Archivio della ricerca dell'Università di Modena e Reggio Emiliahttps://iris.unimore.itIl sistema di repository digitale IRIS acquisisce, archivia, indicizza, conserva e rende accessibili prodotti digitali della ricerca.Tue, 20 Aug 2019 14:32:52 GMT2019-08-20T14:32:52Z10991Arithmetic returns for investment performance measurementhttp://hdl.handle.net/11380/1004117Titolo: Arithmetic returns for investment performance measurement
Abstract: This paper introduces new money-weighted metrics for investment performance analysis, based on arithmetic means of holding period rates weighted by the investment’s market values. This approach generates rates of return which measure a fund’s or portfolio’s performance and a fund manager’s performance. It also enables to show that the Internal Rate of Return (IRR) is a weighted mean of holding period rates associated with interim values which differ from market values, so that value additivity is violated. The manager’s Arithmetic Internal Rate of Return (AIRR) is shown to be the true period equivalent of the cumulative Time Weighted Rate of Return (TWRR), whereas the period TWRR (a geometric return) provides a different ranking. The method is easily generalized for coping with varying benchmark rates. We also cope with the practical problem of estimating interim values whenever they are not available.
Wed, 01 Jan 2014 00:00:00 GMThttp://hdl.handle.net/11380/10041172014-01-01T00:00:00ZMathematical analysis of average rates of return and investment decisions: The missing linkhttp://hdl.handle.net/11380/1013118Titolo: Mathematical analysis of average rates of return and investment decisions: The missing link
Wed, 01 Jan 2014 00:00:00 GMThttp://hdl.handle.net/11380/10131182014-01-01T00:00:00ZPotential dividends versus actual cash flows in firm valuationhttp://hdl.handle.net/11380/614675Titolo: Potential dividends versus actual cash flows in firm valuation
Thu, 01 Jan 2009 00:00:00 GMThttp://hdl.handle.net/11380/6146752009-01-01T00:00:00ZDecomposition of Net Final Values: Systemic Value Added and Residual Incomehttp://hdl.handle.net/11380/454800Titolo: Decomposition of Net Final Values: Systemic Value Added and Residual Income
Wed, 01 Jan 2003 00:00:00 GMThttp://hdl.handle.net/11380/4548002003-01-01T00:00:00ZValore aggiunto sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodalehttp://hdl.handle.net/11380/454807Titolo: Valore aggiunto sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale
Mon, 01 Jan 2001 00:00:00 GMThttp://hdl.handle.net/11380/4548072001-01-01T00:00:00ZInvestment decisions, net present value and bounded rationalityhttp://hdl.handle.net/11380/621255Titolo: Investment decisions, net present value and bounded rationality
Thu, 01 Jan 2009 00:00:00 GMThttp://hdl.handle.net/11380/6212552009-01-01T00:00:00ZAccounting and Economic Measures: An integrated theory of capital budgetinghttp://hdl.handle.net/11380/632898Titolo: Accounting and Economic Measures: An integrated theory of capital budgeting
Abstract: Accounting measures are traditionally considered not significant from an economic point of view. In particular, accounting rates of return are often regarded economically meaningless or, at the very best, poor surrogates for the IRR, which is held to be “the” economic yield. Likewise, residual income does not enjoy, in general, periodic consistency with the project NPV, so residual income maximization is not equivalent to NPV maximization. This paper shows that the opposition accounting/economic is artificial and, taking a capital budgeting perspective, illustrates the strong (formal and conceptual) connections existing between economic measures and accounting measures. In particular, the average accounting rate of return is the correct economic yield of a project; the traditional IRR is (whenever it exists) only a particular case of it. The average accounting rate generates a decision rule which is logically equivalent to the NPV rule for both accept/reject decisions and project ranking. The paper also shows that maximization of the simple arithmetic mean of residual incomes is equivalent to NPV maximization, owing to its periodic consistency in the sense of Egginton (1995). Such an index may then be used for incentive compensation as well. Moreover, asset pricing may be interpreted in accounting terms as the process whereby the market determines the income impact on the assets’ value. As a result, the paper harmonizes the notions of accounting rate of return, internal rate of return, residual income, net present value: they are just different ways of cognizing the same notion. This conciliation stems in a rather natural way from three sources: (i) a fundamental accounting identity, which links income and cash flow in a comprehensive way, (ii) the definition of Chisini mean, (iii) a notion of residual income which takes account of the “real” (comprehensive) cost of capital.
Thu, 01 Jan 2009 00:00:00 GMThttp://hdl.handle.net/11380/6328982009-01-01T00:00:00ZRelevance or irrelevance of retention for dividend policy irrelevance.http://hdl.handle.net/11380/632938Titolo: Relevance or irrelevance of retention for dividend policy irrelevance.
Fri, 01 Jan 2010 00:00:00 GMThttp://hdl.handle.net/11380/6329382010-01-01T00:00:00ZPseudo-Naive Approaches to Investment Performance Measurementhttp://hdl.handle.net/11380/1063426Titolo: Pseudo-Naive Approaches to Investment Performance Measurement
Abstract: This paper makes use of Magni's (2013) Average Interest Rate (AIR) in order to fi nd a performance index which does not depend on the valuation rate (i.e., benchmark return). To this end, we distort the AIR by dropping the discount factors in the formula. The resulting modi ed AIR (MAIR) is the ratio of overall (undiscounted) return to overall (undiscounted) capital. While seemingly a na ive metric, we show that it is a genuinely internal metric, capable of capturing an investment's economic profi tability, as long as it is compared with an appropriate
cuto rate which adequately takes account of the opportunity cost of
capital. The not-so na ve MAIR is then extended to several di erent capital
bases; the result is that other well-known (allegedly na ve) metrics, such as cash
multiple, undiscounted pro tability, Modi ed Dietz and Simple Dietz return are
given economic signi cance: each such metric is a (pseudo-na ve) performance
index that correctly expresses the investment's amount of return per unit of a
speci c capital: overall capital, initial investment, total cash out
ow, average
cash out
ow).
Keywords. Finance, investment,
Wed, 01 Jan 2014 00:00:00 GMThttp://hdl.handle.net/11380/10634262014-01-01T00:00:00ZAn alternative approach to firms' evaluation: Expert systems and fuzzy logichttp://hdl.handle.net/11380/306768Titolo: An alternative approach to firms' evaluation: Expert systems and fuzzy logic
Sun, 01 Jan 2006 00:00:00 GMThttp://hdl.handle.net/11380/3067682006-01-01T00:00:00Z