While there have been studies on capital structure and corporate strategy, limited research has considered the unique characteristics that influence the capital structures and corporate strategies of Saudi Arabian manufacturing firms. This thesis, therefore, intends to enrich the literature that relates capital structure to corporate strategy in the Saudi context. Informed by the literature, this research has developed a theoretical framework to study the influence of corporate strategy on capital structure. The framework could be extended to other industries with similar characteristics in Saudi Arabia in addition to other countries in the Gulf Cooperation Council. A mixed methodology was adopted in this research that consists of quantitative analysis, supported by qualitative results where relevant. The findings of this thesis highlight three main points. First, the results on the determinants of capital structure demonstrate the significance of the cost of servicing debt, zakat, industry structures and the nature of assets in influencing leverage. The results indicate a negative relationship between leverage and profitability and a positive relationship between leverage and risk. Second, when considering the influence of stakeholders on capital structure, the evidence indicates that debt is strategically used as a disciplining device for managers. The findings also underline the importance of equity-holders and debt-holders, demonstrating that corporate attitudes towards debt could depend on ownership structures. Institutional and family ownership positively influence leverage. Government ownership is found to be insignificant. The results demonstrate that strong banking relationships and the availability of government loans lead to higher leverage. Limited evidence was found to support a relevant role for non-financial stakeholders. The thesis illustrates to managers the possible strategic considerations of capital structure decisions that go beyond the need for finance. Further, the evidence illustrates that Saudi bankruptcy laws require clarification and that disclosure rules ought to be more stringent.

Orientador: Luiz Koodi Hotta / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-23T04:22:11Z (GMT). No. of bitstreams: 1 Almeida_Danielde_M.pdf: 17481253 bytes, checksum: 669620c3fe4155707f86370dd1778d01 (MD5) Previous issue date: 2013 / Resumo: O objetivo da dissertação é estudar modelos de volatilidade que consideram dois tipos de assimetria usualmente encontradas em séries de finanças, a assimetria das perturbações e o efeito de alavancagem. Perturbações assimétricas são utilizadas devido ao fato estilizado de que perdas têm distribuição com cauda mais pesada do que ganhos. Já o efeito de alavancagem leva em consideração que perdas têm maior influência na volatilidade do que os ganhos. São estudados os modelos GARCH univariados que contemplam os dois tipos de assimetria separadamente e conjuntamente e modelos GARCH multivariados que permitem o efeito de alavancagem. Os resultados são apresentados em dois artigos. O primeiro descreve os principais modelos univariados que possam explicar estes dois fatos estilizados e analisa, com detalhes, oito séries: os índices Ibovespa, Merval e S&P 500, e as ações Itaú-Unibanco, Vale, Petrobras, Banco do Brasil e do Bradesco. A conclusão é que os dois tipos de assimetria estão presentes nas séries, na maioria das vezes simultaneamente. O segundo artigo faz uma revisão dos principais modelos multivariados da família GARCH, incluindo modelos com efeitos assimétricos nas variâncias e nas covariâncias condicionais. Alguns destes modelos são analisados com mais detalhes através de simulações. Considerou-se as perdas de eficiência na estimativa da matriz de volatilidade ao se ter erros de especificação, isto é ajustar um determinado modelo a séries geradas por outros modelos. Os modelo mais utilizados na literatura são aplicados a uma série trivariada, contendo o índice Ibovespa e as ações Petrobras e Vale. Os três modelos selecionados pelos critérios AIC e BIC, possuem o efeito de alavancagem / Abstract: The objective of this dissertation is to study volatility models that consider two types of asymmetry usually found in finance series, the skewness of the innovations and the leverage effect. Skewness means that the distribution of losses has a heavier tail than the distribution of gains. The leverage effect stems from the fact that losses have a greater influence on future volatilities than gains. It is considered univariate GARCH models that include both types of asymmetry, separately and jointly, and multivariate GARCH models that allow for leverage effects. The results are presented in two papers. The first one describes the main univariate models that consider these two stylized facts and analyzes, in detail, eight series: the Ibovespa, Nasdaq and S&P 500 indices, and the Itaú-Unibanco, Vale, Petrobras, Banco do Brasil and Bradesco stocks. The conclusion is that both stylized facts are present in some series, mostly simultaneously. The second paper reviews the main multivariate GARCH models, including models with asymmetric effects on conditional variances and covariance. Some of these models are analyzed in more detail through simulations. The most used models in the literature are applied to a three-dimensional time series, containing the Bovespa index and the Petrobras and Vale markets. The three models selected by AIC and BIC criteria allow for leverage effects / Mestrado / Estatistica / Mestre em Estatística