This thesis employs two-period state-contingent model based upon the "tax shield plus bankruptcy costs" approach to examine the dynamic capital structure decision. By allowing recapitalization at the end of period one, we can analyse the dynamics of the firm's capital structure choice. Also, the effect of a call provision on bonds can be examined. Simulated results show that the firm will recapitalize at the end of period one only if the gain in firm value, with- or ex-dividend, resulting from recapitalization exceeds the after-tax flotation costs. There exists a tolerable recapitalization boundary within which the firm will not recapitalize. This implies that the empirically observed capital structure is not necessarily at the acme of the firm value function, as most empirical studies assume. Another important result is that a call provision on bonds may be wealth reducing; the call provision may reduce the wealth of shareholders by inducing recapitalization in states which is suboptimal if there is no call provision, and incurs flotation costs which could have been avoided. The gain in firm value resulting from recapitalization may be too small to justify the extra flotation costs and thus reduces the overall firm value. / Business, Sauder School of / Graduate

This dissertation examines the impact of academic information on the capital markets. A test of market learning from academic information is performed by examining the impact of published research about the size anomaly on the underlying asset pricing process. A theoretical framework to examine the effect of events that affect the equilibrium pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of market learning. The predictions about the learning path depend on the assumed information structure. The key hypotheses are motivated through an illustrative case in a multi-asset economy where there is more information available concerning large firms than about small firms. The econometric model of switching regimes is used to analyze the hypothesized structural change in the mean returns associated with the size variable. We postulate two regimes, one prior to and another after the incorporation of research information on the size anomaly. We find evidence of a switch in regimes with estimated mean switch located in 1983. The estimated average size premium has declined from approximately 13.6% per annum in the first regime to about -2.8% per annum in the second regime. More importantly, the switch in 1983 is not explained by any of the hypothesized economic factors that explain a large part of the stochastic variation in the size effect in the periods prior to 1983. We also find evidence of a switch in regimes when the seasonal January size effect is excluded. The evidence also suggests an increase in the trading volume associated with the information arrival. Our evidence strongly suggests that the market has undergone a change in its underlying equilibrium pricing process after the discovery of the size anomaly. The evidence supports the hypothesis that academic research relating to the size anomaly has provided useful information to the investors and the market has learnt from this information. / Business, Sauder School of / Graduate

by Yau Oi-Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / ABSTRACT / ACKNOWLEDGE / Chapter CHAPTER I --- --- LITERATURE REVIEW --- p.1-16 / Chapter CHAPTER II --- --- TOURNAMENT AND SPECIFIC HUMAN CAPITAL --- p.17-55 / Chapter CHAPTER III --- --- THEORETICAL FOUNDATION OF EXPERIMENTS --- p.56-70 / Chapter CHAPTER IV --- --- EXPERIMENTS --- p.71-111 / SUMMARY --- p.112 / BIBLIOGRAPHY

Lee Chun Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 64-68). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgment --- p.iii / Contents --- p.iv / Lists of Tables --- p.vi / Lists of Figures --- p.vii / Chapter Chapter One --- Introduction --- p.1 / Chapter Chapter Two --- The Basic Model with Exogeneous Real Interest Rate --- p.6 / Chapter 2.1 --- Introduction --- p.6 / Chapter 2.2 --- Benchmark Model --- p.9 / Chapter 2.3 --- Discussion of Results --- p.18 / Chapter 2.3.1 --- Agent Behaviour --- p.19 / Chapter 2.4 --- Numerical Examples --- p.23 / Chapter 2.4.1 --- Base Results --- p.25 / Chapter Chapter Three --- The Basic Model with Endogeneous Real Interest Rate --- p.28 / Chapter 3.1 --- Numerical Examples --- p.30 / Chapter 3.1.1 --- Base Results --- p.30 / Chapter 3.2 --- Government Policy Evaluation --- p.33 / Chapter 3.2.1 --- Education Subsidies --- p.35 / Chapter 3.2.2 --- Wage Subsidy --- p.35 / Chapter 3.2.3 --- Base Case Outcome --- p.36 / Chapter Chapter Four --- Conclusions --- p.40 / Appendix A --- p.41 / Appendix B --- p.42 / Appendix C --- p.42 / Tables --- p.47 / Figures --- p.58 / References --- p.64

This thesis focusses on three areas in the theory of intertemporal utility maximization. First, I integrate the theory of labor supply and human capital accumulation. I formulate a model of intertemporal utility maximization in which time is allocated between leisure, schooling and work. It is assumed that the wage rate is a function of years of schooling and experience which, in turn, is a function of the total number of hours that the individual has worked so far. Second, I develop a new technique which allows us to estimate functional relationships derived from optimal control problems for which no analytic solution exists. Third, I estimate the proposed model for two different data sets. Flexible functional forms are employed for estimation purposes and every effort is made so that the empirical model approximates as closely as possible the theoretical one. / Arts, Faculty of / Vancouver School of Economics / Graduate

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1981. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Includes bibliographies. / by Jean Tirole. / Ph.D.

Hui, Chun Piu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 84-85). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.4 / Chapter 3. --- Model --- p.8 / Chapter 4. --- Special Cases --- p.12 / Chapter 4.1. --- Case (1) σ1 = σ2 --- p.12 / Chapter 4.2. --- Case (2) σ1 + σ2 =2φ or σ1+ σ2 =2 --- p.17 / Chapter 4.3. --- Case (3) σ1 = φ = 1 --- p.20 / Chapter 4.4. --- Case (4) σ2 = φ = 1 --- p.23 / Chapter 4.5. --- Summary of four special cases --- p.25 / Chapter 5. --- Eight Regions --- p.26 / Chapter 5.1. --- Region I: (σ1 > σ2 > φ) --- p.26 / Chapter 5.2. --- Region II: (σ2 > σ1> φ) --- p.27 / Chapter 5.3. --- Region III: (σ2 > φ > σ1 and σ1+σ2 >2) --- p.28 / Chapter 5.4. --- Region IV: (σ2 > φ >σ1 and σ1+σ2 <2) --- p.29 / Chapter 5.5. --- Region V: (φ > σ2 >σ1) --- p.30 / Chapter 5.6. --- Region VI: (φ> σ1 > σ2) --- p.32 / Chapter 5.7. --- Region VII: (σ1 > φ >σ2 and 2>σ1+σ2) --- p.33 / Chapter 5.8. --- Region VIII: (σ1 > φ> σ2 and σ1+σ2>2) --- p.34 / Chapter 5.9. --- Summary of eight regions --- p.34 / Chapter 6. --- Testing for φ=0.5 and 2 --- p.36 / Chapter 6.1 --- φ= 0 . 5 --- p.36 / Chapter 6.2 --- φ = 2 --- p.38 / Chapter 7. --- Does factor intensity affect the previous results? --- p.40 / Chapter 8. --- Equal weights on intermediate goods --- p.41 / Chapter 9. --- AES and unbounded growth --- p.43 / Chapter 7. --- Conclusion --- p.45 / Appendix --- p.48 / References --- p.84

Poon, Ka Chun Joe. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 68-72). / Abstract also in Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgement --- p.iii / List of Tables --- p.viii / List of Figures --- p.ix / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Money and Growth --- p.5 / Chapter 2.2 --- "Social Status, Money, and Growth" --- p.9 / Chapter 3 --- One-Sector Exogenous Growth Model With Cash-In-Advance Constraints --- p.15 / Chapter 3.1 --- The Basic One-Sector Model --- p.15 / Chapter 3.1.1 --- Optimization --- p.16 / Chapter 3.2 --- Extension 1 - CIA with Investment --- p.19 / Chapter 3.3 --- Extension 2 - Including Separated Social-Status Function --- p.22 / Chapter 3.3.1 --- Simulation --- p.25 / Chapter 3.4 --- Extension 3 - General Utility Function --- p.28 / Chapter 3.4.1 --- Optimization --- p.28 / Chapter 3.4.2 --- Steady State and The Effect of Money Growth --- p.30 / Chapter 3.4.3 --- Dynamical System --- p.31 / Chapter 3.4.4 --- Simulation --- p.35 / Chapter 3.5 --- Extension 4: General Utility Function and CIA with investment --- p.38 / Chapter 3.5.1 --- Optimization --- p.38 / Chapter 3.5.2 --- Steady State and The Effect of Money Growth --- p.41 / Chapter 3.5.3 --- Dynamical System --- p.42 / Chapter 3.5.4 --- Simulation --- p.47 / Chapter 4 --- Concluding Remarks --- p.49 / Chapter 5 --- Appendices --- p.52 / Chapter 5.1 --- Appendix 1 - Detailed Calculation of Basic One-Sector Model --- p.52 / Chapter 5.1.1 --- Optimization --- p.52 / Chapter 5.1.2 --- Steady State and The Effect of Money Growth --- p.53 / Chapter 5.1.3 --- Dynamical System --- p.55 / Chapter 5.2 --- Appendix 2 - Detailed Calculation of Extension 1 - CIA with Investment --- p.57 / Chapter 5.2.1 --- Optimization --- p.57 / Chapter 5.2.2 --- Steady State and The Effect of Money Growth --- p.59 / Chapter 5.2.3 --- Dynamical System --- p.60 / Chapter 5.3 --- Appendix 3 - Detailed Calculation of Extension 2 - Including Separated Social-Status Function --- p.63 / Chapter 5.3.1 --- Optimization --- p.63 / Chapter 5.3.2 --- Steady State and The Effect of Money Growth --- p.64 / Chapter 5.3.3 --- Dynamical System --- p.65 / References --- p.68

Law, Tak Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1 --- Brief Overview --- p.4 / Chapter 2.2 --- Determinants of the Target Debt Ratio --- p.7 / Chapter 2.3 --- Adjustments Toward the Target Ratio --- p.9 / Chapter Chapter 3. --- Methodology --- p.12 / Chapter 3.1 --- Estimation of the Target Leverage Ratio --- p.12 / Chapter 3.2 --- Factors affecting the Long-term Adjustment --- p.16 / Chapter 3.3 --- Persistence and Reversal of Effects --- p.19 / Chapter Chapter 4. --- Expected Signs of Variables --- p.22 / Chapter 4.1 --- Estimation of the Target Ratio --- p.22 / Chapter 4.2 --- Effects of Firm Histories --- p.24 / Chapter 4.2.1 --- Pecking order theory --- p.24 / Chapter 4.2.2 --- Tradeoff theory --- p.25 / Chapter 4.2.3 --- Market Timing Theory --- p.25 / Chapter Chapter 5. --- Data --- p.27 / Chapter Chapter 6. --- Empirical Findings --- p.29 / Chapter 6.1 --- Estimation of the Target Ratio --- p.29 / Chapter 6.2 --- Factors Affecting the Long-term Adjustment --- p.31 / Chapter 6.3 --- Persistence of the Effects --- p.33 / Chapter 6.4 --- Reversal of the Effects --- p.35 / Chapter Chapter 7. --- Concluding Remarks --- p.37 / References --- p.38 / Tables --- p.40

We consider a risk averse entrepreneur who approaches a diversified venture capitalist (VC) for financing of a project with positive potential return. We develop several models that capture key features of the venture financing, including staged investment, VC oversight costs and agency conflicts. The contract between the VC and the EN includes risk-free and pay-performance sensitive compensation. Moral hazard arises because the EN must exert effort for the project to succeed. Our model is novel in that it also allows for asymmetric beliefs about project quality due to the EN's optimism even when the VC and EN face symmetric information. We first analyze the VC-EN relationship when the VC has bargaining power. We characterize the equilibrium levels for the pay-performance sensitivities, investment and effort over time and show they can be either increasing or decreasing or initially increasing and then decreasing. We find that asymmetric beliefs and risk aversion have opposite effects on the VC-EN relationship. When the EN is moderately more optimistic than the VC, he accepts more risk and exerts more effort and the VC responds with more investment. In contrast, risk aversion reduces effort and investment. Our model predicts a performance-sensitive investment policy where critical milestones must be achieved for investment to continue. These milestones increase with the risk aversion and decrease with the asymmetry in beliefs. Consequently, project duration increases with asymmetric beliefs and decreases with risk aversion. We calibrate this core model to empirical data and use numerical analysis to demonstrate that the technical and systematic risks have opposite effects. The VC's payoff and the project's value and duration increase with technical risk and decrease with systematic risk. We analyze the relationship when the EN has bargaining power, and find that the equilibrium and the corresponding implications for venture financing do change. In this setting, the negative effects due to risk aversion are more pronounced. We also find that if the EN's effort cannot be observed by the VC, then the pay-performance sensitivities, investment and effort all increase.