Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit theoretischen Fragestellungen der Finanzwissenschaft im Bereich des Asset Pricing und im Detail der Unternehmensbewertung. Dabei wird sowohl auf Problemstellungen der akademischen und praxisnahen Forschung eingegangen. Der erste Artikel beschäftigt sich mit der Fragestellung welche Implikationen die Annahme einer arithmetischen Brownschen Bewegung auf bestimmte Aspekte der Unternehmensbewertung hat. Es folgen drei Artikel die sich auf unterschiedlicher Weise mit der Zinsschrankenregelung auseinandersetzen. Die darauf folgenden zwei Artikel behandeln hauptsächlich die Modellierung von Insolvenz im Rahmen der Unternehmensbewertung bei Annahme verschiedener Finanzierungspolitiken. Der achte Artikel geht näher auf die Thematik der empirischen Bestätigung bestimmter Kapitalstrukturtheorien ein. Die Dissertation schließt mit einem Artikel zu wichtigen Parametern für die Unternehmensbewertung.

Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit finanzwissenschaftlichen Fragestellungen im Bereich der Unternehmensbewertung. Dabei wurden aktuelle Themen diskutiert, die in Theorie oder Praxis ungelöste Probleme darstellen. Hervorzuheben ist an dieser Stelle, dass sich die ersten drei Artikel mit dem Werteinfluss der Zinsschanke auf den Wert von fremdfinanzierungsbedingten Steuerersparnissen (Tax Shield) beschäftigen. Die drei darauf folgenden Artikel beschäftigen sich schwerpunktmäßig mit der konsistenten Modellierung von Finanzierungspolitiken und dem Werteinfluss der Insolvenzmöglichkeit von Unternehmen. Der siebte und achte Artikel haben die Kapitalstruktur und weitere wichtige Parameter für die Unternehmensbewertung zum Thema.

本研究旨在探討企業盈餘管理行為對其信用評等之影響，以Ordered Probit Model，探討台灣上市櫃(包含興櫃)企業之盈餘管理行為，對台灣經濟新報社(TEJ)的台灣企業信用風險指標(Taiwan Corporate Credit Risk Index, 簡稱TCRI)是否造成影響，並進一步觀察其影響為何。 本研究發現，企業之盈餘管理行會影響其信用評等，而且透過進一步之邊際影響分析，顯示企業盈餘管理對當期盈餘之影響，與信用評等之間存在著反向的關係，意味著，信用評等人員在使用財務報表，進行信用評等程序時，統計上會因為企業之盈餘管理行為而有處理上之差異；本研究另外發現就平均而言，盈餘增加(減少)之裁量性應計數影響TCRI下降機率的增加(減少)幅度，大於TCRI不變以及TCRI上升之機率變動幅度。 / This study investigates the influence of earnings management on credit rating. Using Ordered Probit Model, this study tests whether earnings management of listed companies (emerging stock included) effects Taiwan Corporate Credit Risk Index (TCRI). This study finds that earnings management does affect credit rating. In addition, it suggests that earnings with income-increasing discretionary accruals have more opportunity for getting downgradings than earnings with income-decreasing discretionary accruals through analysis of marginal effects. That is, the credit analysts treat earnings management in a different way when rating companies. Moreover, this study also finds that the marginal effects of income-increasing discretionary accruals of increasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings. Similarly, the marginal effects of income-decreasing discretionary accruals of decreasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings.

Kommersiella fastigheter har blivit allt viktigare inom svensk ekonomi. Fastighetssektorn har haft en särskilt hög tillväxt under de senaste åren där fastigheter kan anses vara en kapitalkrävande reell tillgång. Finansieringen av fastighetsbolag har traditionellt utgjorts av banklån men på senare tid söker fastighetsbolag alternativa finansieringsmetoder. Allt vanligare blir det att finna finansiering genom kapitalmarknaden. I regel är en av de största kostnaderna för ett fastighetsbolag dess finansieringskostnader. Således är det av vikt att bearbeta kapitalstrukturen för att använda den mest rationella givet bolagets förutsättningar, där ett sätt kan vara att i större utsträckning använda sig av eget kapital i balansräkningen. Vid första emissioner av preferensaktier i Sverige användes de av fastighetsbolagen ett sätt att inhämta eget kapital. De erbjöd investerarna en förutsägbar hög direktavkastning, samtidigt var utdelningen prioriterad framför andra aktieslag, dock utformade med en inlösenkurs. Efter ett antal år kom en första emission av D-aktier vilka populariserades bland fastighetsbolag. Dessa liknade preferensaktier med en löpande hög direktavkastning, dock utan prioritet. På senare tid har många preferensaktier kommit att lösas in av större fastighetsbolag. Samtidigt har många bolag kreditbetyget investment grade av ratinginstituten. Denna uppsats syftar till att reda ut vilken funktion preferensaktier har fyllt i form av källa till eget kapital och varför D-aktier delvis använts i form av ett substitut till preferensaktier. Undersökningen baserades på intervjuer med ett antal personer med erfarenhet och olika perspektiv av den kommersiella fastighetsmarknaden. Det framgår att emittering av preferensaktier kan vara rationellt för fastighetsbolag med höga tillväxtmål. Preferensaktier har historiskt varit en förmånlig källa till eget kapital vilket varit effektiv då det haft en låg utspädningseffekt relativt stamaktier. Preferensaktier blev dyra att behålla utestående för fastighetsbolag vilka sökte en investment grade-rating då dessa behövde förhålla sig till ratingbolagens syn på preferensaktier. Till följd av detta har D-aktier men även hybridobligationer används i form av ett substitut till preferensaktier. / Commercial properties have become increasingly important in the Swedish economy. The real estate sector has had a particularly high growth in recent years where real estate is considered a capitalintensive real asset class. Bank lending has traditionally been the method of financing real estate companies. As of recent years, the real estate companies seek to find alternative methods of financing, where it is becoming more common to finance through the capital markets. Generally, the biggest cost of a real estate company is its cost of finance. Therefore, it is important to process the capital structure to find the most rational one given the circumstances, where the use of equity found in the balance sheet can be an alternative. With the first issues of preferred shares in Sweden, the shares were used to obtain equity. The preferred shares offered the investors a high and predictable yield that was prioritized over the common shares, though designed as retractable at a specific price. Subsequently, the first dividend shares were issued, and the dividend share was popularized with real estate companies. The dividend share is similar to the preferred shares with a continuous high yield but without the priority. In recent years, many preferred shares have been retracted by the larger real estate companies. In the meantime, the demand for credit ratings has increased, with the goal of obtaining an investment grade rating by the rating agencies. This thesis aims to study what function the preferred shares have had as a source of equity and why dividend shares have partly been used as a substitute to preferred shares. The inquiry was based on interviews with persons of experience from the commercial real estate market that could offer different perspectives of the manner. What can be derived is that the issue of preferred shares can be rational for real estate companies with high set growth targets. Historically, preferred shares have been a competitive source of equity that has been effective due to its low dilution compared to common shares. Preferred shares became expensive to keep outstanding for the real estate companies that wanted the investment grade rating. This since the companies needed to operate in a way that the rating agencies favored regarding the preferred shares. As a result of this, dividend shares as well as hybrid bonds have been used as a substitute for preferred shares.

Les normes IFRS, de part leur affiliation directe au modèle comptable anglo-saxon, soulèvent la question de la pertinence de leur mise en application au sein de l’Europe Continentale.Cette recherche tente d’éclairer cette question, en présentant, à partir d’une étude de cas de l’activité de cotation crédit Banque de France (BdF), les incidences du passage aux IFRS sur leur méthodologie d’analyse financière et sur le diagnostic crédit des groupes français.Cette recherche fait état d’un effet favorable des normes IFRS sur le diagnostic du risque de crédit des groupes français.Cet effet favorable passe aussi bien par un gain informatif des normes IFRS que par l’adaptation sélective et prudentielle de la méthodologie d’analyse financière BdF aux conventions IFRS. / IFRS, by their direct affiliation to the Anglo-Saxon accounting model, raise the question of their relevance to the Continental Europe context.This study aims to shed light on this question by highlighting, from a practical case study of the French Central Bank credit rating system, the implications of IFRS adoption in France for the methodology of financial statement analysis and credit rating of French groups.Results show a positive effect of new standards regarding the credit risk of non financial groups. They point out also that this effect can be equally attributed to the gain of transparency occasioned by the IFRS but also to the selective and conservative approach of the French Central Bank Credit Methodology.

O presente trabalho teve por objetivo avaliar aspectos relevantes da economia internacional. O primeiro ensaio desta tese visou avaliar pela primeira vez (até onde se tem conhecimento) se o recente desenvolvimento do mercado de Credit Default Swaps - CDS alterou os efeitos das mudanças de rating sobre o mercado financeiro.Como o CDS é um derivativo que tem como objetivo refletir a qualidade do crédito do ativo avaliado e esta mensuração é feita através do mercado e de forma contínua no tempo, este instrumento poderia reduzir a relevância dos ratings atribuídos pelas agências; uma vez que estes últimos também avaliam a qualidade do crédito, mas sua atuação é discreta no tempo. Foi empregada a metodologia de estudo de evento a uma base de dados diária de CDS, bolsa e taxas de câmbio para37 países. Em resumo,foram encontradas evidências de que o impacto das mudanças de ratings sobre os ativos financeiros sofreu moderação nos últimos dez anos e que o papel do CDS pode estar por trás desta redução. Além disso, foram encontrados resultados que mostram que o mercado de CDS é o que mais reage a reclassificações de risco. O principal objetivo dos ensaios seguintes é trazer luz ao debate das fontes de competitividade no comércio internacional. Neste sentido, o segundo ensaio trata do papel do custo fixo de entrada para a exportação sobre a competitividade internacional no nível da firma. Foi estimadoo custo médio de entrada para a exportação utilizando o banco de dados do World Bank Enterprise Survey do Banco Mundial que conta com informações de mais de 70 mil firmas de diversos setores de atividade distribuídas em mais de 120 países em desenvolvimento. A pesquisadora se apoiou no modelo e na metodologia desenvolvidos na publicação da Econometrica de Das, Roberts e Tybout (2007) e conclui que em média uma firma paga 3,2 milhões de dólares para começar a exportar. Além disso, encontrou que o custo fixo de entrada para exportação varia entre os países e isso ajuda a explicar porque firmas semelhantes com produtividade parecida instaladas em países diferentes têm probabilidades distintas de serem exportadoras. No terceiro ensaio desta tese, estudou-se o impacto da desoneração da folha de pagamento, implementada a partir de 2011, nas exportações e importações brasileiras. Através de um painel de efeito fixo para produto, relacionando as exportações e importações em função da variável desoneração e a da variável de intensidade de mão-de-obra na produção do bem. Os dados foram extraídos do MDIC, da PIA e a variável desoneração foi construída utilizando as diversas leis que, ao longo do tempo, foram ampliando o rol de bens desonerados. Grosso modo, controlando por intensidade de mão-de-obra, encontrou-se que as desonerações foram responsáveis por uma queda da quantidade importada dos bens cujos similares foram desonerados internamente, enquanto que o efeito nas exportações provocou uma queda nos preços dos bens desonerados que não foi compensada por uma elevação na quantidade exportada, o que conjuntamente resultou em uma queda das exportações em valor. / This thesis evaluated some relevant aspects of the international economy. The first chapter evaluatesfor the first time (as far as we know) if the recent development of the credit default swaps market, CDS, has changed the effects of rating reclassifications on the financial market. Given that the price of CDS is driven bythe entity\'s credit quality and it moves continuously over time, this instrument would reduce the significance of ratings assigned by the agencies, since these agencies act discretely over time. We apply the event study methodology to a daily database of CDS, stocks and exchange rates for 37 countries. Generally speaking, we find evidences that the impact of ratings changes on financial assets has moderated over the past decade and that the role of CDS may explain this reduction. Furthermore, we find results that show that the CDS market is more responsive to risk reclassification. The following chapters have the main objective to shed some light on the debate on the sources of competitiveness in international trade. In this sense, the second chapter studies the role of sunk entry cost to export in international competitiveness at firm level. We estimate the average export sunk entry cost using the World Bank Enterprise Survey database of the World Bank that has informations about more than 70 thousand firms spreaded over several activity\'s sectors and more than 120 developing countries. We followed the model and methodology developed by Das, Roberts and Tybout in a paper published in Econometrica in 2007 and we found that a firm, in average, pays 2.3million dollars in order to start exporting. Besides that, we found that the export entry cost varies between countries and this fact helps to explain why similar firms in different countries have different probabilities to become exporters. In the third chapter of this thesis, we present a study on the impact of the payroll tax exemption implemented since 2011 on Brazilian exports and imports. Using a panel of fixed effect for product, we will relate the exports and imports as function of the variable exemption and the variable of labor intensity in the production function of the good. The data were extracted from the MDIC, the PIA and the variable exemption was constructed using the many laws that, over time, were expanding the list of exempted goods. Generally speaking, controlling by labor intensity, we found that the payroll tax exemption was responsible for a drop in the quantity of goods imported from abroad, while the effect on exports led to a drop in the prices of the goods exported, which was not offset by a rise in the quantity exported, resulting in a fall in exports by FOB value.

Submitted by Bruno Santana (brunorafaelsantana@yahoo.com.br) on 2013-03-04T22:06:09Z No. of bitstreams: 1 MPFEBruno Santana final.pdf: 947205 bytes, checksum: 6a2e0e761798cb1d0be840f79837ee82 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-05T13:25:03Z (GMT) No. of bitstreams: 1 MPFEBruno Santana final.pdf: 947205 bytes, checksum: 6a2e0e761798cb1d0be840f79837ee82 (MD5) / Made available in DSpace on 2013-03-05T13:27:36Z (GMT). No. of bitstreams: 1 MPFEBruno Santana final.pdf: 947205 bytes, checksum: 6a2e0e761798cb1d0be840f79837ee82 (MD5) Previous issue date: 2013-02-04 / Esta dissertação busca identificar a utilização de operações off-balance e instrumentos híbridos pelas empresas brasileiras. Seu objetivo é, além da utilização, verificar se o índice de transnacionalidade e o rating de crédito influenciam na decisão de utilizar ou não tais operações e instrumentos. Para isso, foram observadas as demonstrações financeiras e ratings das empresas participantes do índice IBrX-100 no período dos últimos três anos (2009, 2010 e 2011). Já para considerar o efeito da utilização das operações e instrumentos em razão do quão internacionalizadas são as empresas, este trabalho utiliza como critério a participação das empresas no ranking das transnacionais brasileiras no mesmo período acima citado. A análise revela que as empresas brasileiras mais internacionalizadas são mais sofisticadas que as menos internacionalizas e consequentemente se utilizam mais de instrumentos híbridos e operações off-balance. Ainda nesta linha, quando se divide as empresas por quartil, se chega ao resultado esperado que quanto mais internacionalizada a empresa, mais ela se utiliza destas operações e instrumentos. Além disso, também conclui que o rating influencia na utilização destes instrumentos e operações; quanto pior, mais a empresa se utiliza. Isso ocorre quando a métrica é o rating nacional, e não foram encontradas fortes evidências em relação ao rating estrangeiro. / This dissertation aims to identify the Brazilian companies’ use of off-balance sheet transactions and hybrid instruments. Its main objective is to verify if the transnationality index and the credit rating have any effects over the decision of the companies to make use or not of the mentioned transactions and instruments. For this purpose, we observe financial statements and credit ratings of the companies included in the IBrX-100 index in the last three years (2009, 2010 e 2011). In order to consider the effects of the utilization of the transactions and instruments by the most internationalized companies, we use as a criteria the participation of the companies in the Brazilian transnational companies ranking in the same period aforementioned. The results show that the more internationalized the more sophisticated is a Brazilian company and, as a consequence, these companies use more hybrid instruments and off-balance sheet transactions than the less internationalized companies. The same conclusion is obtained when the companies are divided by quartiles: the more internationalized the company, the more it uses these transactions and instruments. In addition, the results show that the worst the credit rating of a given company, the more it uses these transactions and instruments.

This master thesis is based on analyses of the Cypriot banking sector from 2010 to 2016. The aim is to describe the effects of the recent financial crisis in Cyprus to locally operating banks, to assess the assistance provided to Cypriot banks and especially to analyze the development of systemically important Cypriot banking institutions, namely the Bank of Cyprus Group, Cooperative Central Bank, Hellenic Bank and RCB Bank Ltd with emphasis on the most important banking institution in Cyprus. The work draws mainly from published financial results of the systemic banks and from the Central Bank of Cyprus representing the consolidated banking sector. Furthermore, for the purpose of this study was used the Eurostat database, EBA and the IMF periodicals, along with the websites of the credit rating agencies.

The diploma thesis focuses on issuance of the primary bond by non-financial companies on the Prague Stock Exchange (PSE). In the theoretical part were described the main parameters of securities and financial indicators of companies that build the risk premium and discussed options of risk-free base. The application part presents the evaluation of major factors influencing price and bond rates on the example of emissions carried on the PSE.

This thesis deals with the action and impact of the credit rating agencies in the capital markets during the financial crisis. The work is divided into two parts; the first part stresses the importance of a proper understanding of the rating, its characteristics, functions, users and the rating process. The emphasis is put on the market analysis of ratings and rating agencies in the U.S. and European market. The second part of this work is devoted to examining the issue of rating agencies during the crisis, which contributed to the spread of the financial crisis, criticism relevant issues and regulatory arrangements.