Sökning: "David Vallin"

Hittade 1 uppsats innehållade orden David Vallin.

  1. 1. Uncovering Market Discrepancies in the Corporate Bond Market using Estimated Asset Volatility Theory and Trading Simulation

    D-uppsats, Göteborgs universitet/Graduate Business School

    Författare :David Vallin; Fredrik Stigerud; [2004]
    Nyckelord :Asset volatility; corporate bonds; structural models; contingent claims analysis; market inefficiency;

    Sammanfattning : In this master thesis we empirically tests Merton’s (1974) structural model for valuing the corporate bonds of Ericsson and ABB. We argue that market inefficiencies are demonstrated by overreactions in asset volatility and Merton’s model is applied to identify these discrepancies. LÄS MER