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Low Inflation: High Default Risk AND High Equity Valuations
Bhamra, Harjoat S.; Dorion, Christian; Jeanneret, Alexandre - 2018
We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two...
Persistent link: https://www.econbiz.de/10011957207
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Flexible Prices and Leverage
D'Acunto, Francesco; Liu, Ryan; Pflueger, Carolin; … - 2017
The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital...
Persistent link: https://www.econbiz.de/10011615872
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Creditor passivity: the effects of bank competition and institutions on the strategic use of bankruptcy filings
Hainz, Christa - 2007
Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information about a firm's type to its competitors. Thereby,...
Persistent link: https://www.econbiz.de/10010264275
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The Impact of Delay: Evidence from Formal Out-of-Court Restructuring
Srhoj, Stjepan; Kovač, Dejan; Shapiro, Jacob N.; … - 2021
Bankruptcy restructuring procedures are used in most legal systems to decide the fate of businesses facing financial … context of Croatia, which introduced a "pre-bankruptcy settlement" (PBS) process in the wake of the Great Recession of 2007 … effectively delays entry into the standard bankruptcy procedure, leads to a lower rate of survival among debtors as well as re …
Persistent link: https://www.econbiz.de/10012657954
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Equilibrium Theory of Banks' Capital Structure
Gale, Douglas; Gottardi, Piero - 2017
balance the benefits of the provision of liquidity services by bank deposits with the costs of bankruptcy. The risk in the …
Persistent link: https://www.econbiz.de/10011698747
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Quality of institutions, credit markets and bankruptcy
Hainz, Christa - 2004
The number of firm bankruptcies is surprisingly low in economies with poor institutions. We study a model of bank-firm relationship and show that the bank's decision to liquidate bad firms has two opposing effects. First, the bank receives a payoff if a firm is liquidated. Second, it loses the...
Persistent link: https://www.econbiz.de/10010261107
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What do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...
Persistent link: https://www.econbiz.de/10010293924
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Climate Change and Long-Run Discount Rates: Evidence from Real Estate
Giglio, Stefano; Maggiori, Matteo; Ströbel, Johannes; … - 2015
The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment’s uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits accrue and the riskiness of the investment. In this paper,...
Persistent link: https://www.econbiz.de/10011388274
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Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model
Gomez, Thomas; Piccillo, Giulia - 2019
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012179802
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The Relevance of Banks to the European Stock Market
Kick, Andreas; Rottmann, Horst - 2022
Banks have always played an ambivalent role in financial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...
Persistent link: https://www.econbiz.de/10013353364