DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL

Detalhes bibliográficos
Autor(a) principal: Mello-e-Souza, Carlos A. De
Data de Publicação: 2015
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Universo Contábil
Texto Completo: https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/4778
Resumo: A model that recognizes the possibility of total shareholder loss in the aftermath of bankruptcy reveals simultaneously the stock price effects of diversification and of the option to abandon assets to creditors. In essence the model integrates security pricing behavior predicted by the CAPM and by the OPM in a single formula. Results have implications for the valuation of equity and debt securities of firms in distress and of options when underlying cash flows are correlated with the market. The analysis suggests why models that consider only diversification or the option-to-abandon sometimes fail to track the behavior of actual returns.
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spelling DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODELAsset PricingBankruptcyLimited LiabilityOPMOption PricingSystematic Risk.A model that recognizes the possibility of total shareholder loss in the aftermath of bankruptcy reveals simultaneously the stock price effects of diversification and of the option to abandon assets to creditors. In essence the model integrates security pricing behavior predicted by the CAPM and by the OPM in a single formula. Results have implications for the valuation of equity and debt securities of firms in distress and of options when underlying cash flows are correlated with the market. The analysis suggests why models that consider only diversification or the option-to-abandon sometimes fail to track the behavior of actual returns. Universidade Regional de Blumenau2015-03-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/477810.4270/ruc.20151105-135Revista Universo Contábil; v. 11 n. 1 (2015); 105-1351809-33371809-3337reponame:Revista Universo Contábilinstname:Universidade Regional de Blumenau (FURB)instacron:FURBenghttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/4778/2955Copyright (c) 2015 Revista Universo Contábilinfo:eu-repo/semantics/openAccessMello-e-Souza, Carlos A. De2022-07-21T03:25:07Zoai:ojs.bu.furb.br:article/4778Revistahttps://proxy.furb.br/ojs/index.php/universocontabil/PUBhttps://proxy.furb.br/ojs/index.php/universocontabil/oai||universocontabil@furb.br1809-33371809-3337opendoar:2022-07-21T03:25:07Revista Universo Contábil - Universidade Regional de Blumenau (FURB)false
dc.title.none.fl_str_mv DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
title DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
spellingShingle DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
Mello-e-Souza, Carlos A. De
Asset Pricing
Bankruptcy
Limited Liability
OPM
Option Pricing
Systematic Risk.
title_short DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
title_full DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
title_fullStr DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
title_full_unstemmed DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
title_sort DIVERSIFICATION WITH THE OPTION-TO-ABANDON: AN INTEGRATED VALUATION MODEL
author Mello-e-Souza, Carlos A. De
author_facet Mello-e-Souza, Carlos A. De
author_role author
dc.contributor.author.fl_str_mv Mello-e-Souza, Carlos A. De
dc.subject.por.fl_str_mv Asset Pricing
Bankruptcy
Limited Liability
OPM
Option Pricing
Systematic Risk.
topic Asset Pricing
Bankruptcy
Limited Liability
OPM
Option Pricing
Systematic Risk.
description A model that recognizes the possibility of total shareholder loss in the aftermath of bankruptcy reveals simultaneously the stock price effects of diversification and of the option to abandon assets to creditors. In essence the model integrates security pricing behavior predicted by the CAPM and by the OPM in a single formula. Results have implications for the valuation of equity and debt securities of firms in distress and of options when underlying cash flows are correlated with the market. The analysis suggests why models that consider only diversification or the option-to-abandon sometimes fail to track the behavior of actual returns.
publishDate 2015
dc.date.none.fl_str_mv 2015-03-31
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/4778
10.4270/ruc.20151105-135
url https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/4778
identifier_str_mv 10.4270/ruc.20151105-135
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/4778/2955
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista Universo Contábil
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista Universo Contábil
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Regional de Blumenau
publisher.none.fl_str_mv Universidade Regional de Blumenau
dc.source.none.fl_str_mv Revista Universo Contábil; v. 11 n. 1 (2015); 105-135
1809-3337
1809-3337
reponame:Revista Universo Contábil
instname:Universidade Regional de Blumenau (FURB)
instacron:FURB
instname_str Universidade Regional de Blumenau (FURB)
instacron_str FURB
institution FURB
reponame_str Revista Universo Contábil
collection Revista Universo Contábil
repository.name.fl_str_mv Revista Universo Contábil - Universidade Regional de Blumenau (FURB)
repository.mail.fl_str_mv ||universocontabil@furb.br
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