The aim of this study is to test whether the relation between the informational content of equity offering announcements and their impact on the firm value depends on the motive of the offering. The use of the proceeds allows differentiating the equity issues according to the theories that...

We test leverage predictions of the trade-off and pecking order models usingSwiss data. At an aggregate level, leverage of Swiss firms is comparativelylow, but the results depend crucially on the exact definition of leverage.Confirming the pecking order model but contradicting the trade-off...

We build a two-factor structural model of default where the stock market index is one of the stochastic factors. In the model, we allow the firm to adjust its leverage in response to changes in the firm value and changes in the business climate, for which the return of the stock market index...

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...

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...

The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavorable years, when indemnities to be paid to the clients exceed collected premia. An investment strategy that does not take liquidity...

This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) con-sumption level is a function of wealth. Ratchet effects obtain when higher wealth in-creases the subsistance consumption level; blas´...

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition offix-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...

In this paper we present a model to price and hedge basket credit derivatives andcollateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows a specification of the joint dynamics of credit spreads and default intensities, including a...

This paper presents a utility-based approach to value the borrower optimal behavior in presence of credit risk. The paper solves for the dynamic portfolio choices of a borrower. We thereby show that the presence of debt leads to a substantial modification in the borrower's behavior across states...