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Can Analysts Assess Fundamental Risk and Valuation Uncertainty?An Empirical Analysis of Scenario-Based Value Estimates
Analyst Forecasts Scenarios Uncertainty Risk and Uncertainty Valuation
2015/4/27
We use a dataset of sell-side analysts' scenario-based valuation estimates to examine whether analysts reliably assess the risk surrounding a firm's fundamenatal value. We find that the spread in anal...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
On the Fundamental Reasons for Bank Fragility
Customer services BANKING industry bank run technical issues the fragility of banks
2011/9/26
The article discusses the fundamental issues behind the fragility of banks due to the withdrawals of depositors during financial crisis. It explores the banking theory by Douglas W. Diamond and Philli...
In the same way as the Hilbert Program was a response to the foundational crisis of mathematics, this article tries to formulate a research program for the socio-economic sciences. The aim of this con...
Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured
macroeconomic thinking crisis endured
2010/4/28
The main points of the first section of the article written by S.I. Chernyshov, A.V. Voronin and S.A. Razumovsky arXiv:1003.4382), which deals with the fundamental bases of the macroeconomic theory, h...
Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
Bilateral Counterparty Risk the fundamental impact
2010/12/13
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount wil...
Economic Complexity: Fundamental Issues And Policy ImplicationsThe Nature of Persistent Business Cyc
2008/1/17
The nature of persistent business cycles and growth fluctuations can be understood by a unified approach in measurement and theory. It is found that the HP trend-cycle decomposition provides a consist...