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In 2002, Baker and Wurgler posited that capital structure is the cumulative outcome of past attempts to time the equity market. Due to this theory´s recent introduction it has not been subjected to the same comprehensive testing as other financing theories. Most importantly, this theory lacks extensive industry and country specific testing that is required to truly understand its explanatory power. Thus, the purpose of this thesis is to evaluate the applicability of the market timing theory on a country and industry specific level. Given these constraints, the study measured the market timing effects on Swedish real estate firms by performing a panel data regression with yearly financial data from 1991 through 2021. In addition, due to the time-varying nature of capital structure, the data was further divided into three sub periods. First, the study controls for short-term effects by regressing market-to-book with three components of leverage. The results suggest a positive relationship between equity issues and market-to-book values, indicating support for short-term market timing effects. Next, the study implements the external financed weighted-average market-to-book variable to measure if the market timing effects are indeed persistent over the long run. Opposing the market timing theory, the results do not find any support for long-term effects. Instead, the findings imply that firms likely rebalance their capital structure shortly after equity market timing attempts. / År 2002 påstod Baker och Wurgler att ett företags kapitalstruktur är det kumulativa resultatet av historiska försök att tajma aktiemarknaden. Då denna teori är relativt ny så har den inte utsatts för samma rigorösa prövning som äldre finansieringsteorier. Med andra ord så saknar teorin i synnerhet omfattande bransch-och-nationsspecifika tester. Syftet med denna avhandling är därmed att undersöka Market-timing-teorins applicerbarhet på svenska fastighetsföretag genom att utföra en paneldataregression med årliga finansiella data mellan 1991 och 2021. På grund av kapitalstrukturens tidsvarierande karaktär delades studiens data upp i tre tidsintervall. Först kontrollerade studien för kortsiktiga effekter genom regression av market-to-book med tre komponenter av skuldsättningsgraden. Resultaten tyder på ett positivt samband mellan aktieemissioner och market-to-book, vilket indikerar stöd för kortsiktiga effekter av market-timing. Därefter implementerar studien External Finance Weighted-Average Market-to-book variabeln för att mäta om market-timing-effekterna verkligen är ihållande på lång sikt. I motsats till market-timing-teorin finner resultaten inte något stöd för långsiktiga effekter. I stället antyder resultaten att företag sannolikt balanserar om sin kapitalstruktur kort efter försök av market-timing.

This study examines the divide between finance theory and practice by analysing the significance of the determinants of capital structure choice among 123 listed firms on the JSE, to determine whether these firms follow the trade-off theory or the pecking-order theory. Data obtained from McGregor’s Bureau of Financial Analysis database was analysed using standard multiple regressions, stepwise regressions and ANOVA techniques to test for financing behaviour. The results indicated that the trade-off model has both cross-sectional and time-series explanatory power for explaining the financing behaviour, while tests on the pecking-order model were weak. The results further revealed a significant positive correlation between debt financing and financial distress, and a significant negative correlation between debt financing and the collateral value of assets during the period under study (1995-2005). These findings suggest a divergence between finance theory and practice for JSE listed firms and manifest conflicting ideologies between finance practices of developed and developing economies. / Business management / M. Com. (Business Management )

La tesi contiene due saggi sull'economia delle politiche pubbliche a sostegno dell'accesso al credito per le piccole e medie imprese. Il primo valuta l'impatto netto sulla disponibilità e il costo del credito e sulle performanec delle imprese del più grande schema di garanzie pubbliche al credito in Italia. Il secondo indaga empiricamente gli effetti distorsivi della politica e i costi che ne derivano, con particolare focus sull'eterogeneità a livello di banca e di impresa. / The dissertation deals with the role of public policy in support of firms' access to credit. It is composed of two essays. The first is an evaluation of the net effect of an Italian public credit guarantee scheme in support of PMIs. The impact evaluation assesses financial outputs such as credit availability and conditions, as well as economic outputs such as firms' performance. The second essay empirically investigates how the presence of asymmetry of information can affect the output of these policies at the bank and firm level.

This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 to 25% per asset. This does not hold, however, when there are no asset allocation constraints.

The first chapter investigates how corporate governance influences firms’ capital structure behavior. Based on the premise that costs associated with deviations from the target capital structure are positively correlated to the extent of deviation, we hypothesize that the initial deviation from the target will be shorter for a firm with good corporate governance than for a firm with poor corporate governance. We also hypothesize that the former group will employ a higher speed of adjustment towards target than the latter group due primarily to the following reasons. First, a firm with well-placed governance system will adjust at a faster rate because longer it stays deviated, the higher the loss of value it faces. Second, firms with better governance structures enjoy lower adjustment costs. We develop three sets of measures for the quality of corporate governance and analyze how they influence a firm’s rebalancing behavior in presence of relevant control variables. Our results are consistent with the hypotheses. The second chapter explores investors’ reactions to new information on REITs and non-REITs option markets. The real estate market can be fairly volatile; what remains unclear is whether price changes are excessively volatile relative to fundamentals. This study attempts to examine the latter by using the methodology based on Stein (1989), which utilizes option data. The advantage of using option data rather than stock data to assess the reactions to information is that option valuation is not affected by changes in risk premium. Under volatility mean reversion, the changes in implied volatilities of long-term options should be less than those of short-term options. If not, an excessive reaction is suggested. Specifically, the study compares the changes in implied volatilities of options on REITs and non-REITs. Because real estate transactions typically involve a great degree of leverage, reactions can be greater for REITs than for non-REITs; on the other hand, there are several reasons that REITs are subject to potentially a lower degree of excessive reactions. Empirical results indicate that the reactions to information are stronger in non-REITs than in REITs. Moreover, we find that down markets are associated with stronger reactions, which we argue might be due to a leverage effect.

This dissertation consists of two essays. First essay investigates Fortune 500 companies that implemented Six Sigma. Since the 1980s, industrial organizations have adopted practices such as Six Sigma to maintain and enhance competitiveness. The purpose of this study is to look at the long run stock price and the operating performance of Fortune 500 companies that were identified to have implemented Six Sigma compared to the overall market performance as well as the performance of industry and size matched firms. Even though our sample firms improved several variables after implementing Six Sigma, their operating performances were not quite close to the performances of the matching firms. After implementing Six Sigma, compared to the industry and size matched firms, the only variable that improved out of 14 variables we looked at, is the growth in staff levels. The findings may contribute to understanding the reasons that underlie the so-called jobless recovery. Second essay investigates the real estate price indices in 19 emerging markets. The main objectives of the central banks are not necessarily in line with the goals for asset prices, particularly house prices; however house price changes can have important implications for economic activity and inflation. The consequences of excess changes in house prices also should be watched carefully by central banks and other government agencies that regulate financial institutions for the purpose of financial stability. This essay searches for a link between house prices, broad money, private credit and the macro-economy among 19 emerging markets. We are also trying to explain which variables predict the emerging markets real estate index returns. Our results show that money market rate, growth in GDP and CPI as well as log of private credit and money supply have significant predictive power on growth in real estate price indices a quarter ahead. We also show that there is multidirectional causality among all of the variables. A unique data is being used for the emerging markets real estate price indexes in this study. The data is provided by aDubaibased private company which offers emerging markets real estate information to its customers.

This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads generally exhibit significant time-varying correlations, suggesting that spreads are commonly affected by global financial factors. We construct 19 country-specific commodity price indexes to instrument for country terms of trade, obtaining significant results. Our commodity price indexes account for significant variation in CDS spreads, controlling for global financial factors. In addition, sovereign spreads are found to be related to U.S. stock market returns and the VIX volatility risk premium global factors. Notwithstanding, our results suggest that terms of trade and commodity prices have a statistically and economically significant effect on the sovereign credit risk of emerging economies. Our results apply broadly to investors, financial institutions and policy makers motivated to utilize profitable factors in global portfolios. The second essay is titled, Differential Stock Market Returns and Corporate Credit Risk of Listed Firms. This essay explores the information transfer effect of shocks to sovereign credit risk as captured in the CDS and stock market returns of cross-listed and local stock exchange listed firms. Based on changes in sovereign credit ratings and outlooks, we find that widening CDS spreads of firms imply that negative credit events dominate, whereas tightening spreads indicate positive events. Grouping firms into companies with cross-listings and those without, we compare the spillover effects and find strong evidence of contagion across equity and CDS markets in both company groupings. Our findings suggest that the sensitivity of corporate CDS prices to sovereign credit events is significantly larger for non-cross-listed firms. Possible reasons for this finding could in fact be due to cross-listed firms’ better access to external capital and less degree of asymmetric information, relative to non-cross-listed peers with lower level of investor recognition. Our results provide new evidence relevant to investors and financial institutions in determining sovereign credit risk germane to corporate financial risk, for the construction of debt and equity portfolios, and hedging considerations in today’s dynamic environment.

Ampliando e aprofundando o conhecimento a respeito do fenômeno da Restrição Financeira em empresas brasileiras, este trabalho apresenta o desenvolvimento e aplicação de metodologia voltada a obter um medidor confiável da intensidade de restrição financeira de uma empresa, a partir de suas próprias demonstrações financeiras. A amostra utilizada abrangeu 273 empresas, de 105 diferentes setores de atuação (classificação NAICS), por um período de 23 anos (1995-2017). Depois de caracterizar a evolução do pensamento acadêmico sobre o tema nos últimos 50 anos, foi especificado e aplicado um composto metodológico estruturado em duas partes: I) Compondo a Questão Metodológica A, e visando detectar a superioridade de um de três critérios de agrupamento testados para caracterizar empresas restritas e irrestritas (tamanho, dividendos ou variável especialmente criada a partir das demonstrações financeiras), foi utilizada uma bateria de testes composta de cinco modelos econométricos básicos e algumas variantes; II) A partir do critério identificado como superior (variável especialmente criada), e compondo a Questão Metodológica B, seguiu-se a especificação e aplicação de metodologia voltada a possibilitar que esse critério pudesse produzir o efeito máximo que lhe é atribuído. Os resultados obtidos (indicando elevada significância estatística e alta magnitude econômica dos achados com o uso da citada variável de segregação) podem ser considerados um primeiro e importante passo na compreensão do fenômeno da restrição financeira atuando nas empresas brasileiras, sob uma ótica multidimensional. Com o uso da referida variável de segregação, ficou comprovada a relação negativa entre captação de recursos externos e rentabilidade (pecking order theory), mas apenas para as empresas irrestritas. As restritas, ao contrário, tendem a não abrir mão de captar recursos externos, mesmo com geração positiva de caixa. Também, procuram acumular, nos itens do ativo circulante, os excedentes resultantes de lucros, com isso sinalizando a preferência por construir folga financeira, em vez de destinar imediatamente tais recursos para investimentos. Estes últimos, por sua vez, ao serem concretizados, tendem a ser utilizados, ainda no caso das restritas, como colaterais na captação de mais recursos externos, configurando um expressivo multiplicador de crédito. Como já mencionado anteriormente, esses achados têm expressiva significância estatística e alta relevância econômica. Várias direções de desenvolvimento futuro do tema foram identificadas e explicitadas. / Expanding and deepening the knowledge about the phenomenon of Financial Constraint in Brazilian companies, this study presents the development and application of a methodology aimed at obtaining a reliable measure of the intensity of a company financial constraint, from its financial statements. The sample used included 273 companies from 105 different sectors of activity (NAICS classification) for 23 years (1995-2017). After characterizing the evolution of academic thinking on the topic over the last 50 years, a methodological compound structured in two parts was specified and applied. The first part (Methodological Question A) was aimed to detect the superiority of one of three grouping criteria tested for to characterize constrained and unconstrained companies (size, dividends or variable specially created from its financial statements). A test battery of five basic econometric models and some variants were used for that purpose. Once the best criterion was identified (specially created variable), followed the Methodological Question B, regarding the specification and application of a methodology aimed at enabling this criterion to produce the maximum possible effect. Results obtained (indicating high statistical significance and high economic magnitude of the findings with the use of this special segregation variable) can be considered as a first and significant step in understanding the phenomenon of financial constraint operating in Brazilian companies, from a multidimensional perspective. With the use of the segregation variable mentioned above, the negative relationship between external financing and cash generation (pecking order theory) was found, but only for unconstrained companies. Constrained ones, on the other hand, tend not to give up attracting external resources, even with positive cash generation. They also seek to accumulate surpluses resulting from profits in current asset items, thereby signaling a preference for financial slack, rather than immediately allocating such resources to investments. The latter, in turn, tend to be used, in the case of constrained companies, as collateral in the collection of more external resources, forming a significant credit multiplier. As previously mentioned, these findings have high statistical significance and high economic relevance. Also, the study identified several directions for the future development of the theme, as well as made them explicit.