This paper studies the relation between the optimal capital structure and industry dynamic. First,we formulate a dynamic adjustment model. We specify and estimate the unobservable optimal capital structure using observable determinants Secondly,we apply dynamic factor demand model that assumes each firm derives an optimal plan such that the expected present value of current and future cost streams is minimized. In variables setting, capital inputs are divided into debt capital and equity capital. The empirical work is based on firm level data of Taiwan high-technology industries during 2003 ~2007. The empirical results show that (1) The capital structure of high- technology is adjusted dynamaic.(2) The contribution of debt on high-technology industries is negative.

This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance. The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm's capital structure by incorporating both the industry demand and firm-level supply factors into the firm's earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms' quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are. The second essay presents a contingent claim valuation of a callable convertible bond with the issuer's credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer's debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational. The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option's maturity, but also considers the correlations among the option issuer's total asset, the underlying stock, and the default-free zero coupon bond. We further tailor-make a specific credit-linked option for hedging the default risk of the option issuer. The numerical results show that the default risk of the option issuer significantly reduces the option values, and the vulnerable option values may be remarkably overestimated in the case where the default can occur only at the maturity of the option.

This volume consists of four papers, which in principle could be read in any order. The common denominator is that they deal with contingent claims models of a firm's securities or related derivatives. A Framework for Valuing Corporate Securities Early applications of contingent claims analysis to the pricing of corporate liabilities tend to restrict themselves to situations where debt is perpetual or where financial distress can only occur at debt maturity. This paper relaxes these restrictions and provides an exposition of how most corporate liabilities can be valued as packages of two fundamental barrier contingent claims: a down-and-out call and a binary option. Furthermore, it is shown how the comparative statics of the resulting pricing formulae can be derived.A New Compound Option Pricing ModelThis paper extends the Geske (1979) compound option pricing model to the case where the security on which the option is written is a down-and-out call as opposed to a standard Black and Scholes call. Furthermore, we develop a general and flexible framework for valuing options on more complex packages of contingent claims - any claim that can be valued using the ideas in chapter 1. This allows us to study the interaction between the detailed characteristics of a firm's capital structure and the prices of for example stock options.Implementing Firm Value Based ModelsThis paper evaluates an implementation procedure for contingent claims models suggested by Duan (1994). Duan's idea is to use time series data of traded securities such as shares of common stock in order to estimate the dynamics of the firm's asset value. Furthermore, we provide an argument which allows us to relax the (common) assumption that the firm's assets may be continuously traded. It is sufficient to assume that the firm's assets are traded at one particular point in time.Asset Substitution, Debt Pricing, Optimal Leverage and MaturityChapters 1-3 have focused on the problem of pricing corporate securities.They have thus abstracted strategic aspects of corporate finance theory. This paper is an attempt to combine the contingent claims literature with the non-dynamic corporate finance literature. I allow the management of the firm to alter its investment policy strategically. This yields a model which allows us to examine the relationship between bond prices, agency costs, optimal leverage and maturity. / Diss. Stockholm : Handelshögsk.

Presentació d'un nou model de "Trade-Off" d'estructura òptima de capital d'una empresa. La innovació consisteix a incloure una simplificació de la fórmula de distància a la fallida de Merton (1974) realitzada per Bystrom (2006), per a determinar la taxa d'interès de l'empresa. D'aquest mode s'inclou un efecte dinàmic del palanquejament sobre la taxa d'interès, la qual cosa afecta el cost del deute i la taxa de descompte utilitzada i que s'expressa com un increment o disminució de la probabilitat de fallida de l'empresa. A l'unir aquest resultat a la pèrdua i valor de bons "ferralla" (publicat per Altman & Suresh, 2007), s'obté l'actual valor net del cost de fallida que es manifesta com a percentatge del valor del deute. El model desenvolupat s'ha aplicat a les empreses que van integrar al 2007 el DJIA, que calcula nivells estimats de deute per a aquestes empreses entre l'any 1996 i l'any 2006. Posteriorment, el deute estimat s'acara amb el deute real de l'empresa amb l'ús de la prova estadística de Mann-Whitney. Els resultats obtinguts indiquen que el 63% de les companyies comparades no mostren una diferència estadísticament significativa entre el deute estimat i el real. / Presentamos un nuevo modelo de “Trade-Off” de estructura óptima de capital de una empresa. La innovación consiste en incluir una simplificación de la fórmula de distancia a la quiebra de Merton (1974) realizada por Bystrom (2006), para determinar la tasa de interés de la empresa. Así incluimos un efecto dinámico del apalancamiento sobre la tasa de interés, el cual afecta al coste de la deuda y a la tasa de descuento utilizada expresándose como un incremento o disminución de la probabilidad de quiebra de la empresa. Al unir este resultado a la perdida e valor de bonos “chatarra” (publicado por Altman & Suresh, 2007), obtenemos el valor presente neto del coste de quiebra expresado como porcentaje del valor de la deuda. El modelo desarrollado es aplicado a las empresas que integraron en el 2007 el DJIA, calculando niveles estimados de deuda para dichas empresas entre el año 1996 y el año 2006. La deuda estimada es luego comparada con la deuda real de la empresa utilizando la prueba estadística de Mann-Whitney. Los resultados obtenidos indican que el 63% de las compañías comparadas no muestran una diferencia estadísticamente significativa entre la deuda estimada y la real. / We introduce a new Trade-Off model of capital structure. the innovation introduced is a simplification of Merton's (1974) distance to bankruptcy done by Bystrom(2006), to calculate the company's interest rate. Thus we include a dynamic effect of leverage on the interest rate, which affects both the cost of debt and de discount rate of the model. when we add this to the discounted value of distressed bonds (published by Altman & Suresh, 2007), we get the net present value of the cost of bankruptcy as a percentage of the value of the debt. We applied the model to the companies in the DJIA in 2007, calculating estimated debt levels for each company between the years of 1996 and 2006. the estimated debt was then compared with the actual debt using the Mann-Whitney statistical test. The results indicated that, on 63% of the compared companies, there is no statistically significant difference between the estimated debt and the actual debt.

<p>The costs and constraints to financing, and the factors that influence them, play critical roles in the determination of corporate capital structures.</p> <p>Chapter 1 estimates firm-specific marginal cost of debt functions for a large panel of companies between 1980 and 2007. The marginal cost curves are identified by exogenous variation in the marginal tax benefits of debt. The location of a given company's cost of debt function varies with characteristics such as asset collateral, size, book-to-market, intangible assets, cash flows, and whether the firm pays dividends. Quantifying, the total cost of debt is on average 7.9% of asset value at observed levels, reaching as high as 17.8%. Expected default costs constitute approximately half of the total ex ante cost of debt.</p> <p>Chapter 2 uses the intersection between marginal cost of debt functions and marginal benefit of debt functions to examine optimal capital structure. By integrating the area between benefit and cost functions, net benefit of debt at equilibrium levels of leverage is calculated to be 3.5% of asset value, resulting from an estimated gross benefit of debt of 10.4% of asset value and an estimated cost of debt of 6.9%. Furthermore, the cost of being overlevered is asymmetrically higher than the cost of being underlevered. Case studies of several firms reveal that, for some firms, the cost of being suboptimally levered is small while, for other firms, this cost is large, suggesting firms face differing sensitivities to the capital structure choice.</p> <p>Finally, Chapter 3 examines the role of financing constraints on intertemporal capital structure choices of the firm via a structural model of capital investment. In the model, firms maximize value by choosing the amount of capital to invest and the amount of debt to issue. Firms face a dividend non-negativity constraint that restricts them from issuing equity and a debt capacity constraint that restricts them from issuing non-secured debt. The Lagrange multipliers on the two constraints capture the shadow values of being constrained from equity and debt financing, respectively. The two financing constraint measures are parameterized using firm characteristics and are estimated using GMM. The results indicate that these measures capture observed corporate financing behaviors and describe financially constrained firms. Finally, between the two financing constraints, the limiting constraint is the debt restriction, suggesting that firms care about preserving financial slack.</p> / Dissertation

This paper examines the impact of credit rating migration in determining optimal capital structure. The models we propose capture empirical behavior in two ways; the behavior of linking firm¡¦s rating to the promised coupons and the behavior of targeting minimum rating. We find that as long as the rating at issuing time is not too low, tax shields of the rating-linked coupon debt are larger than those of standard debt with the same par, and hence, optimal leverage usage of the firm with the rating- linked coupon scheme is greater. Further, we also show that the behavior of targeting a minimum rating causes mean-reverting leverage dynamics. Managers are appeared to make over-repurchase choices for adjusting the current rating back to the initial target following a downgrade from target minimum rating.

Η ερευνά μας είναι οργανωμένη γύρο από ένα απλό πλαίσιο που περιέχει τέσσερα βασικά συστατικά: Το πρώτο συστατικό διερευνά τις επικρατέστερες θεωρίες της κεφαλαιακής διάρθρωσης. Το δεύτερο είναι ότι σε οποιαδήποτε δεδομένη στιγμή τα οφέλη και τα κόστη που υπάρχουν συνδέονται με διάφορες επιλογές χρηματοδότηση, καθώς και οι συμβιβασμοί αυτών των οφελών και του κόστους οδηγούν της επιχειρήσεις σε ξεκάθαρους στόχους αναλογίας χρέους. Το τρίτο έχει να κάνει με την ύπαρξη των διαταραχών που αναγκάζουν τις επιχειρήσεις να αποκλίνουν, έστω και προσωρινά, από τους στόχους τους. Τέλος, το τέταρτο διερευνά την παρουσία των παραγόντων που εμποδίζουν την επιχείρηση να προβεί άμεσα σε διαρθρωτικές αλλαγές του κεφαλαίου της, αντισταθμίζοντας την επίδραση των διαταραχών που την μετακινεί μακριά από τους στόχους της. Ξεκινάμε την ερευνά μας αναλύοντας το πρώτο συστατικό, τις επικρατέστερες θεωρίες της κεφαλαιακής διάρθρωσης, συνεχίζουμε με μια ομάδα από μελέτες που ασχολούνται και αναλύουν το δεύτερο συστατικό, το κόστος και τα οφέλη μιας επιχείρησης από την κεφαλαιακή διάρθρωση. Αυτά μπορεί να περιλαμβάνουν το φορολογικό όφελος του χρέους, τα επαχθή έξοδα της εκκαθάρισης ή αναδιοργάνωσης, την οικονομική δυσπραγία, και ούτω καθεξής. Η μελέτες που παραθέτουμε είναι κατά κύριο λόγο αληθινά αντιπροσωπευτικά δείγματα, και απευθύνονται στο μέγεθος των χαρακτηριστικών της επιχείρησης. Μια παραδοχή αυτών των σύγχρονων μελετών είναι ότι οι παρατηρούμενες αναλογίες χρέους είναι σχετικά κοντά στους πραγματικούς στόχους της επιχείρησης. Το επίκεντρο της τρίτης ομάδας των μελετών μας κυμαίνεται γύρω από τις διαταραχές που μπορεί να προκαλέσουν σε μια επιχείρηση υπέρ-ή-υπό μόχλευση, σε σχέση με τον στόχο της. Οι διαταραχές αυτές μπορεί να περιλαμβάνουν τις ευκαιρίες του ¨χρονοδιαγράμματος της αγοράς¨ (περιόδους όπου η χρηματοδότηση των κεφαλαίων είναι προσωρινά φθηνή), περιόδους υψηλής κερδοφορίας που επιτρέπουν στην επιχείρηση να συσσωρεύει παθητικά τα αποθεματικά της μετρητά, ή περιόδους ταχείας βελτίωσης των προοπτικών της επιχείρησης, που αλλάζουν ουσιαστικά την αξία των ιδίων κεφαλαίων της. Συζητάμε κάθε μία από αυτές τις εναλλακτικές λύσεις με λεπτομέρεια, εξερευνώντας επιπτώσεις του αντιπροσωπευτικού δείγματος και των χρονοσειρών τέτοιων διαταραχών. Στη συνέχεια, θα προχωρήσουμε στο τελικό στάδιο - τον εντοπισμό των παραγόντων που μπορεί να αποτρέψουν τις επιχειρήσεις από τη συνεχή διατήρηση των δεικτών χρέους που ταιριάζουν στους στόχους τους. Για την αντιμετώπιση αυτού του ζητήματος θα ερευνήσουμε τα εμπειρικά αποδεικτικά στοιχεία σχετικά με τις αλλαγές της κεφαλαιακής διάρθρωσης. Στη συνέχεια θα στραφούμε στα μοντέλα ¨ταχύτητας προσαρμογής¨ που εξετάζουν πόσο γρήγορα οι επιχειρήσεις θα στραφούν προς τους στόχους τους. Τέλος, θα ασχοληθούμε με την ¨ιεραρχική συμπεριφορά¨ η οποία αποτελεί το αντικείμενο της επόμενης ομάδας μελετών μας. Σύμφωνα με την ιεραρχία που περιγράφεται από τους Myers (1984) και Mailuf (1984), λόγω των ασυμμετριών στην πληροφόρηση, η χρηματοδότηση των επενδύσεων γίνεται πρώτα από τα αδιανέμητα κέρδη που ακολουθούνται από τα έσοδα του χρέους. Η ανασκόπηση μας οργανώνεται ως εξής: Στο πρώτο, κεφάλαιο αναλύουμε το πρόβλημα που αντιμετωπίζουν οι ελληνικές επιχειρήσεις για την εύρεση επενδυτικών πηγών, καθώς και την έννοια της άριστης κεφαλαιακής διάρθρωσης. Στη συνέχεια στο δεύτερο κεφάλαιο, αναφέρουμε τις επικρατέστερες θεωρίες της κεφαλαιακής διάρθρωσης, καθώς και παραδείγματα και προτάσεις. Στο τρίτο κεφάλαιο, θα αρχίσουμε την επισκόπηση μας με τους καθοριστικούς παράγοντες της κεφαλαιακής διάρθρωσης, εστιάζοντας κυρίως στο κόστος και τα οφέλη συμπεριλαμβανομένων των διευθυντικών στελεχών της επιχείρησης καθώς και των προμηθευτών του κεφαλαίου. Στο τέταρτο κεφάλαιο, θα διερευνήσουμε τους παράγοντες που αποτρέπουν τις επιχειρήσεις μακριά από τους στόχους μόχλευσης της. Τέλος στο πέμπτο κεφάλαιο, θα αναλύσουμε τους λόγους για τους οποίους οι επιχειρήσεις δεν θα ανακαλέσουν άμεσα την επίδραση των διαταραχών της μόχλευσης, επιτρέποντας προφανώς αποκλίσεις από τους στόχους τους. / The present thesis aims at analysing and identifying the factors influencing business leverage and the determination of the variation ratios of enterprises by the debt targets.

Esta tese é composta por três ensaios que analisam a estrutura ótima de capital em setores de infraestrutura regulados. O primeiro ensaio, uma revisão da literatura, sistematiza diversos artigos que tratam de possíveis efeitos decorrentes de um ambiente economicamente regulado sobre a definição da estrutura ótima de capital. Estes artigos indicam que a relação estratégica existente entre entes reguladores e firmas reguladas afeta a decisão destas com relação à sua estrutura ótima de capital. O segundo ensaio tem por objetivo analisar esta questão de forma empírica, pela ótica dos entes reguladores. Para isso, primeiramente se levanta os procedimentos usualmente praticados pelas agências reguladoras nacionais na definição regulatória da estrutura ótima de capital, buscando-se avaliar se as mesmas atentam aos efeitos esperados do ambiente regulado sobre as decisões das firmas com relação às suas estruturas ótimas. Este levantamento demonstra que, até o momento, esta não tem sido uma preocupação dos órgãos reguladores nacionais. Ainda neste segundo ensaio, realiza-se, a partir de informações econômico-financeiras de firmas reguladas e não reguladas, uma análise em painel para verificar se o ambiente regulado, conforme indica a literatura, realmente afeta a estrutura ótima das firmas reguladas. Finalmente, o terceiro ensaio, também empírico, analisa a composição do endividamento das firmas reguladas e realiza duas verificações: (a) se as variáveis explicativas que a literatura indica como determinantes para a definição da quantidade de dívida apresentam intensidades diferentes por tipo de fonte (financiamentos bancários tradicionais ou debêntures); e (b) se, para cada tipo de fonte, os determinantes apresentam intensidades diferentes entre empresas reguladas e não reguladas. / This thesis consists of three essays on the optimal capital structure in infrastructure sectors that are subjected to economic regulation. The first essay, a literature review, organizes different articles that analyze the effects of an economically regulated environment over the optimal capital structure. These articles demonstrate that the existent strategic relation between regulators and regulated firms affects the firms\' decision in regard to its optimal capital structure. The second essay aims to an empirical test, from the point of view of regulators. First, the usual procedures adopted by the Brazilian regulators for measuring the optimal capital structure are systematized, showing that the potential effects of the regulated environment over the optimal capital structure have not so far been addressed by them. After that, a quantitative analysis is carried out, seeking to measure if a regulated environment really affects the optimal capital structure - the database consists of Brazilian regulated and unregulated firms, using a panel approach. Finally, the third essay, also empirical, breaks down the debt (long term loans and bonds) of firms and performs two analyses: (i) do different kinds of debt have different determinants?; and (ii) for each kind of debt, are there different determinants between regulated and unregulated firms?

Esta tese é composta por três ensaios que analisam a estrutura ótima de capital em setores de infraestrutura regulados. O primeiro ensaio, uma revisão da literatura, sistematiza diversos artigos que tratam de possíveis efeitos decorrentes de um ambiente economicamente regulado sobre a definição da estrutura ótima de capital. Estes artigos indicam que a relação estratégica existente entre entes reguladores e firmas reguladas afeta a decisão destas com relação à sua estrutura ótima de capital. O segundo ensaio tem por objetivo analisar esta questão de forma empírica, pela ótica dos entes reguladores. Para isso, primeiramente se levanta os procedimentos usualmente praticados pelas agências reguladoras nacionais na definição regulatória da estrutura ótima de capital, buscando-se avaliar se as mesmas atentam aos efeitos esperados do ambiente regulado sobre as decisões das firmas com relação às suas estruturas ótimas. Este levantamento demonstra que, até o momento, esta não tem sido uma preocupação dos órgãos reguladores nacionais. Ainda neste segundo ensaio, realiza-se, a partir de informações econômico-financeiras de firmas reguladas e não reguladas, uma análise em painel para verificar se o ambiente regulado, conforme indica a literatura, realmente afeta a estrutura ótima das firmas reguladas. Finalmente, o terceiro ensaio, também empírico, analisa a composição do endividamento das firmas reguladas e realiza duas verificações: (a) se as variáveis explicativas que a literatura indica como determinantes para a definição da quantidade de dívida apresentam intensidades diferentes por tipo de fonte (financiamentos bancários tradicionais ou debêntures); e (b) se, para cada tipo de fonte, os determinantes apresentam intensidades diferentes entre empresas reguladas e não reguladas. / This thesis consists of three essays on the optimal capital structure in infrastructure sectors that are subjected to economic regulation. The first essay, a literature review, organizes different articles that analyze the effects of an economically regulated environment over the optimal capital structure. These articles demonstrate that the existent strategic relation between regulators and regulated firms affects the firms\' decision in regard to its optimal capital structure. The second essay aims to an empirical test, from the point of view of regulators. First, the usual procedures adopted by the Brazilian regulators for measuring the optimal capital structure are systematized, showing that the potential effects of the regulated environment over the optimal capital structure have not so far been addressed by them. After that, a quantitative analysis is carried out, seeking to measure if a regulated environment really affects the optimal capital structure - the database consists of Brazilian regulated and unregulated firms, using a panel approach. Finally, the third essay, also empirical, breaks down the debt (long term loans and bonds) of firms and performs two analyses: (i) do different kinds of debt have different determinants?; and (ii) for each kind of debt, are there different determinants between regulated and unregulated firms?

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