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Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
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- Altman's Z-score (1)
- Bankruptcy (1)
- Bond rating changes (1)
- Book-to-market equity (1)
- Capital budgeting (1)
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- Discounted payback period (1)
- Financial risk (1)
- Firm-level value effect (1)
- IRR (1)
- Implied binomial tree (1)
- Implied ending risk-neutral probability (1)
- Industry affiliation (1)
- Industry-level value effect (1)
- Internal rate of return (1)
- NPV (1)
- Net present value (1)
- Option pricing technique (1)
- Payback period (1)
- Ratio analysis (1)
- Stock returns (1)
- The value effect (1)
Articles 1 - 4 of 4
Full-Text Articles in Finance and Financial Management
Implied Binomial Trees In Excel Without Vba, Tom Arnold, Timothy Falcon Crack, Adam Schwartz
Implied Binomial Trees In Excel Without Vba, Tom Arnold, Timothy Falcon Crack, Adam Schwartz
Finance Faculty Publications
We implement a Rubinstein-type (1994) implied binomial tree using an Excel spreadsheet, but without using VBA (Visual Basic Application). We demonstrate both the optimization needed to generate implied ending risk-neutral probabilities from a set of actual option prices and the backwards recursion needed to solve for the entire implied tree. By using only standard Excel spreadsheet functions, and not resorting to VBA, this complicated option pricing technique is now immediately transparent to academics, students, and practitioners alike. The intuition gained from our simple spreadsheet can be applied directly to the estimation of more complicated implied trees using more advanced software. …
The Relationship Between The Value Effect And Industry Affiliation, John C. Banko, C. Mitchell Conover, Gerald R. Jensen
The Relationship Between The Value Effect And Industry Affiliation, John C. Banko, C. Mitchell Conover, Gerald R. Jensen
Finance Faculty Publications
We examine industry affiliation and the relationship between stock returns and book‐to‐market equity (the value effect). The robustness of the value effect is supported as a significant value premium is shown to exist in 15 of 21 industries. Both industry and firm‐level value effects are identified; however, the firm‐level effect is the more prominent of the two. Further, the value effect is shown to be strongest in value industries and weakest in growth industries. Finally, we show evidence consistent with the claim that the value premium is due to investors requiring higher returns from firms in distressed conditions.
Applying Altman's Z-Score In The Classroom, Tom Arnold, John H. Earl Jr.
Applying Altman's Z-Score In The Classroom, Tom Arnold, John H. Earl Jr.
Finance Faculty Publications
Altman's Z-score is introduced in an Excel framework to produce a quick calculation of the Z-score with actual financial data available through the Internet. The lesson plan developed is easily introduced with topics covering ratio analysis, financial risk, bond rating changes, and bankruptcy. Given the wide use of the Z-score in practice to evaluate credit risk (or bankruptcy risk), the lesson plan produces a skill set that is very marketable.
Adding Depth To The Discussion Of Capital Budgeting Techniques, Tom Arnold, Terry D. Nixon
Adding Depth To The Discussion Of Capital Budgeting Techniques, Tom Arnold, Terry D. Nixon
Finance Faculty Publications
The subject of capital budgeting generally encompasses a significant percentage of any beginning finance course with net present value (NPV) often receiving the most attention. Even after this substantial time allotment, critical assumptions and comparisons of the different techniques (such as payback period, discounted payback period, NPV and IRR) are frequently glossed over due to time constraints. Consequently, the goal of this paper is to present these non-NPV techniques in a manner that allows the beginning finance student to expeditiously see the intuition, inherent assumptions, and any connection with the more popular NPV calculation. A small portion of this paper …