Η πρόσφατη έρευνα για τους καθοριστικούς παράγοντες σε επίπεδο επιχείρησης της σταθερής επένδυσης έχει τονίσει τη σημασία των επεξηγηματικών μεταβλητών ώς προσεγγιστικές για την εσωτερική χρηματοδότηση των εταιριών που κρατούν σταθερά τα μέτρα των σταθερών ευκαιριών ή το κόστος του κεφαλαίου. Τέτοιες μελέτες έχουν βασιστεί στις αποκλίσεις από τα νεοκλασσικά υποδείγματα επένδυσης με τις τέλειες αγορές κεφαλαιαου στην κατεύθυνση των υποδειγμάτων βασισμένων στις ασυμμετρικές πληροφορίες στις χρηματαγορές. Αυτές οι αποκλίσεις στηρίζονται στην γνώση των θεωρητικών υποδειγμάτων του χρηματοοικονομικού συμβολαίου υπό συνθήκες ασυμμετριών στην πληροφόρηση χρησιμοποιώντας την δυσμενή επιλογή ή/και τον ηθικό κίνδυνο, στα οποία οι μετακινήσεις στα εσωτερικά κεφάλαια προβλέπουν μετακινήσεις στα έξοδα επένδυσης, κρατώντας σταθερές ευκαιρίες επένδυσης. Ο σκοπός αυτής της διατριβής είναι να διαμορφωθεί ο αντίκτυπος του χρηματοοικονομικού περιορισμού στις αποφάσεις επένδυσης των εταιρειών στην Ελλάδα και στην Ευρώπη. Η διατριβή εφαρμόζει ένα δυναμικό υπόδειγμα επένδυσης, όπου οι χρηματοοικονομικές μεταβλητές και η πραγματική επένδυση συνδέονται σε μία προσπάθεια να ερευνηθεί το πρόβλημα της ατέλειας στις κεφαλαιαγορές. Ένα περαιτέρω βήμα προς τα εμπρός είναι να ερευνηθούν οι πιθανές ασυμμετρίες στις αποφάσεις επένδυσης σχετικά με την κατάσταση των προσδοκιών των επιχειρηματιών που δίνει έμφαση στο ρόλο του επιχειρηματικού κύκλου. Προκειμένου να παρασχεθεί μια πλήρης εικόνα του προβλήματος των αποφάσεων επένδυσης, εκτός από το κεφάλαιο, εισάγουμε τον όρο της ζήτησης εργασίας. Ειδικότερα, μελετάμε την πιθανή επίδραση στη ζήτηση εργασίας των ατελειών της αγοράς κεφαλαίου, τις θεσμικές ακαμψίες της αγοράς εργασίας υπό την μορφή της δύναμης των ενώσεων, και τον αντίκτυπο της αβεβαιότητας. Υιοθετούμε μια δυναμική μεθοδολογία χρονικώς επαναλαμβανομένων διαστρωματικών στοιχείων (panel data) χρησιμοποιώντας την μέθοδο των εκτιμητών των Γενικευμένων Ροπών-Generalised Method of Moments- (GMM) σε ένα σύνολο στοιχείων εισηγμένων Ελληνικών επιχειρήσεων κατά τη διάρκεια της περιόδου 1993-2001. Επιπλέον, εξετάζουμε ένα σύνολο στοιχείων σε κλαδικό επίπεδο για τις περισσότερες από τις ηπειρωτικές ευρωπαϊκές χώρες για την περίοδο από το 1987 εώς το 2003. / Recent research on determinants of firm-level fixed investment has stressed the importance of proxies for firms’ internal finance as explanatory variables, holding constant measures of firm opportunities or the cost of capital. Such studies have been based on departures from neoclassical investment models with perfect capital markets in the direction of models based on asymmetric information in financial markets. These departures build on insights from theoretical models of financial contracting under asymmetric information, using adverse selection and/or moral hazard examples, in which movements in internal funds predict movements in investment spending, holding constant investment opportunities. The purpose of this thesis is to model the impact of financial distress on the investment decisions of firms in Greece and in Europe. To do so, the thesis builds a dynamic investment model, where financial variables and real investment are linked in an attempt to explore the problem of imperfection in capital markets. A further step forward is to investigate potential asymmetries in agents’ investment decisions relative to the state of expectation highlighting the role of business cycle. In order to provide a full picture of the investment decision problem, apart from capital, we introduce the term of labour demand. In particular, we explore the potential effect on labour demand of capital market imperfections, labour market institutional rigidities in the form of union power, and the impact of uncertainty. We employ a dynamic panel data methodology, a GMM estimation technique, is used on a panel data set of Greek firms over the 1993-2001 period. In addition, a panel data set on a sectoral level for most of the continental European countries is also exploited for the period from 1987 to 2003.

This thesis studies how firms’ investment and credit are affected by different financial imperfections related to firm and bank learning, relationship lending and financial wealth. After reviewing in chapter 2 the related literature, in chapter 3 I investigate the main determinants of different types of financial constraints, such as credit rationing and excessive cost of debt, by constructing new measures of these problems based on qualitative data. I then develop in chapter 4 a model of firm investment with financial constraints and Bayesian learning that provides a new framework to analyze the problem of asymmetric learning between a bank and a firm and its effect on a firm’s investment decision. This model is used to investigate, theoretically and empirically, the relationship between firms’ investment and internal funds in the presence of limited information, learning and bankruptcy costs, providing new arguments to support a ushaped curve theory of investment and internal funds. Finally, in chapter 5 this model is used to analyze how relationship lending affects the evolution of interest rates during the life cycle of firms. / Esta tesis estudia cómo la inversión y el crédito están afectados por diferentes imperfecciones financieras relacionadas con el aprendizaje, las relaciones de crédito y la riqueza financiera. Luego de revisar la literatura relacionada, en el Capítulo 3 se investiga los principales determinantes de distintas restricciones financieras relacionadas con el acceso y las condiciones del crédito, mediante la construcción de nuevos indicadores de estos problemas. Luego, en el Capítulo 4 se desarrolla un modelo de inversión con restricciones financieras y aprendizaje Bayesiano que provee un nuevo marco para analizar el problema del aprendizaje asimétrico entre un banco y una firma y su efecto en las decisiones de inversión de esta última. Dicho modelo es utilizado para investigar de forma teórica y empírica la relación entre la inversión y los recursos propios en la presencia de información asimétrica, aprendizaje y costes de quiebra, obteniendo nuevos argumentos para apoyar la teoría de una relación en forma de U entre la inversión y los recursos propios. Finalmente, en el Capítulo 5 se estudia como una relación de crédito afecta la evolución de los tipos de interés durante el ciclo de vida de las firmas.

Made available in DSpace on 2010-04-20T20:48:27Z (GMT). No. of bitstreams: 3 86627.PDF.jpg: 24656 bytes, checksum: 64d2275af3770d23e7062f9fedb68c40 (MD5) 86627.PDF: 1108037 bytes, checksum: 6d0b49ce06a0e7455cd5e14e98f365ab (MD5) 86627.PDF.txt: 395821 bytes, checksum: 5f7a71a525c45e2f184d856fe24db86d (MD5) Previous issue date: 2003-06-11T00:00:00Z / The fixed investments decisions of firms operating in capital markets facing imperfections are sensitive to the availability of internal funds (investment-cashflow sensitivity), rather than just depending on the availability of projects with positive net present values. This occurs since, in these environments, the cost of external capital exceeds that of internal funds (this cost difference is called financial constraints). This study describes the main concepts, the intuition of some models and shows the current debate regarding the topic – the studies diverge regarding the influence of financial constraints in the investment-cashflow sensitivity. The relationship of financial constraints and investment-cashflow sensitivity is examined empirically with Brazilian firm-level data for the period 1992 to 2001 using CLEARY’s methodology. A new measure of total investments is proposed. The main result obtained with this sample, and considering the total investment model, is that investment decisions of firms with less financial constraints are sensitive to the availability of internal funds, but firms with higher financial constraints are not. This may be explained by the fact that these firms face financial distress problems and are in a situation where only the absolutely essential investments are taken. / Em ambientes de mercados de capitais imperfeitos, as decisões de investimento das empresas em ativo fixo são sensíveis à disponibilidade de recursos internos (a chamada sensibilidade investimento fluxo de caixa), em vez de somente depender da disponibilidade de projetos com valor presente líquido positivo. Isso ocorre porque os recursos internos apresentam menor custo em relação aos recursos externos (chama-se esse diferencial de custo de restrições financeiras). Este estudo expõe os principais conceitos, a base intuitiva de alguns modelos e o debate que atualmente ocorre na literatura com relação ao tema: os resultados empíricos apresentam divergências quanto à influência das restrições financeiras na sensibilidade do investimento a variações da disponibilidade de recursos internos (fluxo de caixa). Utilizando a metodologia de CLEARY (1999), ainda não testada no Brasil, este trabalho investiga empiricamente a relação entre restrições financeiras e a sensibilidade investimento fluxo de caixa das empresas no Brasil no período de 1992 a 2001, introduzindo uma nova medida para o investimento total. A principal conclusão com a amostra deste estudo, considerando os modelos de investimento total, é a de que as empresas com menores restrições financeiras apresentam sensibilidade investimento fluxo de caixa, mas nas empresas com maiores restrições o mesmo não ocorre. Uma possível explicação para isso é que tais empresas apresentam fortes problemas financeiros e possivelmente estejam em uma situação em que apenas os investimentos absolutamente essenciais continuem sendo feitos.