Topic
Embedded value
About: Embedded value is a research topic. Over the lifetime, 343 publications have been published within this topic receiving 8853 citations.
Papers published on a yearly basis
Papers
TL;DR: In this paper, the use of the CAPM for investment decisions and evaluations is discussed, and four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium net present value, the equilibria Net Future Value and the equilibrium Net Future value.
Abstract: This paper deals with the use of the CAPM for investment decisions and evaluations. Four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future Value, the equilibrium Net Future Value. It is shown that all of them may be used for accept-reject decisions, but only the equilibrium Net Present Value and the disequilibrium Net Future Value may be used for valuation, given that they enjoy the additivity property. The two nonadditive indexes cannot be deducted from the CAPM assumptions if the decision problem “invest/no invest” is reframed as “invest in Z/invest in Y”. Despite their additivity, the equilibrium Net Present Value and the disequilibrium Net Future Value are unreliable for both valuation and decision, because they do not signal arbitrage opportunities whenever there is some state of nature for which they are decreasing functions with respect to the end-of-period cash flow. In this case, the equilibrium value of a project is not the price it would have if it were traded in the security market. This result is the capital-budgeting counterpart of Dybvig and Ingersoll’s (1982) result.
11 citations
TL;DR: In this paper, the authors link strategic value analysis and scenario thinking using a 5-step approach to give structure to the external environmental factors which can impact on a business's value and value estimates to the consequences of scenarios.
10 citations
TL;DR: The theory underlying the economic value of library benefits is outlined, and research (mainly in Australia and New Zealand) is reviewed in this article, where four methods of assessing benefits in economic terms with particular attention to a consensus "market value" model.
Abstract: The theory underlying the economic value of library benefits is outlined, and research (mainly in Australia and New Zealand) is reviewed. A UK research project examined four methods of assessing benefits in economic terms with particular attention to a consensus “market value” model. In developing the “market value” model one key variable is the relationship of book reads to book prices. A prototype value added schedule gives estimates of value for different library services to compare estimated total benefits with total costs. For UK public libraries, calculations show that the economic value of library benefits exceeds costs incurred, with social and intangible benefits in addition. New performance indicators are suggested by the research. It is shown how the methodology can be extended from public libraries to a parliamentary library and also to the economic and social costs of crime.
10 citations
TL;DR: In this article, the authors compare different performance metrics used for value-based management in life and non-life insurance business and show that all approaches can be unified under a single consistent framework, and that all present residual cash flow concepts that can be linked under residual income valuation theory.
Abstract: This paper compares different performance metrics used for value-based management in life and non-life insurance business. The goal is to find a consistent basis for performance measurement at the insurance group level. This is important since management techniques used in non-life insurance, such as economic value added and risk-adjusted return on capital, are at first sight very different from those used in life insurance, that is, an analysis of market-consistent embedded value earnings, thus making management difficult at the group level. This paper aims to compare and contrast these concepts and to show that all approaches can be unified under a single consistent framework, and that all present residual cash flow concepts that can be linked under the residual income valuation theory.
10 citations
TL;DR: In this article, the authors derive a simple formula for the incremental value of insurance and show how it depends on individual characteristics and the features of available loans, and derive formulas for aggregate welfare that can be taken to data from typical studies of health insurance.
Abstract: We analyze the financial value of insurance when individuals have access to credit markets. Loans allow consumers to smooth shocks across time, decreasing the value of the smoothing (across states of the world) provided by insurance. We derive a simple formula for the incremental value of insurance and show how it depends on individual characteristics and the features of available loans. Our central contribution is to derive formulas for aggregate welfare that can be taken to data from typical studies of health insurance. We provide both exact formulas that can be taken to data on the distribution of medical expenditures and income and an approximate formula for aggregate data on medical expenditure. Using the Medical Expenditure Panel Survey we illustrate how the incremental value of insurance is decreasing with access to loans. For consumers in the sickest decile, access to a five-year loan decreases the incremental value of insurance by $338 (6%) on average and $3,433 (36%) for the poorest consumers. We also find that our approximate formula is a reasonable proxy for the exact one in our data.
10 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 2 |
| 2019 | 2 |
| 2018 | 3 |
| 2017 | 14 |
| 2016 | 20 |