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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...
Persistent link: https://www.econbiz.de/10011268659
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Capital Structure and the Redeployability of Tangible Assets
Campello, Murillo; Giambona, Erasmo - Tinbergen Instituut - 2011
salability of tangible assets. Theory suggests that tangibility increases borrowingcapacity because it allows creditors to more …
Persistent link: https://www.econbiz.de/10011255648
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Disagreement and Flexibility: A Theory of Optimal Security Issuance and Capital Structure
Boot, Arnoud W.A.; Thakor, Anjan V. - Tinbergen Instituut - 2003
ofthis theory of capital structure evolution is that optimal capital structure is essentiallydynamic, and depends on the firm …’s stock price, implying that firms issue equity when stockprices are high and debt when stock prices are low. The theory … testablepredictions. Moreover, the theory can rationalize the use of debt in the absence of taxes,agency costs or signaling considerations. …
Persistent link: https://www.econbiz.de/10011242147
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The Economic Value of Flexibility when there is Disagreement
Boot, Arnoud W.A.; Thakor, Anjan V. - Tinbergen Instituut - 2003
We develop an economic theory of “flexibility”, which we interpret as the discretion orability to make a decision that …
Persistent link: https://www.econbiz.de/10011249540
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Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?
Boot, Arnoud W.A.; Gopaian, Radhakrishnan; Thakor, Anjan V. - Tinbergen Instituut - 2006
We analyze a publicly-traded firm's decision to stay public or go private when managerial autonomy from shareholder intervention affects the supply of productive inputs by management. We show that both the advantage and the disadvantage of public ownership relative to private ownership lie in...
Persistent link: https://www.econbiz.de/10011256406
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Ordering the Preference Hierarchies for Internal Finance, Bank Loans, Bond and Share Issues
Haan, Leo de; Hinloopen, Jeroen - Tinbergen Instituut - 2002
, we estimate a multinomial logit model whichconfirms several predictions of both the static trade-off theory and … thepecking-order theory as to the determinants of financing choices. Next, weuse ordered probit models to determine which …
Persistent link: https://www.econbiz.de/10011256803
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A Tourism Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2014
This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators...
Persistent link: https://www.econbiz.de/10011272578
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011272590
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011272596
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - Tinbergen Instituut - 2014
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10011272605