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Consistent valuation of project finance and LBO'susing the flows-to-equity method

Cooper, Ian; Nyborg, Kjell G. - Institut für Schweizerisches Bankwesen <Zürich> - 2010

A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This method uses a standard definition of equity free cash flow, but the cost of equity varies over time as...

Persistent link: https://www.econbiz.de/10009354137

A Principal-Agent View on Dividend Taxation and Investment Efficiency

Kind, Axel; Lindeiner, Benita von; Vedolin, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We propose an equity ﬁnance model with agency problems and investigate the relationship between dividend taxation and inefficient investments. Contrary to both the old and the new view of dividend taxation, a fall in the dividend tax rate is found to improve corporate governance by increasing...

Persistent link: https://www.econbiz.de/10005858049

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

Persistent link: https://www.econbiz.de/10005858310

Trade credit, collateral liquidation and borrowing constraints

Fabbri, Daniela; Menichini, Anna Maria C. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper investigates the determinants of trade credit and its interactions with borrowing constraints and the input combination of the firm, within an incomplete contract setting in which firms use a two-input technology and collateralised credit contracts. Assuming that the supplier is better...

Persistent link: https://www.econbiz.de/10005858766

Capital Structure, Credit Risk, and Macroeconomic Conditions

Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to adapt their default and...

Persistent link: https://www.econbiz.de/10005858794

Default Correlation in a Markov-Chain Credit Migration Model with Contagion Effects

Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

default correlations and credit spreads in an intensity-based Markov-chain setting with common macroeconomic factors and firm …-specific factors. The base model is extended in two directions. First, we introduce the firm-specific default dependence on the … firm-specific factors are observable in noise. The models can be calibrated to the real data on rating transitions and …

Persistent link: https://www.econbiz.de/10005858812

On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities

Renault, Olivier; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...

Persistent link: https://www.econbiz.de/10005858909

Introducing Capital Structure in a Production Economy : Implications for Investment, Debt and Dividends

Alessandrini, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This model adds to the standard neoclassical model of business fluctuations by introducing a more realistic capital structure problem, where firms have to balance the tax benefits of debt with the costs of potential financial distress. Therefore, firms solve a dynamic problem with both an...

Persistent link: https://www.econbiz.de/10005859002

Does Poor Legal Enforcement Make Households Credit-Constrained?

Fabbri, Daniela; Padula, Mario - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper analyzes the relation between the quality of the legal enforcement of loan contracts and the allocation of credit to households, both theoretically and empirically. We use a model of household credit market with secured debt contracts, where the judicial system affects the cost...

Persistent link: https://www.econbiz.de/10005859087

Was bestimmt die finanziellen Reserven spendensammelnder NPOs? - Eine empirische Analyse möglicher Einflußfaktoren

Neubert, Luzius - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Spendensammelnde Non-Profit-Organisationen (NPOs) verfügen verglichen mit gewinnorientierten Unternehmen ähnlicher Größe über relativ hohe finanzielle Reserven in Form eines Finanzvermögens.Deren Höhe hängt von verschiedenen Faktoren ab, die im Rahmen der vorliegenden Studie untersucht...

Persistent link: https://www.econbiz.de/10005856968