The value premium, capital share and debt
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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.description Treball fi de màster de: Master's Degree in Economics and Financeca
- 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.ca
- 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.ca
- dc.format.mimetype application/pdf*
- dc.identifier.uri http://hdl.handle.net/10230/35863
- dc.language.iso engca
- dc.rights Atribución-NoComercial-SinDerivadas 3.0 España*
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/*
- dc.subject.other Treball de fi de màster – Curs 2017-2018ca
- dc.subject.other Accions (Borsa)ca
- dc.subject.other Stocksen
- dc.subject.other Valorsca
- dc.subject.other Inversionsca
- dc.subject.other Financesca
- dc.subject.other Estalvi i inversióca
- dc.subject.other Saving and investmenten
- dc.title The value premium, capital share and debten
- dc.type info:eu-repo/semantics/masterThesisca