Cointegration in return series and its effect on short-term prediction
Article Abstract:
The effects of cointegration on a system of real and financial assets were investigated. Five classes of assets were included in the study: short-term bonds, long-term bonds, common stocks, unsecuritized real estate and securitized real estate. The results showed that the five assets classes are cointegrated with two cointegrating vectors. The improvement in the forecast of asset returns was determined by error correction augmented structural VAR models. It was shown that the returns for unsecuritized assets are predicted with accuracy using the model compared to the other classes.
Publication Name: Managerial Finance
Subject: Business
ISSN: 0307-4358
Year: 1998
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Capital budgeting techniques among the Fortune 500: a rationale approach
Article Abstract:
Increased focus on the adoption of internal rate of return and net present value among Fortune 500 companies stems from the fact that these firms have a high regard on time value of money and cash flow measures. Although the two were found to be the most widely used capital budgeting strategies employed by Fortune 500 firms, some use accounting rate of return since it offers robust benefits in financial statement reporting and frequently serves as the basis of determining incentives and performance appraisals.
Publication Name: Managerial Finance
Subject: Business
ISSN: 0307-4358
Year: 1997
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Asset specificity and corporate governance: an empirical test
Article Abstract:
A model for determining the index measurement of asset specificity is designed to evaluate the relationship between the financial structure and asset specificity. The model, based on the standard value of liquidation assets, establishes the positive relationship of specificity of assets and financial leverage. An increase in liquidation value of assets initiates an increase in a firm's financial leverage, an firms having high percentage in sales tend to employ less financial leverage.
Publication Name: Managerial Finance
Subject: Business
ISSN: 0307-4358
Year: 1996
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