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Liquidation Triggers and the Valuation of Equity and Debt
Galai, Dan; Raviv, Alon; Wiener, Zvi - EconWPA - 2003
Net-worth covenants, as introduced by Black and Cox (1976), provide the firm’s bondholders with the right to force reorganization or liquidation if the value of the firm falls below a certain threshold. In the event of default, however, many bankruptcy codes stipulate an automatic stay of...
Persistent link: https://www.econbiz.de/10005561605
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …
Persistent link: https://www.econbiz.de/10005076992
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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …
Persistent link: https://www.econbiz.de/10005413097
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …
Persistent link: https://www.econbiz.de/10005561735
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …
Persistent link: https://www.econbiz.de/10005413135
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Giorgi, Enrico De - EconWPA - 2002
In April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63\% of all the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private clients, i.e. borrowers who finance their property by the...
Persistent link: https://www.econbiz.de/10005126112
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Optimal Capital Structure and Industry Dynamics
Miao, Jianjun - EconWPA - 2003
This paper presents an equilibrium model of industry dynamics and capital structure decisions. The unique stationary equilibrium is derived in closed-form. The analysis reveals that the interaction between capital structure and production decisions influences the stationary distribution of...
Persistent link: https://www.econbiz.de/10005134424
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The U-shaped Investment Curve: Theory and Evidence
Cleary, Sean; Povel, Paul; Raith, Michael - EconWPA - 2003
generate the revenue that enables the firm to repay. We test our theory using a data set with close to 100,000 firm …
Persistent link: https://www.econbiz.de/10005413170
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The Valuation of Corporate Debt with Default Risk
Naqvi, Hassan - EconWPA - 2004
This article values equity and corporate debt by taking into account the fact that in practice the default point differs from the liquidation point and that it might be in the creditors' interest to delay liquidation. The article develops a continuous time asset pricing model of debt...
Persistent link: https://www.econbiz.de/10005134655
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A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises
Peter, Goetz von - EconWPA - 2003
We link banking and asset prices in a simple monetary macroeconomic model. Our main innovation is to consider how wide-spread default affects the banking system. We find that the interaction of credit, asset prices, and loan losses explains a complete spectrum of outcomes, including financial...
Persistent link: https://www.econbiz.de/10005412610