Role of human assets in measuring firm performance and its implication for firm valuation
The purpose of the study is to evaluate the role of human asset in frm performance and its implication for frm valuation. To do so a modifed fve-factor model with human asset designed for capturing the size, value, proftability and investment in average portfolio returns that performs better than both Fama–French (1993) threeand Fama–French (2015) fve-factor model. Study redefnes CMA factors as CvMAv that includes human assets in it. The main problem with the modifed fve-factor model with human asset is the microcap with conservative investment stocks whose returns behave like that low-value unproftable frms.
This paper reviews the contribution of Eugene Fama, Lars Hansen and Robert Shiller to financial asset pricing research. We show how the Nobel prize winners have changed the approach to asset pricing research, as well as the views of academic economists and investors about price predictability and the risk-return relationship.
Overvaluation on financial markets, high price volatility and quite rapid reduction of emerging markets towards an investment behavior field in terms of predictive estimation and forecast of further market changes. Hereby decision-making basis is a personal investment understanding and, due to favorable business climate, could build up the growth of irrational exuberance and speculative bubbles on financial markets.
This study models Market Certainty Index as a measure of asset overpricing and market overvaluation in terms of a speculative bubble concept. The results also provide insights of how to enhance the facility of overpriced assets studies at non-transparent economies or emerging markets.
We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann – Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.