Firms that face seasonal demand account for an important fraction of the U.S. economy. However, there is surprisingly little evidence on these firms' financing decisions. Yet, studying these decisions provides a natural setting to shed light on the types of capital (i.e. cash or debt) that firms use to manage short-term financing needs. Using seasonal firms as a setting to examine this issue, I show that seasonal financing needs are met with debt with low exposure to information asymmetry, such as short-term debt and trade credit. I further show that cash reserves, which have high carrying costs and can at time lead to agency problems, are not used for seasonal financing needs. Further, as financial flexibility theory would predict, I document that seasonal firms maintain more conservative financial policies to increase the ability to use debt for short-term financing needs. Specifically, seasonal firms are less levered and have long-term debt with a longer average maturity. Further, seasonal firms adjust toward leverage targets slower during fiscal quarters when debt is used for short-term financing. Overall, my findings indicate that firms minimize costs associated with short-term financing needs by using debt with low issuance costs and the use of this debt impacts the overall capital structure of the firm.

This dissertation attempts in three essays to contribute to the growing body of research on the problems associated with sudden stops of capital inflows, known to have been at the heart of many recent emerging market crises. It does this by developing basic models that can incorporate sudden stops and hopefully make policy relevant recommendations. The first essay develops a simple three date representative agent model of a small open endowment economy without money. It allows sudden stops to occur at date two and asks whether individuals in such a shock-prone world are still better off borrowing than in autarky. Unambiguously, this chapter shows that individuals are better off borrowing than in autarky and provides a tractable core model on which the later chapters build. The second essay then includes a long-term borrowing option as well as country-specific risk premia based on an information asymmetry between domestic borrowers and international lenders. This allows analysis of optimal maturity choices in a meaningful way. The intent is to address questions in the literature concerning whether emerging economies could enhance welfare by imposing short-term capital controls to encourage the use of longer-maturing debt and thus avoid the sudden stop. The results imply that short-term capital controls would generally lower welfare, even when sudden stops are fully anticipated. Finally, the third essay extends the horizon of the model and includes a much wider range of maturities. This allows one to start making sense of maturity bunching (when a country's debt all matures around a given date) which is known to exacerbate sudden-stop related problems. The model shows that maturity bunching can occur endogenously when both risk premia and uncertainty over the duration of the sudden stop are present.

No description available.

Thesis (M.Comm.)-University of KwaZulu-Natal, Pietermaritzburg, 2009. / The Capital Asset Pricing Model (CAPM), despite criticism and debate regarding its validity, remains the most widely employed model to estimate the cost of equity for use in capital budgeting decisions, both in the U.S. and in South Africa. The risk-free rate specified in the model is generally estimated with the use of a government security, but there is some concern as to the appropriateness of this practice in the South African market. An alternative approach was derived by Black (1972), known as the minimum-variance zero-beta portfolio returns; but the suitability of this parameter in the South African market has not yet been examined. The objective of this study therefore is to determine the best method to estimate the risk-free rate for applications of the CAPM in South Africa. A set of theoretical requirements that an asset must closely satisfy to be considered a suitable proxy for the risk-free rate are derived, with the most commonly employed proxies being compared to these criteria to ascertain their appropriateness. The zero-beta portfolio returns are computed, in conjunction with the rate that investors have historically viewed as the minimum required return, denoted by the intercept of the CAPM. Hypothesis tests of the equality of the two estimates of the risk-free rate and the minimum required return are conducted, as well as a comparison of the forecasting accuracy of the model using the different risk-free rate values. The results of the analysis indicate that the South African proxies diverge substantially from the criteria, and are likely to overstate the true-risk-free rate. In complete contrast to this, the hypothesis tests reveal that the proxies understate the intercept estimate, whilst the zero-beta portfolio returns closely approximate this value. This finding that the zero-beta portfolio returns, which are larger than the proxy yields, are more suitable appears counter-intuitive given the goal to identify the minimum return from investing. This result can possibly be explained by the fact that the CAPM intercept represents the average of the riskless lending and borrowing rates, whilst the proxy only denotes the former. The borrowing rate is likely to be higher than the lending rate; thus giving reason for the average being greater. However, the possibility also remains that the results observed may be a consequence of the incorrect specification of the market portfolio, that the tests employed are inapt, or that the model itself is inappropriate. The forecasting analysis confirms the greater accuracy associated with employing the zero-beta portfolio returns as the risk-free rate compared to the use of a proxy, but the improvement is small. Thus the choice for the practitioner is whether the increase in accuracy is justified by the difficulty and time involved with estimating the zero-beta portfolio returns.

An integral component of all corporations‘ financial operations is the determination of the cost of equity of the firm. This input is required in many financial decision making processes, and the correct estimation of this value is therefore a very important issue. The Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965) has filled this gap since its inception, and has been extensively used by both corporations and individuals in their estimation of expected return. Whilst the standard form of this model is intuitive and simple in its implementation, an additional issue faced when utilising it in the current day is that of global financial integration. Whilst the CAPM is suitable for use in a market which is completely segmented from the rest of the world, this is often not the case as the barriers across countries have gradually declined, with the result that much of the world is now internationally integrated. This therefore led to two extensions of the CAPM to the international environment by both Solnik (1974) and Grauer, Litzenberger and Stehle (1976). Whilst both are referred to as International CAPM (ICAPM) models, the difference lies in that Solnik‘s (1974) model incorporates the presence of exchange rate risk, whilst the Grauer, Litzenberger and Stehle (1976) one does not. This study therefore provides an analysis of the suitability of these two models to the South African environment, along with a comparison of the relative performances of each model against that of the standard CAPM model. The three different methods of analysis used are: the unconditional approach, a conditional GARCH approach, as well as the cost of equity approach. The analyses are applied to the data which consists of all listed firms on the JSE from 1990 up to 2010, with multiple methods of evaluation employed, such as information criteria and forecasting, in order to provide a robust analysis of all three models. The results of the analysis vary across the different methods used, however since a significant amount of evidence was found of the International CAPM models, it can be concluded that an international asset pricing model should be used instead of a domestic one. In the choice between the single-factor ICAPM model and the multifactor ICAPMEX, even though use of the Grauer et al (1976) model would not be inappropriate, it was concluded that use of Solnik‘s (1974) ICAPMEX model would be the best suited to the South African financial environment, as the presence of exchange rate risk factors in an asset pricing model is found to be an important inclusion which may lead to better cost of equity estimates. / Theses (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2011.

Šio darbo tikslas įvertinti didelės, vidutinės, mažos kapitalizacijos listinguojamų įmonių kapitalo struktūros sprendimams įtaką darančių veiksnių poveikį. Vertinamas išorinių (akcijų rinkos kapitalizacija nuo BVP, parduotų akcijų vertės rodiklis, akcijų apyvartumo rodiklis) ir vidinių (įmonės dydis, turto grąža, likvidumas, augimo galimybės) veiksnių poveikis kapitalo struktūrai. Darbą sudaro trys dalys. Pirmoje darbo dalyje aptariam teoriniai įmonių kapitalo struktūros aspektai, taip pat apžvelgiami empiriniai tyrimai, kuriuose tiriama įvairių veiksnių įtaka kapitalo struktūrai. Antroje darbo dalyje pristatoma empirinio tyrimo metodologija. Trečioje darbo dalyje pristatomi atlikto skirtingos kapitalizacijos įmonių kapitalo struktūros veiksnių įtakos vertinimo tyrimo rezultatai. Tyrimas atskleidė, kad tarp didelės, vidutinės, mažos kapitalizacijos įmonių kapitalo struktūros ir išorinių bei vidinių veiksnių egzistuoja reikšminga tarpusavio priklausomybė. Nustatyta, kad didelės ir vidutinės kapitalizacijos įmonių kapitalo struktūros kintamumui didesnę įtaką daro vidiniai veiksniai. Taip pat pastebėta, kad iš tirtų vidinių veiksnių didžiausią įtaką turi likvidumas ir turto grąža. Tačiau, mažos kapitalizacijos įmonių kapitalo struktūrai didesnę įtaką daro išoriniai veiksniai. / Many research studies try to evaluate capital structure determinants influence on firm’s financial decisions. The aim of this study is to evaluate the influence of capital structure determinants on large, mid and small capitalization firm’s capital structure. The valuation includes both external and internal factors of the capital structure. This paper consists of three parts. The first part discusses the theoretical aspects of corporate capital structure, provides an overview of conducted empirical studies on the capital structure determinants. The second part presents this paper’s research empirical methodology. The third part of the paper presents empirical results of this research. Large and mid-capitalization firm’s capital structure is more influenced by internal factors. From all internal factors, ROA and liquidity are the factors that do the bigger impact on capital structure. However, small-cap firms are more influenced by external factors.

Thesis (M.A.) - Carleton University, 2006. / Includes bibliographical references (p. 103-110). Also available in electronic format on the Internet.

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Mémoire (M.P.M.O.)--Université du Québec à Chicoutimi, 1991. / Document électronique également accessible en format PDF. CaQCU

Thesis (M.B.A.)--University of Hong Kong, 1983. / Also available in print.