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dc.contributor.author Khairani, Rina
dc.contributor.author Ruzzier, Gianmarco
dc.date.accessioned 2018-11-27T12:03:46Z
dc.date.available 2018-11-27T12:03:46Z
dc.date.issued 2018
dc.identifier.uri http://hdl.handle.net/10230/35863
dc.description Treball fi de màster de: Master's Degree in Economics and Finance
dc.description Director: Filippo Ippolito
dc.description.abstract This paper simulates the value premium anomaly under neoclassical framework of investment adapted from Zhang (2005) calibrated with standard, high and low capital structure specifications and leverage settings. Our model generates (1) the value premium in different magnitude, (2) a non-linear relationship of the Sharpe ratio and capital share. (3) When debt is introduced, the model accounts for a positive HML, however lower with respect to the base-line model.
dc.description.abstract Aquest paper simula l'anomalia del valor de complement sota el marc neoclassic d’inversió adaptat de Zhang (2005) calibrat amb estructura de capital estàndard, alta i baixa i configuracions d’avantatges. El nostre model genera (1) la prima valor en magnitud diferent, (2) una relació no lineal de la ràtio de Sharpe i quota de capital. (3) Quan s'introdueix deute, el model genera un HML positiva, però inferior respecte al model de línia base.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Treball de fi de màster – Curs 2017-2018
dc.subject.other Accions (Borsa)
dc.subject.other Stocks
dc.subject.other Valors
dc.subject.other Inversions
dc.subject.other Finances
dc.subject.other Estalvi i inversió
dc.subject.other Saving and investment
dc.title The value premium, capital share and debt
dc.type info:eu-repo/semantics/masterThesis
dc.rights.accessRights info:eu-repo/semantics/openAccess

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