Working Paper Series in Strategic Business Valuation

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This working paper series presents original contributions focused on the theme of creation and measurement of value in business enterprises and organizations.

2016 Working Papers

Arbitrage Pricing Restrictions and the Predictability of Stock Returns by Statistical Factor Analysis
Ronald Balvers and Adam Stivers | 2016-04 | Download the PDF

In standard principal components estimation of the APT, the factors are obtained without employing the restrictions on mean returns implied by the APT. We modify the principal components methodology to allow mean returns to reflect the theoretical restrictions up to any level of accuracy and generate optimal constrained APT factors from the eigenvectors of a … Continue reading Arbitrage Pricing Restrictions and the Predictability of Stock Returns by Statistical Factor Analysis

The Relationship between Initial and Ongoing Fees in Franchising: A Meta-Analysis
Farhad Sadeh and Manish Kacker | 2016-03 | Download the PDF

Franchisors typically create and appropriate value through the growth of agent (franchisee) networks and extraction of economic profits (for the rights granted to franchisees) through revenue sharing contracts. Mechanisms and rationales for revenue sharing have been the subject of many theoretical and empirical studies on contracting. Franchising is a popular form of retailing in a … Continue reading The Relationship between Initial and Ongoing Fees in Franchising: A Meta-Analysis

Asset Valuation
Ronald J. Balvers | 2016-02 | Download the PDF

A survey discussing fundamental conceptual issues in valuation. Topics include differences in fundamental valuation, comparative valuation, and replacement-value based valuation; accounting approaches to valuation such as residual income as contrasted with discounted cash flows; the use of valuation ratios based on earnings, dividends, and return on investment; the roles of different types of real capital … Continue reading Asset Valuation

Fire-Sale Channel of Industry Contagion: Evidence from the Pricing of Industry Recovery Rate
Yi-Ting Hsieh, Peter Miu, Wenchien Liu, and Yuanchen Chang | 2016-01 | Download the PDF

How does bankruptcy contagion propagate among industry peers? We study the fire-sale channel of industry contagion by examining whether the cost of debt of a company is affected by the observed recovery rates of its bankrupt industry peers. Our results show that lower industry recovery rates are associated with higher loan spreads but only when … Continue reading Fire-Sale Channel of Industry Contagion: Evidence from the Pricing of Industry Recovery Rate

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