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An analysis of transfer risk in comparison to sovereign riskHauger, Philipp. January 1900 (has links) (PDF)
Thesis (masters)--Frankfurt School of Finance & Management, 2006. / Title from title screen (viewed on June 15, 2006). Includes bibliographical references.
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On the pricing of corporate debt: the risk structure of interest ratesJanuary 1973 (has links)
by Robert C. Merton. / Presented at the American Finance Association Meeting, New York, December 1973. / Bibliography: leaf [26]
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Essays on macroeconomic risk in financial marketsKuehn, Lars Alexander 11 1900 (has links)
This thesis contains three essays. In the first essay, I provide new evidence on the failure of
the Q theory of investment. The Q theory implies the state-by-state equivalence of stock
returns and investment returns. However in the data, I find that investment and stock
returns are negatively correlated. I also show that a production economy with time-to-build
can explain these empirical facts. When I compute Q theory based investment returns
on simulated data of the time-to-build model, they are uncorrelated with simulated stock
returns, as in the data. Moreover, the model replicates the empirical negative correlation
between stock returns and investment growth which some researchers have interpreted as
evidence for irrational markets.
In the second essay, I analyze the equilibrium effects of investment commitment on asset
prices when the representative consumer has Epstein-Zin utility. Investment commitment
captures the idea that long-term investment projects require not only current expenditures
but also commitment to future expenditures. The general equilibrium effects of investment
commitment and Epstein-Zin preferences generate endogenously time-varying first and
second moments of consumption growth and stock returns. As a result, the first and
second moments of excess returns are endogenously counter-cyclical, excess returns are
predictable, and the equity premium increases by an order of magnitude. This paper
also offers novel empirical findings regarding the predictability of returns. In the real and
simulated data, the lagged investment rate helps to forecast the mean and volatility of
returns.
In the third essay, we embed a structural model of credit risk inside a consumption based
model, which allows us to price equity and corporate debt in a single framework.
Our key economic assumptions are that the first and second moments of earnings and
consumption growth depend on the state of the economy which switches randomly, creating
intertemporal risk, which agents prefer to resolve quickly because they have Epstein-
Zin-Weil preferences. Our model generates co-movement between aggregate stock return
volatility and credit spreads, consistent with the data, and potentially resolves the equity
risk premium and credit spread puzzles. / Business, Sauder School of / Graduate
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Financing long-gestation projects with uncertain demandStorey, Jim 11 1900 (has links)
Financial crises in East Asia, Russia, and Latin America have caused some to wonder if there is
something inherently unstable about financial markets that thwarts their ability to allocate capital
appropriate^- and ultimately causes these crises. I build a multi-period, industry-level credit model
in which debt-financed entrepreneurs develop homogeneous projects with long gestation periods,
sequential investment requirements, and no intermediate cash flows. Entrepreneurs accumulate
private signals about terminal demand, and if the signals are bad enough, may decide to halt project
development before completion. The prevalence of project suspensions aggregates information and
permits the industry size to adjust to the true state of terminal demand. Debt contracts depend upon
the pricing power of the creditor; these contracts impact the size of the industry and the timing of the
information aggregation. When demand realisations are poor, some investors will be disappointed
ex post; aggregate disappointment will depend upon how long the investment behaviour has carried
on before suspensions occur, and how large the industry is. I interpret situations of substantial
aggregate disappointment as a 'crisis'.
Principal results relate to the impact of debt finance on the timing and likelihood of project
suspensions. With all equity (self) financing, suspensions will typically be observed, but they may
occur relatively late in the game. In contrast, debt finance may lead to very rapid suspensions,
depending upon the tools allocated to the creditor. When creditors exercise monopoly control
over credit allocation and pricing, profit-maximising creditors can and will force suspensions. This
may involve reducing the entrepreneurs' equity contribution and / or subsidizing credit in order
to ensure entrepreneurial participation. When credit markets are competitive, creditors lack the
pricing power that can be used to structure credit policies that force early suspensions. As debt
accumulates and the entrepreneurs' share of liquidation proceeds dwindles, entrepreneurs may not
voluntarily suspend operations as this will lead to loss of private benefits. Therefore, there may be no
suspensions observed in equilibrium. This problem will be particularly acute when the entrepreneurs'
initial equit)' stake is small. / Business, Sauder School of / Finance, Division of / Graduate
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Essays in debt covenantsSy, Amadou Nicolas Racine. January 1998 (has links)
No description available.
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Leverage, ownership structure and firm behavior in ChinaWu, Wenjie., 武文潔. January 2006 (has links)
published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy
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Capital structure under different macroeconomic conditions: evidence from South AfricaMokuoane, Moeketsi January 2016 (has links)
A research report submitted to the School of Economics and Business Science, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance
Johannesburg, South Africa
May 2016 / The empirical literature provides conflicting assessments about how firms choose their capital structure and how macroeconomic variables influence capital structure decision making. There has been a minimal research of the impact of macroeconomic conditions on the adjustment of capital structure towards target, specifically in the context of South Africa. This study employs a sample of South African companies listed on JSE Limited stock exchange from 2000 - 2014 to investigate: (1) the relationship between corporate leverage and firm characteristics as well as macroeconomic variables; (2) the impact of extreme capital market frictions on capital structure decisions; and (3) the relation between macroeconomic conditions and capital structure adjustment speed using an integrated partial adjustment dynamic capital structure model. The research results find evidence that certain firm characteristics and macroeconomic factors have pronounced influence on the capital structure of the sample of listed companies. The empirical results are compared to previous international evidence from developed markets and are in line with the international evidence. Results show that profitability, size and tangibility are significant determinants of firms’ capital structure in the pre- extreme capital market friction periods. The rand crisis of 2001 – 2002 and the global financial crisis period of 2007 – 2009 are considered extreme capital market friction periods. The findings highlights that profitability and size have a different relation to leverage during these extreme capital market friction periods. The extreme capital market friction dummy is significant which means that capital supply conditions are also amongst important factors that need to be considered while determining the financing mix during periods where the supply of capital is disrupted. The findings highlight that demand-side and supply-side factors need to be considered in firms’ financial decision making processes, especially during periods where there is extreme capital markets friction. The research also finds evidence supporting the prediction of theoretical framework that firms adjust to target leverage slower in good states than in bad states, where states are defined by real GDP growth rate and inflation rate. / MT2017
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Análise multinível dos determinantes da maturidade do endividamento corporativo na América LatinaMartins, Henrique Castro January 2012 (has links)
Essa pesquisa busca investigar a influência de diferentes níveis de fatores na variância da maturidade do endividamento corporativo na América Latina. Ao todo, foram levantados cinco diferentes grupos (divididos em três níveis de influência) de variáveis que potencialmente determinam a maturidade do endividamento das empresas dos países estudados ao longo do período de 1996 a 2009. Foi utilizado o modelo linear hierárquico, que possibilita o aninhamento de variáveis em diferentes níveis – em que os níveis superiores influenciam os níveis inferiores. Ao longo do estudo, procedeu-se à análise fatorial com o objetivo de extrair fatores representativos do nível de desenvolvimento financeiro e da qualidade das instituições de Argentina, Brasil, Chile, Colômbia, México, Peru, Venezuela e Estados Unidos (países componentes da amostra). Os resultados sugerem que as variações ao longo do tempo e as variações entre as empresas são as maiores fontes de modificações na maturidade do endividamento. Além disso, o tamanho, a liquidez, a taxa real de juros e o nível de desenvolvimento financeiro do país se sobressaem como fatores que impactam de forma significativa a maturidade do endividamento corporativo. Finalmente, os fatores extraídos e a taxa real de juros impactaram indiretamente na maturidade do endividamento através de outras variáveis, a saber: oportunidades de crescimento, tamanho e liquidez. / This research investigates the influence of distinct factor´s levels in corporate debt maturity in Latin America. Five different variables groups (divided into three influence levels) that potentially determine the corporate debt maturity in the countries studied were collected over the period 1996 to 2009. We used Hierarchical Linear Modeling, which allows nesting of variables at different levels – in which the higher levels may influence the lower levels. Throughout the study, we proceeded to factor analysis in order to extract financial development and institutional quality factors in Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the United States (countries belonging to the sample). The results suggest that variations over time and variations between firms are the major sources of changes in corporate debt maturity. Moreover, size, liquidity, the real interest rate and the financial development stand out as factors that impact significantly the corporate debt maturity. Finally, the extracted factors and the real interest rate indirectly impacted the corporate debt maturity by others variables, namely: growth opportunities, size and liquidity.
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Pricing corporate debtReneby, Joel January 1998 (has links)
The thesis builds a model for pricing the liabilities of a firm. The liabilities - stocks, loans, bonds - fundamentally all depend on the value of the firm's assets. By looking at balance sheet data, such as the nominal amount of debt outstanding, and market prices, such as time series of stock prices, the value and volatility of the assets can be estimated. Finally, e.g. bank loans to the same firm can be priced in terms of these values. Thus, the purpose of the whole exercise is to use the information content in stock prices to infer the value of loans. / Diss. Stockholm : Handelshögsk.
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The Effect of Conservative Accounting on the Bondholder-Shareholder Conflict and Cost of DebtNordlind, Felix, Lucki Racana, Samuel January 2013 (has links)
Prior research on conservative accounting and bondholder-shareholder conflict show that firms with higher degree of conservatism experience less austere conflict and lower cost of debt. However, since the implementation of IFRS in 2005, conservatism has been widely reduced in favor of fair value principles. This study sets out to examine if accounting conservatism still mitigates the conflict and reduces cost of debt. We regress two measures of conservatism on three conflict proxies and debt cost, respectively, for firms on the Norwegian market. Our results support the conclusion that conservative accounting mitigates the bondholder-shareholder conflict even after the introduction of IFRS, but we find no significant evidence that bondholders reward high level of conservatism with lower cost of debt.
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