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Do government-linked companies underperform? [An article from: Journal of Banking and Finance]
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This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Our comprehensive study of 30 Singapore government-linked companies (GLCs) covering the period 1964 to1998 shows that share issue privatization has some positive impacts on their performance. However, there was no evidence that the GLCs were less profitable than a selected group of non-GLCs that match by size and industry. Taking a buy-and-hold strategy, we found that GLC stocks provide statistically equivalent returns relative to market or other control sample returns over various investment horizons of up to four years. Given that GLCs also perform as well as averages for the market and industry up to five years before their listing, we argue that Singapore's government-owned enterprises are comparable to privately run enterprises in efficiency.

The term structure of real interest rates: theory and evidence from UK index-linked bonds [An article from: Journal of Monetary Economics]
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This digital document is a journal article from Journal of Monetary Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (Econometrica 46 (1978) 1429) and in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann (Econometrica 68 (2000) 775; Rev. Financial Studies 14 (2001) 1117). Both models are solved numerically, calibrated to UK aggregate and household data, and the predictions are compared to data on real interest rates constructed from the UK index-linked data. While both models produce time-varying risk or term premia, only the model with limited risk-sharing can generate enough variation in the term premia to account for the rejections of expectations hypothesis.

Endogenous model of surrender conditions in equity-linked life insurance [An article from: Insurance Mathematics and Economics]
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This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We propose a model for pricing a unit-linked life insurance policy embedding a surrender option. We consider both single and annual premium contracts. First we analyse a quite general contract, for which we obtain a backward recursive valuation formula based on the Cox et al. [Cox, J.C., Ross, S.A., Rubinstein, M., 1979. Option pricing: a simplified approach. J. Finan. Econ. 7, 229-263] binomial model. Then we concentrate upon a particular case, that is the famous model with exogenous minimum guarantees. In this case we extend our previous analysis in order to take into account the possibility that the guarantees at death or maturity and the surrender values are endogenously determined, and provide necessary and sufficient conditions for the premiums to be well defined.

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