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Leverage and risk taking
Moreno-Bromberg, Santiago; Roger, Guillaume - 2015
We study a dynamic contracting problem in which size is relevant. The agent may take on excessive risk to enhance short … curb risk taking. Firms that are less prone to risk taking can afford a higher leverage …
Persistent link: https://www.econbiz.de/10011506338
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Limited liability and the demand for coinsurance by individuals and corporations
Bergesio, Andrea; Koch Medina, Pablo; Munari, Cosimo-Andrea - 2021
insurance by strictly-risk averse agents and risk-neutral firms when they enjoy limited liability. When exposed to a bankrupting …
Persistent link: https://www.econbiz.de/10012614542
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Bank capital, liquid reserves, and insolvency risk
Hugonnier, Julien; Morellec, Erwan - 2015
risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …
Persistent link: https://www.econbiz.de/10011293576
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Fundamental risk and capital structure
Hajda, Jakub - 2017
I develop a dynamic capital structure model to examine how the nature of risk affects firm's debt policy. In the model …, firm's fundamental risk, captured by its cash flow process, consists of transitory and persistent parts with markedly … different dynamics. The model explains the observed dispersion in the risk-leverage relationship. Firms with similar total …
Persistent link: https://www.econbiz.de/10011874719
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Leverage ratio, risk-based capital requirements, and risk-taking in the UK
Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven - 2023
Persistent link: https://www.econbiz.de/10014482959
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The sources of financing constraints
Nikolov, Boris; Schmid, Lukas; Steri, Roberto - 2018
In order to identify the relevant sources of firms' financing constraints, we ask what financial frictions matter for corporate policies. To that end, we build, solve, and estimate a range of dynamic models of corporate investment and financing, embedding a host of financial frictions. We focus...
Persistent link: https://www.econbiz.de/10011976900
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The agency of CoCos : why contingent convertible bonds aren't for everyone
Goncharenko, Roman; Ongena, Steven; Rauf, Asad - 2019
Most regulators grant contingent convertible bonds (CoCos) the status of equity. Theory, however, suggests that CoCos …
Persistent link: https://www.econbiz.de/10012100896
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Moral hazard, informed trading, and stock prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - 2013
We analyze a dynamic model of informed trading where a shareholder accumulates shares in an anonymous market and then expends costly effort to change the firm value. We find that equilibrium prices are affected by the position accumulated by the shareholder, because the level of effort...
Persistent link: https://www.econbiz.de/10010258547
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Innovation, delegation, and asset price swings
Sato, Yuki - 2015
We propose a dynamic asset-market equilibrium model in which (1) an "innovative" asset with as-yet-unknown average payoff is traded, and (2) investors delegate investment to experts. Experts secretly renege on investors' orders and take on leveraged positions in the asset to manipulate...
Persistent link: https://www.econbiz.de/10011293484
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Dynamic principal-agent models
Renner, Philipp; Schmedders, Karl - 2016
We consider discrete time dynamic principal--agent problems with continuous choice sets and potentially multiple agents. We prove the existence of a unique solution for the principal's value function only assuming continuity of the functions and compactness of the choice sets. We do this by a...
Persistent link: https://www.econbiz.de/10011516045