• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文学位 >Equity market risk, credit risk and real investment risk.
【24h】

Equity market risk, credit risk and real investment risk.

机译：股市风险，信贷风险和实际投资风险。

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Chapter one of my Ph.D. thesis focuses on equity investment risk and how it relates to equity market non-participation.; The model produces equity market non-participation in an economy with uninsurable labor income risk and heterogeneous skill levels. Prudence and impatience generate stationary household wealth levels that depend on income. Labor income heterogeneity leads to wealth heterogeneity. A HARA class utility with subsistence consumption requirement generates decreasing RRA with respect to household wealth. In addition low skill households have less human capital and therefore have lower diversification demand for stocks. Low wealth, high RRA and low diversification demand predicts that low skill households do not hold stocks in the face of a moderate ownership cost.; Chapter two of my thesis focuses on credit risk and how it relates to default bond pricing.; We price corporate debt from a structural model of firm default. We assume that the capital market brings about efficient firm default when the continuation value of the firm falls below the value it would have after bankruptcy restructuring. This characterization of default makes the model more tractable and parsimonious than existing structural models. The term structures of yield spreads and durations predicted by our model are consistent with the empirical literature.; Chapter three of my thesis focuses on real investment risk and how it applies to investments in R&D.; We develop a real options model of R&D valuation, which takes into account the uncertainty in the quality of the research output, the time and cost to completion, and the market demand for the output. The model is then applied to study the problem of pharmaceutical under-investment in R&D to treat diseases affecting the developing regions of the world. To address this issue, world organizations and private foundations are willing to sponsor vaccine R&D, but there is no consensus on how to administer the sponsorship effectively. Different research incentive contracts are examined using our valuation model. Their effectiveness is measured. We find that, in general, purchase commitment plans (pull subsidies) are more effective than cost subsidy plans (push subsidies), while extending patent protection is completely ineffective.
机译：我的博士学位第一章本文着重于股票投资风险及其与股票市场不参与的关系。该模型导致劳动力市场风险无法保障且技能水平异质的经济中的股票市场不参与。谨慎和不耐烦会产生取决于收入的固定家庭财富水平。劳动收入异质性导致财富异质性。具有生活消费需求的HARA类公用事业产生的家庭财富方面的RRA降低。此外，低技能家庭的人力资本较少，因此对股票的多样化需求也较低。低财富，高RRA和低多样化需求预示着低技能家庭在面对适中的拥有成本时不会持有股票。本文的第二章重点讨论信用风险及其与违约债券定价的关系。我们根据企业违约的结构模型对公司债务进行定价。我们假设，当企业的持续价值低于破产重组后的价值时，资本市场就会带来有效的企业违约。这种默认特征使模型比现有的结构模型更易于处理和简化。我们的模型预测的收益率利差和期限的期限结构与经验文献一致。本文的第三章重点讨论了实际投资风险及其在研发投资中的应用。我们开发了R＆D估值的实物期权模型，该模型考虑了研究成果质量，完成时间和成本以及成果的市场需求方面的不确定性。然后将该模型用于研究药物在研发方面投资不足的问题，以治疗影响世界发展中地区的疾病。为了解决这个问题，世界组织和私人基金会都愿意赞助疫苗研发，但是在如何有效管理赞助方面尚无共识。使用我们的估值模型检查了不同的研究激励合同。他们的有效性得到了衡量。我们发现，总的来说，购买承诺计划（拉式补贴）比成本补贴计划（推式补贴）更有效，而扩展专利保护则完全无效。

著录项

  • 作者

    Hsu, Jason C.;

  • 作者单位

    University of California, Los Angeles.;

  • 授予单位 University of California, Los Angeles.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2005
  • 页码 185 p.
  • 总页数 185
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号