Showing 1 - 10 of 46
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
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
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
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
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
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
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
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
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
In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...
Persistent link: https://www.econbiz.de/10005858812