Author: Adham ChehabPublisher:
ISBN:
Category :
Languages : en
Pages : 266
Book Description
Essays on the Determinants of Capital Structure
Author: Adham ChehabEssays on Capital Structure Determinants and Economic Policy Uncertainty
Author: Robert HeigermoserPublisher:
ISBN: 9783750266117
Category :
Languages : en
Pages :
Book Description
Essays on the Determinants of Capital Structure
Author: Adham ChehabPublisher:
ISBN:
Category : Capital
Languages : en
Pages : 133
Book Description
Three Essays on Empirical Finance
Author: Yongxian TanPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 113
Book Description
Essays of Capital Structure, Risk Management, and Options on Index Futures
Author: Tzu TaiPublisher:
ISBN:
Category : Capital
Languages : en
Pages : 188
Book Description
This dissertation includes the following three essays involved in the joint determination of capital structure and stock rate of return, fair deposit insurance premium estimation, and the prediction of implied volatility of options on index futures. The first essay identifies the joint determinants of capital structure and stock returns by using three alternative approaches to deal with the measurement error-in-variable problem. The main contribution of this essay is the comprehensive confirmation on theories in corporate finance. The empirical results from the structural equation modeling (SEM) with confirmatory factor analysis (CFA) show that stock returns, asset structure, growth, industry classification, uniqueness, volatility and financial rating, profitability, government financial policy, and managerial entrenchment are main factors of capital structure in either market- or book- value basis. Finally, the results in robustness test by using the Multiple Indicators and Multiple Causes (MIMIC) model and the two-stage, least square (2SLS) method show the necessity and importance of latent attributes to describe the trade-off between the financial distress and agency costs in capital structure choice. In the second essay, we use the structural model in terms of the Stair Tree model and barrier option to evaluate the fair deposit insurance premium in accordance with the constraints of the deposit insurance contracts and the consideration of bankruptcy costs. The simulation results suggest that insurers should adopt a forbearance policy instead of a strict policy for closure regulation to avoid losses from bankruptcy costs. An appropriate deposit insurance premium can alleviate potential moral hazard problems caused by a forbearance policy. In the third essay, we use two alternative approaches, time-series and cross-sectional analysis and constant elasticity of variance (CEV) model, to give different perspective of forecasting implied volatility. We use call options on the S & P 500 index futures expired within 2010 to 2013 to do the empirical work. The abnormal returns in our trading strategy indicate the market of options on index futures may be inefficient. The CEV model performs better than Black model because it can generalize implied volatility surface as a function of asset price.
Three Essays on Empirical Capital Structure Research
Author: David FlorysiakThree Essays on Capital Structures Determinants
Author: Hosein MalekiPublisher:
ISBN:
Category :
Languages : en
Pages : 175
Book Description
The first essay studies the influence of credit ratings on the time-series evolution of corporate capital structures. We show that better rated firms have significantly more stable leverage ratios over time. By comparing firms across the investment-grade cut-off, we conclude using treatment effects estimation, that assignment to more stable rating classes leads to more stable capital structures over time. Extending this study across the whole range of ratings, we show that a one standard deviation improvement in credit-rating quality can reduce the leverage hazard ratio by more than 70%. In alternative investigations, rated firms tend to have largely more stable leverage ratios compared to not-rated firms. Matching firms based on their propensity to have credit ratings, rated firms take between 1.5 and 9 years longer to change their leverage ratios to the same levels as their not-rated counterparts. Our results are robust to the choice of different time frames and variety of controls. They extend the literature of the effects of credit ratings on capital structures by highlighting the importance of credit ratings on the long-run financing behaviors of firms. The second essay studies the stability of various debt-structure dimensions. Survival and long-run clustering analyses are used to assess the stability of debt-rank orderings, debt heterogeneity and main debt type(s). Firms only maintain stability in their main debt type, while frequently changing the weights and priorities of other debt types, heterogeneity indexes and rank orderings. While all debt structure metrics are less stable with the assignment of a credit rating, the effect on the stability of the main debt type is minor. Firms with higher tax rates, market leverages and cash flow volatilities exhibit higher stability in their debt structures. The final essay investigates how the optimal corporate debt maturity is influenced by the strength of creditor rights and the efficiencies of contract enforcement mechanisms. Using a correlated random effects specification, we find that across 42 countries stronger creditor rights are associated with shorter corporate debt maturities while greater contract enforcement leads to longer maturities. These empirical results are consistent with the differing effects of creditor rights and contract enforcement on the choice of corporate maturity predicted by our model. Our results are robust to using different measures of debt maturity, individual components of creditor rights and different measures of contract enforcement. Our results are mostly driven by developed country debt and hold with the inclusion of various controls.
Three essays on capital structure
Author: Guangzhong LiThree Essays on Real Consequences of Capital Structure
Author: Gordon HankaPublisher:
ISBN:
Category : Corporate governance
Languages : en
Pages : 280
Book Description
Author: Gabriel H. Neukomm