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Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2003

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary … of Engle (1990), and to a version of the quadratic ARCH model of Sentana (1995), these authors having discussed leverage … memory processes. We also establish a leverage property and conditions for finiteness of third and higher moments. …

Persistent link: https://www.econbiz.de/10010745453

Market liquidity and funding liquidity

Brunnermeier, Markus K.; Pedersen, Lasse Heje - London School of Economics (LSE) - 2007

We provide a model that links an asset's market liquidity; i.e., the ease with which it is traded; and traders' funding liquidity, i.e. the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely,...

Persistent link: https://www.econbiz.de/10010745945

Interoperability and market foreclosure in the European Microsoft case

Kuhn, Kai Uwe; Van Reenen, John - London School of Economics (LSE) - 2008

In this paper we discuss some of the most important economic issues raised in European Commission vs. Microsoft (2004) concerning the market for work group servers. In our view, the most important economic issues relate to (a) foreclosure incentives and (b) innovation effects of the proposed...

Persistent link: https://www.econbiz.de/10010746007

Financial constraints in search equilibrium

Boeri, Tito; Garibaldi, Pietro; Moen, Espen R. - London School of Economics (LSE) - 2014

The Great Recession has indicated that firms' leverage and access to finance are important for hiring and firing …

Persistent link: https://www.econbiz.de/10011126499

Diversification and financial stability

Tasca, Paolo; Battiston, Stefano - London School of Economics (LSE) - 2014

This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk diversification can be sub-optimal. In particular, banks must choose the optimal level of diversification in a market where returns display a bimodal...

Persistent link: https://www.econbiz.de/10011163503

Taxation and Capital Structure: evidence from a transition economy

Klapper, Leora; Tzioumis, Konstantinos - London School of Economics (LSE) - 2008

We examine the effect of taxation on financing policy using the corporate tax reform in 2001 in Croatia as a natural experiment. Since the extant literature on tax effects on capital structure studies listed firms in developed countries, it is worth investigating whether the same results apply...

Persistent link: https://www.econbiz.de/10005797595

Capital structure, investment, and fire sales

Gale, Douglas; Gottardi, Piero - London School of Economics (LSE) - 2014

We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages of debt against the risk of costly default. The costs of bankruptcy are endogenously determined, as bankrupt firms are forced to liquidate their...

Persistent link: https://www.econbiz.de/10011170093

Borrow cheap, buy high?: the determinants of leverage and pricing in buyouts

Axelson, Ulf; Jenkinson, Tim; Strömberg, Per; … - London School of Economics (LSE) - 2012

-2008, we find that buyout leverage is unrelated to the cross-sectional factors – suggested by traditional capital structure … theories – that drive public firm leverage. Instead, variation in economy-wide credit conditions is the main determinant of … leverage in buyouts, while having little impact on public firms. Higher deal leverage is associated with higher transaction …

Persistent link: https://www.econbiz.de/10011071252

Capital structure and investment dynamics with fire sales

Gale, Douglas; Gottardi, Piero - London School of Economics (LSE) - 2013

We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk of costly default. The costs of default are endogenous: bankrupt firms are forced to liquidate their assets, resulting in a fire sale if there is...

Persistent link: https://www.econbiz.de/10011163502