Author: Hui XuPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays on Debt Pricing
Author: Hui XuThree Essays on Secondary Market Debt Prices
Author: Manmohan SinghPublisher:
ISBN:
Category :
Languages : en
Pages : 232
Book Description
The Introductory chapter briefly describes the unintended emergence of the seconday market for developing country loans after protracted and unsuccessful negotiations between lending bankers and the indebted countries. The innovative Brady plan presented the banks involved in this market with several options for the exercise of their interests. These economic developments constitute a unique area of study open to continued anaysis because of the paucity of existing work. Chapter 1, examines the determinants of Brady bond prices or prices of the consolidated par bond debt once a country finalizes a Brady agreement. The results show that liquidity variables like debt service/exports and reserve/imports are significant in the 1990s contrary to earlier studies in the 1980s (Boehmer & Megginson '90). It is also found that the fraction of private debt to total debt adversely affects the secondary market prices for Brady bonds. The study also uses the censored regression procedure (Heckman '76) to include non-Brady countries in the sample. The significant differences in the results upon analysis of the two samples reflects the credible future policy undertaken by the Brady countries. Chapter 2 is in two parts. Part 1 explores a new way to look at the secondary debt market price of non performing debt. Panama, Peru, Ecuador, Bulgaria and Poland's debt prices were being traded as junk debt. Unlike in countries that have adopted the Brady plan, in these countries economic fundamentals do not explain the movement of debt prices. This was confirmed by the results of the Seemingly Unrelated Regression estimates (SURE). Part 2 of this chapter is an application to the anomalous secondary market price of Poland after its Brady agreement. An analytical model following Froot (1989) is used to explain the decline in Poland's debt price. The increasing role of traders as found in Part 1 is apparent in Poland's case as is an asymmetry of interests between the traders and the bankers. Chapter 3 is on the foreign debt and secondary market price of Hungary. A case is made for debt relief for Hungary following Krugman's (1988) debt relief Laffer curve model. Shadow prices were constructed for Hungary's secondary market debt prices following inconsistency of such data on Hungary. Although Hungary was found to be on the wrong side of the laffer curve, the composition of debt is largely bonds historical the last debt instrument a country wants to default upon.
Three Essays on the Cost of Debt Capital
Author: Katarzyna Nelicka PlattPublisher:
ISBN:
Category : Bond market
Languages : en
Pages : 228
Book Description
Three Essays on Debt
Author: Lijun WangPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This dissertation contains three essays on debts of different forms that make contributions to the areas of international macroeconomics and spatial economics. In particular, the first two essays study sovereign debts. They examine sovereign default behaviors together with interactions between sovereign defaults and countries' costs of borrowing. The third essay looks at bank loans. It explores the possibility of understanding economic agglomeration through distance-related financial frictions firms face when borrowing from banks.
Three Essays on Debt
Author: May RostomThree Essays in Empirical Asset Pricing
Author: Thomas A. JacobsPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.
Three Essays on Debt
Author: M. RostomThree Essays on Exchangeable Debt Financing
Author: Anna Nathan DanielovaPublisher:
ISBN:
Category :
Languages : en
Pages : 264
Book Description
Three Essays on the Corporate Debt Choice
Author: Matteo P. ArenaPublisher:
ISBN:
Category : Corporate debt
Languages : en
Pages :
Book Description
This dissertation examines the determinants of the corporate debt choice between different forms of debt financing and different countries. By examining the most extensive sample of U.S. debt issues to date, Essay 1 shows that firms that issue 144A debt are significantly different from firms that privately place non-bank debt without using the 144A rule. I also find that traditional private placements rather than bank loans are the favorite debt source for firms with good credit quality that cannot access the public market because of flotation costs and information asymmetry. Essay 2 examines how governance provisions that affect the cost of debt are related to the corporate debt choice. I find that firms with fewer takeover defenses and larger blockholder ownership are more likely to issue private debt. This result is consistent with the hypothesis that private debt claimants can reduce the expected negative impact of takeovers on debtholder value by enforcing stricter covenants or by renegotiating debt in case of takeover. Essay 3 examines the external debt financing choices of multinational firms by using a unique international dataset of firm-level debt offerings. I show that tax-based incentives, country-specific investor preferences, and difference in legal regimes across countries influence multinational firms in their debt location choice.
Author: Asad Sayeed