a firm’s future has to be measured and incorporated into a company’s valuation throughout the explicit analysis period – in the continuing or terminal value within valuation models. One of the concerns that can influence the continuing value of enterprises, which is not explicitly considered in traditional valuation models, is a firm’s average life expectancy. Although the literature has studied the life cycle of a firm, there is still a considerable lack of references on this topic. If we ignore the period during which a company has the ability to produce future cash flows, the valuations can fall into irreversible errors, leading to results markedly different from market values. This paper aims to provide a contribution in this area. Its main objective is to construct a mortality table for non-listed Portuguese enterprises, showing that the use of a terminal value through a mathematical expression of perpetuity of free cash flows is not adequate. We provide the use of an appropriate coefficient to perceive the number of years in which the company will continue to operate until its theoretical extinction. If well addressed regarding valuation models, this issue can be used to reduce or even to eliminate one of the main problems that cause distortions in contemporary enterprise valuation models: the premise of an enterprise’s unlimited existence in time. Besides studying the companies involved in it, from their existence to their demise, our study intends to push knowledge forward by providing a consistent life and mortality expectancy table for each age of the company, presenting models with an explicitly and different survival rate for each year. Moreover, we show that, after reaching a certain age, firms can reinvent their business, acquiring maturity and consequently postponing their mortality through an additional life period.

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Jindra, Jan. "Seasoned Equity Offerings, Valuation and Timing: Evidence from 1980's and 1990's." Quarterly Journal of Finance 03, no. 03n04 (2013): 1350013. http://dx.doi.org/10.1142/s2010139213500134.

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While the existing literature has focused on whether firms issue equity when they are overvalued, this paper examines whether there was a better time to issue seasoned equity when the valuation of a firm's shares might have been even more favorable. Using three valuation approaches, the findings suggest that: (1) the valuation of firms issuing seasoned equity is the most favorable at the time of the offering and (2) the estimated valuation errors are significantly related to the probability that firms will undertake a seasoned equity issue. These results are consistent with firms optimizing the timing of the seasoned equity offering so as to take maximum possible advantage of misvaluation of their shares.

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Durand, René. "Uniqueness of the numeraire and consistent valuation in accounting for real values." Journal of Economic and Social Measurement 29, no. 4 (2004): 411–26. http://dx.doi.org/10.3233/jem-2004-0234.

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Taggart, Robert A. "Consistent Valuation and Cost of Capital Expressions with Corporate and Personal Taxes." Financial Management 20, no. 3 (1991): 8. http://dx.doi.org/10.2307/3665747.

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Watanabe, Masahide, and Kota Asano. "Distribution Free Consistent Estimation of Mean WTP in Dichotomous Choice Contingent Valuation." Environmental and Resource Economics 44, no. 1 (2008): 1–10. http://dx.doi.org/10.1007/s10640-008-9255-3.

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Bauer, Daniel, Daniela Bergmann, and Rüdiger Kiesel. "On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View." ASTIN Bulletin 40, no. 1 (2010): 65–95. http://dx.doi.org/10.2143/ast.40.1.2049219.

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AbstractIn recent years, market-consistent valuation approaches have gained an increasing importance for insurance companies. This has triggered an increasing interest among practitioners and academics, and a number of specific studies on such valuation approaches have been published.In this paper, we present a generic model for the valuation of life insurance contracts and embedded options. Furthermore, we describe various numerical valuation approaches within our generic setup. We particularly focus on contracts containing early exercise features since these present (numerically) challenging valuation problems.Based on an example of participating life insurance contracts, we illustrate the different approaches and compare their efficiency in a simple and a generalized Black-Scholes setup, respectively. Moreover, we study the impact of the considered early exercise feature on our example contract and analyze the influence of model risk by additionally introducing an exponential Lévy model.

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Volinskiy, Dmitriy, John C. Bergstrom, Christopher M. Cornwell, and Thomas P. Holmes. "A Pseudo-Sequential Choice Model for Valuing Multi-Attribute Environmental Policies or Programs in Contingent Valuation Applications." Agricultural and Resource Economics Review 39, no. 1 (2010): 9–21. http://dx.doi.org/10.1017/s1068280500001799.

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The assumption of independence of irrelevant alternatives in a sequential contingent valuation format should be questioned. Statistically, most valuation studies treat nonindependence as a consequence of unobserved individual effects. Another approach is to consider an inferential process in which any particular choice is part of a general choosing strategy of a survey respondent. A stochastic model is suggested, consistent with the reflexivity, transitivity, and continuity axioms of utility analysis. An application of this theoretical model to the valuation of watershed ecosystem restoration demonstrates that an empirical model recognizing reflexivity and transitivity, and also allowing for continuity, shows the highest in-sample predictive ability.

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Abel, Andrew B., and Janice C. Eberly. "Investment, Valuation, and Growth Options." Quarterly Journal of Finance 02, no. 01 (2012): 1250001. http://dx.doi.org/10.1142/s2010139212500012.

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We develop a model in which the opportunity for a firm to upgrade its technology to the frontier (at a cost) leads to growth options in the firm's value; that is, a firm's value is the sum of value generated by its current technology plus the value of the option to upgrade. Variation in the technological frontier leads to variation in firm value that is unrelated to current cash flow and investment, though variation in firm value anticipates future upgrades and investment. We simulate this model and show that, consistent with the empirical literature, in situations in which growth options are important, regressions of investment on Tobin's Q and cash flow yield small positive coefficients on Q and larger coefficients on cash flow. We also show that growth options increase the volatility of firm value relative to the volatility of cash flow.

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So, Michael, and Janek Ratnatunga. "A Normative Approach to Valuation, Value Enhancement and Financial Statement Reporting of Intellectual Capital." Management Accounting Frontiers 3 (December 31, 2020): 25–52. http://dx.doi.org/10.52153/prj1022004.

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Intellectual capital (IC) is increasingly seen as an integral part of a firm’s value-creating processes and an essential strategic asset in creating corporate sustainable competitive advantage (Bukh, 2003; Chen, Cheng & Hwang, 2005). Nevertheless, reporting on IC is currently inconsistent, incomparable, and incomplete because of a lack of consistent guidance. This paper presents a normative IC valuation and reporting framework based on the Capability Economic Value of Intangible and Tangible Assets (CEVITA) approach (Ratnatunga, Gray & Balachandran, 2004). The proposed framework enables the application of CEVITA to the valuation of intellectual capital capability and provides a theoretical foundation for future empirical studies in relation to IC valuation and reporting.

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Konstandatos, Otto. "Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements." Annals of Actuarial Science 14, no. 1 (2020): 188–218. http://dx.doi.org/10.1017/s1748499519000125.

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AbstractExecutive stock options (ESOs) are widely used to reward employees and represent major items of corporate liability. The International Accounting Standards Board IFRS9 financial reporting standard which came into full effect on 1-Jan 2018, along with its Australian implementation AASB9, requires public corporations to report their fair-value cost in financial statements. Reset ESOs are typically issued to re-incentivise employees by allowing the option to be cancelled and re-issued with a lower exercise price or later maturity. We produce a novel analytical Reset ESO valuation consistent with the IFRS9 financial reporting standard incorporating the simultaneous resetting of vesting period, exercise window, reset level and maturity. We allow for voluntary and involuntary exercise. Our analytical result is expressed solely in terms of standardised European binary power option instruments. Using the multi-state mortality model of Hariyanto (2014, Mortality and disability modelling with an application to pricing a reverse mortgage contract, PhD thesis, University of Melbourne), we estimate longitudinal disability and death transition probabilities from cross-sectional data. We determine survival functions for pre-vesting forfeiture or post-vesting involuntary exercise for use with weighted portfolios of our formulae to illustrate the effect of survival on the fair value. We examine the IFRS9 method of valuation using expected time to option exercise and demonstrate a consistent overestimation of fair value of up to 27% for senior executives.

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Alsaid, Loai. "Do consistent CSR activities matter for firm value?" Corporate Ownership and Control 14, no. 1 (2016): 340–50. http://dx.doi.org/10.22495/cocv14i1c2p6.

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This paper investigates how investments in corporate social responsibility (CSR) activities affect firm value. We categorise firms’ CSR activities as strategic or opportunistic based on consistency, and analyse the differential value relevance effect. We use the Egyptian Economic Justice Index (EEJI) as the most representative measure for firms’ CSR activities in Egypt. To measure valuation effect, we adopt an earnings response coefficient (ERC) model. Our main explanatory variables are interaction variables with unexpected earnings and two dummy variables; one indicating CSR activities, and one indicating their consistency. We document these variables as positively and negatively significant. Our findings show that investing in CSR activities consistently and strategically may increase firm’s profitability and firm value. However, firms that sporadically invest in CSR activities show a smaller relationship between unexpected earnings and stock returns than firms that consistently invest in CSR activities.

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Munshifwa, Ephraim K. "An Investigation Into the Use of “Hybrid” Adjustment Techniques in the Application of the Sales Comparison Method in Residential Valuation." Real Estate Management and Valuation 29, no. 1 (2021): 1–11. http://dx.doi.org/10.2478/remav-2021-0001.

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Abstract The sales comparison is the most common and universally accepted method in valuation. Although the theoretical entry point of the method is the same across most continents, its application in practice is varied and often determined by local circumstances. This often necessitates the modification of the method. For instance, while Zambian valuation practice uses this method in residential valuation, its application goes beyond the basic valuation model, incorporating a less known technique called the “reduced floor area (RFA)” technique. The RFA technique is a form of relative importance (weight) concept which assesses ancillary buildings on site relative to the main use; for residential properties this is the main house on site. Despite its obscurity in valuation literature, practitioners find its use acceptable within the dictates of local circumstances. Nonetheless, the lack of documentation means knowledge on the technique is transmitted verbally from senior valuers to graduates, and its application is not consistent across the profession, contributing to variances in the assessed values. This necessitates detailed scrutiny of the technique. Data for the study was collected from the Valuation Surveyors Registration Board (VSRB), a statutory body responsible for licensing valuers and regulating valuation practice. This is the first time the RFA technique is being discussed in a scholarly article.

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Jenkins, David S., and Gregory D. Kane. "A Contextual Analysis of Incomeand Asset-Based Approaches to Private Equity Valuation." Accounting Horizons 20, no. 1 (2006): 19–35. http://dx.doi.org/10.2308/acch.2006.20.1.19.

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The question of how to best value privately held businesses for purposes of taxation and other legal reasons remains open to debate. In general, valuation models are asset-based, income-based, or hybrid models that aggregate asset and income information. An example of the latter is the controversial excess earnings method recommended by IRS Rev. Rul. 68–609. In this research, we focus on the relative performance of the excess earnings method vis-a`-vis other widely used valuation models. We consider the valuation accuracy of each model in a general setting along with examining contextual performance under varying levels of intangible versus tangible assets and varying levels of business profitability. We show that the hybrid model provides superior valuation accuracy in general and more consistent valuation accuracy across the contexts examined. We also show that the inclusion of two capitalization rates in the excess earnings method, which is required in order to distinguish returns from tangible versus intangible assets, provides increasing relative valuation accuracy over that of the single-rate earnings capitalization model as the two rates diverge. In summary, we demonstrate that for privately held firms, which typically lack analyst following and independent earnings forecasts, the excess earnings method represents a viable valuation alternative.

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Fytros, Charalampos. "The aporetic financialisation of insurance liabilities: Reserving under Solvency II." Finance and Society 7, no. 1 (2021): 20–39. http://dx.doi.org/10.2218/finsoc.v7i1.5589.

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The valuation of insurance liabilities has traditionally been dealt with by actuaries, who closely monitored underlying illiquid features, assumed a long-term perspective, and exercised their own subjective, expert judgment. However, the new EU regulatory regime of Solvency II (S2) has come to require market-consistent valuation supplemented by a risk-sensitive capital. This is considered an unwanted shift towards short-termism that is misaligned with the industry’s long term and countercyclical character. The new principles place the ‘technicalising’ logic of financial economics over ‘contextualising’ actuarial know-how. Following existing analytics of valuation from the ethnography of reinsurance markets and the social studies of finance, such requirements appear either as an alarming attack against the actuarial component of traditional valuation practice, or else as a preserver of it, through a process of enfolding at the heart of the financialisation project. This article holds that the case of S2 challenges both these analytics of valuation. S2’s financialisation project, precisely by attempting to construct itself, deconstructs itself into an actuarial project, in a recurring, aporetic process. In this respect, fair (or otherwise) valuation remains always undecidable, inconclusive, and thus responsible.

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Ahmed, Anwer S., Emre Kilic, and Gerald J. Lobo. "Does Recognition versus Disclosure Matter? Evidence from Value-Relevance of Banks' Recognized and Disclosed Derivative Financial Instruments." Accounting Review 81, no. 3 (2006): 567–88. http://dx.doi.org/10.2308/accr.2006.81.3.567.

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We provide evidence on how investor valuation of derivative financial instruments differs depending upon whether the fair value of these instruments is recognized or disclosed. Expanded disclosures and accounting practices prior to SFAS No. 133 and mandatory recognition of derivative fair values after SFAS No. 133 provide a natural setting for comparing the valuation implications of recognized and disclosed derivative fair value information. This unique setting mitigates many of the research design problems with recognition versus disclosure studies. Using a sample of banks that simultaneously hold recognized and disclosed derivatives prior to SFAS No. 133, we find that the valuation coefficients on recognized derivatives are significant, whereas the valuation coefficients on disclosed derivatives are not significant. Further, using a sample of banks that have only disclosed derivatives prior to SFAS No. 133, which are recognized after SFAS No.133, we find that while the valuation coefficients on disclosed derivatives are not significant, the valuation coefficients on recognized derivatives are significant. These results are consistent with the view that recognition and disclosure are not substitutes. Our findings suggest that SFAS No. 133 has increased the transparency of derivative financial instruments.

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Kuraś, Piotr. "DESCRIPTION OF THE PROPERTY VALUATION PROCESS IN POLISH CONDITIONS." Zeszyty Naukowe Wyższej Szkoły Humanitas Zarządzanie 20, no. 3 (2019): 61–73. http://dx.doi.org/10.5604/01.3001.0013.7240.

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The study attempts to describe the property valuation process in the context of regulations in force In Poland. For this purpose, to this end, the current legal acts, professional standards of real estate appraisers as well as institutional and economic conditions were analyzed. The study starts with the characterization of the property at the subject of valuation, the types of determined values, then the silhouette of the real estate appraiser as a professional authorized to valuation of the property was presented. The most important part of the study, from the point of view of the study goal, is the description of the process of valuation of real estate in Polish conditions. This paper presents a general valuation model, which the difficult and complex problem of valuation presents in a comprehensive, consistent and logical way. Various research approaches have been used for the purpose of the study. Qualitative approach based on observation, interview, analysis of dispersed sources allowed to formulate research assumptions. Next, methods of scientific inference were used, mainly analysis and synthesis. In the paper, due to the aim, mainly the Polish literature on the subject was used as well as legal acts and other sources of information.

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Randall, Alan. "A consistent valuation and pricing framework for non-commodity outputs: Progress and prospects." Agriculture, Ecosystems & Environment 120, no. 1 (2007): 21–30. http://dx.doi.org/10.1016/j.agee.2006.03.036.

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Wüthrich, Mario V. "An academic view on the illiquidity premium and market-consistent valuation in insurance." European Actuarial Journal 1, no. 1 (2011): 93–105. http://dx.doi.org/10.1007/s13385-011-0005-5.

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