Valuation of Unlisted Direct Investment Equity, Issues 2009-2242
International Monetary Fund, Nov 1, 2009 - Business & Economics - 72 pages
This paper examines the sizable role of rehypothecation in the shadow banking system. Rehypothecation is the practice that allows collateral posted by, say, a hedge fund to its prime broker to be used again as collateral by that prime broker for its own funding. In the United Kingdom, such use of a customer's assets by a prime broker can be for an unlimited amount of the customer's assets while in the United States rehypothecation is capped. Incorporating estimates for rehypothecation (and the associated re-use of collateral) in the recent crisis indicates that the collapse in non-bank funding to banks was sizable. We show that the shadow banking system was at least 50 percent bigger than documented so far. We also provide estimates from the hedge fund industry for the - churning - factor or re-use of collateral. From a policy angle, supervisors of large banks that report on a global consolidated basis may need to enhance their understanding of the off-balance sheet funding that these banks receive via rehypothecation from other jurisdictions.
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A Equity Valuation Theory
Issues Related Particularly to Valuation of Unlisted Equity
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absolute valuation models accounting data Adjusted R2 applied to unlisted Arithmetic mean assets assumption based on data bilateral asymmetries book value BPM6 paragraph Bureau van Dijk's Calculations based central tendency measures coefficient of determination company-specific control premium correlation data from Bureau dataset Denmark Dijk's ODIN Database direct investment enterprises direct investment equity dummy variable earnings measures EBIT equity valuation estimation techniques factor IFRS IIP compilers illiquidity discount independent variables indicator liquidity variable listed and unlisted macroeconomic statistical market price market value approximations market value estimates marketability discount models on market multi-factor models multicollinearity negative equity negative positions Nordic countries number of observations OFBV P/B models P/B ratios parameter estimates peer group recent transaction price regression approach regression models relative valuation models robust scale effects stock market index Table trading volume unlisted companies unlisted direct investment unlisted equity valuation method valuation multiples valuation of unlisted valuation theory value of equity