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Corporate Risk Management and Dividend Signaling Theory

Dionne, Georges; Ouederni, Karima - Centre Interuniversitaire sur le Risque, les Politiques … - 2010

This paper investigates the effect of corporate risk management on dividend policy. We extend the signaling framework … level, the lower the incremental dividend. This result is in line with the purpoted positive relation between information … asymmetry and dividend policy (e.g., Miller and Rock, 1985) and the assertion that risk management alleviates the information …

Persistent link: https://www.econbiz.de/10008596154

Corporate Cash Savings: Precaution versus Liquidity

Boileau, Martin; Moyen, Nathalie - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

Cash holdings as a proportion of total assets of U.S. corporations have roughly doubled between 1971 and 2006. Prior research attributes the large cash increase to a rise in firms’ idiosyncratic risk. We investigate two mechanisms by which increased idiosyncratic risk can lead to higher cash...

Persistent link: https://www.econbiz.de/10008495565

Entry, Imperfect Competition, and Futures Market for the Input

Dionne, Georges; Santugini, Marc - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

We analyze firms’ entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces...

Persistent link: https://www.econbiz.de/10010884971

On the Determinants of the Implied Default Barrier

Dionne, Georges; Laajimi, Sadok - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

We use the maximum likelihood (ML) estimation approach to estimate the default barriers from market values of equities for a sample of 762 public industrial Canadian firms. The ML approach allows us to estimate the asset instantaneous drift, volatility and barrier level simultaneously, when the...

Persistent link: https://www.econbiz.de/10005015272

On Debt Service and Renegotiation when Debt-holders Are More Strategic

Bourgeon, Jean-Marc; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

The contingent claims analysis of the firm financing often presents a debt renegotiation game with a passive bank which does not use strategically its capability to force liquidation, contrary towhat is observed in practice. The first purpose of this paper is to introduce more strategic bank...

Persistent link: https://www.econbiz.de/10005015284

Relying on the Information of Others: Debt Rescheduling with Multiple Lenders

Fluet, Claude; Garella, Paolo G. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

Can inertia in terminating unsuccessful loans be due to the multiplicity of lenders in loan arrangements? Can a lender reschedule, betting against his odds? We show that fear of being last in a liquidation run prevents the aggregation of the lenders' information about the value of continuation....

Persistent link: https://www.econbiz.de/10005015314

Model Implied Credit Spreads

Grass, Gunnar - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

I propose a new measure of credit risk, model implied credit spreads (MICS), which can be extracted from any structural credit risk model in which debt values are a function of asset risk and the payout ratio. I implement MICS assuming a barrier option framework nesting the Merton (1974) model...

Persistent link: https://www.econbiz.de/10010540183

Firms, Shareholders, and Financial Markets

Mirman, Leonard J.; Santugini, Marc - Centre Interuniversitaire sur le Risque, les Politiques … - 2011

model in which the shareholders portfolio selection of assets and the decisions of the publicly-traded firms are integrated … shareholders substantially influences firms behavior in the real sector. After characterizing the unique equilibrium, we show that … the financial sector integrates the preferences of all shareholders into the decisions for production and ownership …

Persistent link: https://www.econbiz.de/10009283400

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Cuchet, Romain; François, Pascal; Hübner, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2011

Currency total return swaps (CTRS) are hybrid derivatives instruments that allow to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. Empirical test on a sample of 23,005 price observations from 59 underlying issuers yields...

Persistent link: https://www.econbiz.de/10009293674

Do Political Institutions Affect the Choice of the U.S. Cross-Listing Venue?

Cosset, Jean-Claude; Martineau, Charles; Samet, Anis - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

We study the impact of political institutions on foreign firms’ choice of their U.S. cross-listing venue. Using two measures of political institutions (an index of political rights and a political constraint index) and controlling for various firm-level and country-level characteristics, we...

Persistent link: https://www.econbiz.de/10009645870