Measuring idiosyncratic risks in leveraged buyout transactions.: An article from: Quarterly Journal of Finance and Accounting

This digital document is an article from Quarterly Journal of Finance and Accounting, published by University of Nebraska-Lincoln on September 22, 2008. The length of the article is 9032 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available immediately after purchase. You can view it with any web browser.

From the author: We use a contingent claims analysis model to calculate the idiosyncratic risks in leveraged buyout transactions. A decisive feature of the model is the consideration of amortization. From the model asset value volatility and equity value volatility can be derived via a numerical procedure. For a sample of 40 leveraged buyout transactions we determine the necessary model parameters and calculate the implied idiosyncratic risks. We verify the expected model sensitivities by varying the input parameters. For the first time, we are able to calculate Sharpe ratios for individual leveraged buyouts, thereby fully incorporating the leverage risks.

Citation Details
Title: Measuring idiosyncratic risks in leveraged buyout transactions.
Author: Alexander Peter Groh
Publication:Quarterly Journal of Finance and Accounting (Magazine/Journal)
Date: September 22, 2008
Publisher: University of Nebraska-Lincoln
Volume: 47 Issue: 4 Page: 5(19)

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