We consider nancial positions belonging to the Banach lattice of bounded measurable functionson a given measurable space. We discuss risk measures generated by general acceptance sets allowingfor capital injections to be invested in a pre-specied eligible asset with an everywhere positive...

Limited liability creates a conict of interests between policyholders and shareholders ofinsurance companies. It provides shareholders with incentives to increase the risk of theinsurer's assets and liabilities which, in turn, might reduce the value policyholders attach toand premiums they are...

This paper empirically investigates how the intensity of product market competitionaffects the cost of debt. Using a large sample of loans to publicly traded US manufac-turing fi…rms, I provide evidence that an intensi…fication of product market competitionamong fi…rms signifi…cantly...

We solve the problem of optimal securitization for an issuer facing heterogeneous investorswith arbitrary time and risk preferences. We show that the optimal securitizationis characterized by multiple nonlinear tranches, and each investor gets a portfolio of thesetranches. In particular, when...

This paper develops a dynamic trade-off model of optimal capital structure that takes intoaccount the fact that most firms have both invested assets and growth opportunities. Thesetwo sources of value react quite differently to business cycle risk. In particular, growth optionsare more sensitive...

We investigate whether bank performance during the credit crisis of 2008 is related to CEOincentives and share ownership before the crisis and whether CEOs reduced their equity stakes intheir banks in anticipation of the crisis. There is no evidence that banks with CEOs whoseincentives were...

We want to assess the relationship between the equity and the debt cost of capital. Using a verysimple dividend discount model we compute the implied discount rate and we compare it with thecorresponding premium on the corporate credit default swap using a cointegration approach. Wedemonstrated...

Between 1999 and 2007, WR Hambrecht has completed 19 IPOs in the U.S. usingan auction mechanism. We analyze investor behavior and mechanism performance inthese auctioned IPOs using detailed bidding data. The existence of some bids posted athigh prices suggests that some investors (mostly retail)...

We conducted a survey on risk perception of investment products in the German-speakingarea of Switzerland. Unlike the typical two-factor structure documented in the previousliterature, we found that the knowledge-related scales were highly correlated with the riskrelatedscales, whereas the...

This paper examines the effects of capital gains taxation on firms’ investmentand financing decisions. We develop a real options model in which the timing ofinvestment, the decision to default, and the firm’s capital structure are endogenouslyand jointly determined. Our analysis demonstrates...