Author: Charl KengchonPublisher:
ISBN:
Category :
Languages : en
Pages : 334
Book Description
Three Essays on Financial Relationships in Credit Markets with Adverse Selection
Author: Charl KengchonEssays on Investment and Adverse Selection
Author: Shaojin LiPublisher:
ISBN:
Category :
Languages : en
Pages : 266
Book Description
Relative used capital price, the measure of irreversibility, is fixed in almost all the investment literature. This dissertation introduces investment models with state-dependent irreversibility and tests whether these models outperform fixed irreversibility cases, at both the macro and micro levels. Since there is currently no historical data available on the issue of used capital prices, the first chapter uses an indirect inference procedure to estimate the cyclical property of irreversibility at the micro-level. In the second chapter, I propose a dynamic investment model with endogenous irreversibility arising from the lemons problem in the used capital market and examine the cyclical implication of irreversibility. Data evidence shows that capital reallocation, or used capital expenditure, is pro-cyclical. In a general equilibrium framework, the third chapter reveals that the investment model with state-dependent irreversibility explains this phenomenon while the model with fixed irreversibility does not.
Essays on Learning and Investor Behavior
Author: Juhani LinnainmaaPublisher:
ISBN:
Category : Day trading (Securities)
Languages : en
Pages : 350
Book Description
Three Essays on Private Market Interactions
Author: Jonathan Alexander DaiglePublisher:
ISBN:
Category :
Languages : en
Pages : 322
Book Description
he first study addresses why insurers, whom traditionally invest in relatively safe assets, choose to invest in private equity (PE). Using insurer financial disclosures, we test theories relating how risk shifting, managerial discretion, underinvestment, asset liability matching, regulation, home bias, and reaching for yield affect PE investment. Results indicate risk¬ shifting and managerial discretion by stock insurers does not factor into the PE investment decision. In addition, results confirm home bias positively influences PE investment while underinvestment, asset liability matching, and regulation deter PE investment. Finally, insurers have not increased their PE allocation due to low-yield interest rate environments. The second study directly tests the economies of scope hypothesis of Gao, Ritter, and Zhu (2013) using the data envelopment analysis (DEA) methodology of Demerjian et al. (2012, 2013). I find private firms with less than $50 million in sales are more likely to be acquired than to offer an IPO when their industry has high economies of scope. I do not find evidence that 3-year buy-and-hold returns for IPOs are associated with economies of scope levels. I also find economies of scope are negatively related to firms adopting a dual tracking strategy, but does not explain sell-out premiums for acquired private firms. The third study examines whether private IPOs (PIPOs) decrease information asymmetry in firms that eventually engage in an IPO. Theoretically, PIPOs can mitigate problems of adverse selection and moral hazard because private investments can signal undervaluation and potentially provide more effective monitoring. Consequently, firms with larger, more recent, and frequent PIPOs should experience less underpricing and post IPO volatility relative to other IPOs due to increased monitoring, lower signal attenuation, and positive feedback with existing investor buy ins, respectively. Results indicate the percentage of PIPO investment compared to total equity at IPO is negatively associated with underpricing, thus suggesting PIPOs decrease information asymmetry. However, the longer the amount of time between the last PIPO and the IPO and the total number of PIPOs are positively related to underpricing.
Two Essays on Corporate Decisions, Liquidity and Investment Efficiencies
Author: Xiaoyun YuEssays on Information Diffusion and Adverse Selection
Author: Stephen Robert RushManaging International Risk
Author: Richard J. HerringPublisher: Cambridge University Press
ISBN: 9780521311212
Category : Business & Economics
Languages : en
Pages : 290
Book Description
Issues addressed include the prospects for foreign exchange crises, trade wars, international banking crises, and oil shortages.
Essays in Financial Economics
Author: Rita BiswasPublisher: Emerald Group Publishing
ISBN: 1789733898
Category : Business & Economics
Languages : en
Pages : 168
Book Description
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Essays in Financial Economics
Author: Rita BiswasPublisher: Emerald Group Publishing
ISBN: 178973391X
Category : Business & Economics
Languages : en
Pages : 190
Book Description
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Essays in Corporate Finance
Author: Pavel ZryumovPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This thesis studies the investment and financing decisions of firms in dynamic markets with asymmetric information. In the first chapter I analyze the effects of time-varying market conditions and endogenous entry on the equilibrium dynamics of markets plagued by adverse selection. I show that variation in gains from trade, stemming from market conditions, creates an option value and distorts liquidity when gains from trade are low. An improvement in market conditions triggers a wave of high-quality deals due to the preceding illiquidity and lack of incentives to signal quality. When gains from trade are high, the market is fully liquid; high prices and no delay in trade attract low-grade assets, and the average quality deteriorates. My analysis also reveals that illiquidity can act as a remedy as well as a cause of inefficiency: partial illiquidity allows for screening of assets and restores efficient entry incentives. I demonstrate model implications using several applications: early stage financing, initial public offerings, and private equity buyouts. Chapter 2, which is a joint work with Ilya Strebulaev and Haoxiang Zhu, reexamines the classic yet static information asymmetry model of Myers and Majluf (1984) in a fully dynamic market. A firm has access to an investment project and can finance it by debt or equity. The market learns the quality of the firm over time by observing cash flows generated by the firm's assets in place. In the dynamic equilibrium, the firm optimally delays investment, but investment eventually takes place. In a ``two-threshold'' equilibrium, a high-quality firm invests only if the market's belief goes above an optimal upper threshold, while a low-quality firm invests if the market's belief goes above the upper threshold or below a lower threshold. However, a different ``four-threshold'' equilibrium can emerge if cash flows are sufficiently volatile. Relatively risky growth options are optimally financed with equity, whereas relatively safe projects are financed with debt, in line with stylized facts. Finally, Chapter 3, which is based on an ongoing work with Ilya Strebulaev and Haoxiang Zhu, extends the analysis of Chapter 2 by allowing cash accumulation within the firm. We consider a firm whose managers possess superior information about the firm's value relative to the rest of the market and analyze the optimal timing of equity issuance. We show that equilibrium features socially inefficient, but privately optimal, delay of investment and equity financing of positive NPV projects. Waiting allows high quality firms to accumulate internal cash and increase investors' beliefs, therefore, reducing the cost of adverse selection. In the dynamic equilibrium low quality firms delay investment as well in hope of being mistaken for the high quality ones. However, when market beliefs are sufficiently low and/or internally accumulated level of cash is sufficiently high the low quality firm prefers to reveal itself.