Concession contracts in highways often include some kind of clauses （for example, a minimum traffic guarantee） that allow for better management of the business risks. The value of these clauses may be important and ...Concession contracts in highways often include some kind of clauses （for example, a minimum traffic guarantee） that allow for better management of the business risks. The value of these clauses may be important and should be added to the total value of the concession. However, in these cases, traditional valuation techniques, like the NPV （net present value） of the project, are insufficient. An alternative methodology for the valuation of highway concession is one based on the real options approach. This methodology is generally built on the assumption of the evolution of traffic volume as a GBM （geometric Brownian motion）, which is the hypothesis analyzed in this paper. First, a description of the methodology used for the analysis of the existence of unit roots （i.e., the hypothesis of non-stationarity） is provided. The Dickey-Fuller approach has been used, which is the most common test for this kind of analysis. Then this methodology is applied to perform a statistical analysis of traffic series in Spanish toll highways. For this purpose, data on the AADT （annual average daily traffic） on a set of highways have been used. The period of analysis is around thirty years in most cases. The main outcome of the research is that the hypothesis that traffic volume follows a GBM process in Spanish toll highways cannot be rejected. This result is robust, and therefore it can be used as a starting point for the application of the real options theory to assess toll highway concessions.展开更多
The purpose of this study is to analyze the valuation effects of cross-listing. The study has conducted a univariate analysis of the Tobin＇s Q and the market-to-book ratio for the period before and after the cross-li...The purpose of this study is to analyze the valuation effects of cross-listing. The study has conducted a univariate analysis of the Tobin＇s Q and the market-to-book ratio for the period before and after the cross-listing by using paired tests. Non-cross-listed firms are then included in multivariate regressions by using pooled Time Series Cross Section （TSCS） and Panel Corrected Standard Error （PCSE） regressions for a period of 13 years to find out if there is a difference in the valuations between cross-listed firms and non-cross-listed firms. The study＇s results indicate that the Tobin＇s Q of cross-listed-firms increases two years prior to cross-listing and that it continues to increase two years after cross-listing. The market-to-book ratios also show an increase two years prior to cross-listing and up to one year after cross-listing, then decrease in the second year after cross-listing. When non-cross-listed firms are included in the analysis, results indicate that cross-listed firms are valued higher than non-cross-listed firms. When data are portioned for positive earnings per share （EPS） and dividends, results indicate that valuation is the highest when EPS is positive. Since segmentation theories cannot be ruled out, the study＇s findings are more in support of the growth opportunity hypothesis.展开更多
This paper investigates the empirical validity of the Weak Form Efficient Market Hypothesis for American, European and Asian stock markets. Random Walk Hypothesis is used to prove weak form efficiency in American, Eur...This paper investigates the empirical validity of the Weak Form Efficient Market Hypothesis for American, European and Asian stock markets. Random Walk Hypothesis is used to prove weak form efficiency in American, European and Asian stock indices. ADF and PP Unit Root Tests have been used to test unit root in time series of daily data of American, European and Asian stock indices. Results show that sample of stock markets are weak-form efficient in terms of the Random Walk Hypothesis.展开更多
文摘Concession contracts in highways often include some kind of clauses （for example, a minimum traffic guarantee） that allow for better management of the business risks. The value of these clauses may be important and should be added to the total value of the concession. However, in these cases, traditional valuation techniques, like the NPV （net present value） of the project, are insufficient. An alternative methodology for the valuation of highway concession is one based on the real options approach. This methodology is generally built on the assumption of the evolution of traffic volume as a GBM （geometric Brownian motion）, which is the hypothesis analyzed in this paper. First, a description of the methodology used for the analysis of the existence of unit roots （i.e., the hypothesis of non-stationarity） is provided. The Dickey-Fuller approach has been used, which is the most common test for this kind of analysis. Then this methodology is applied to perform a statistical analysis of traffic series in Spanish toll highways. For this purpose, data on the AADT （annual average daily traffic） on a set of highways have been used. The period of analysis is around thirty years in most cases. The main outcome of the research is that the hypothesis that traffic volume follows a GBM process in Spanish toll highways cannot be rejected. This result is robust, and therefore it can be used as a starting point for the application of the real options theory to assess toll highway concessions.
文摘The purpose of this study is to analyze the valuation effects of cross-listing. The study has conducted a univariate analysis of the Tobin＇s Q and the market-to-book ratio for the period before and after the cross-listing by using paired tests. Non-cross-listed firms are then included in multivariate regressions by using pooled Time Series Cross Section （TSCS） and Panel Corrected Standard Error （PCSE） regressions for a period of 13 years to find out if there is a difference in the valuations between cross-listed firms and non-cross-listed firms. The study＇s results indicate that the Tobin＇s Q of cross-listed-firms increases two years prior to cross-listing and that it continues to increase two years after cross-listing. The market-to-book ratios also show an increase two years prior to cross-listing and up to one year after cross-listing, then decrease in the second year after cross-listing. When non-cross-listed firms are included in the analysis, results indicate that cross-listed firms are valued higher than non-cross-listed firms. When data are portioned for positive earnings per share （EPS） and dividends, results indicate that valuation is the highest when EPS is positive. Since segmentation theories cannot be ruled out, the study＇s findings are more in support of the growth opportunity hypothesis.
文摘This paper investigates the empirical validity of the Weak Form Efficient Market Hypothesis for American, European and Asian stock markets. Random Walk Hypothesis is used to prove weak form efficiency in American, European and Asian stock indices. ADF and PP Unit Root Tests have been used to test unit root in time series of daily data of American, European and Asian stock indices. Results show that sample of stock markets are weak-form efficient in terms of the Random Walk Hypothesis.
