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Buyout Activity : The Impact of Aggregate Discount Rates
Haddad, Valentin - 2016
Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...
Persistent link: https://www.econbiz.de/10012986691
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Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
Wachter, Jessica A. - 2005
This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...
Persistent link: https://www.econbiz.de/10012784914
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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012984772
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Why Do U.S. Firms Hold so Much More Cash than They Used to?
Bates, Thomas W. - 2010
The average cash to assets ratio for U.S. industrial firms increases by 129% from 1980 to 2004. Because of this increase in the average cash ratio, American firms at the end of the sample period can pay back their debt obligations with their cash holdings, so that the average firm has no...
Persistent link: https://www.econbiz.de/10012760630
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Cephalon, Inc. Taking Risk Management Theory Seriously
Chacko, George - 2012
understand the challenge of translating risk management theory into managerial action. Cephalon Inc., a biotech firm, bought a … hedging concepts articulated by Froot, Scharfstein and Stein (1993). In applying the theory to practice, there are lessons for … both managers and theorists. Managers consider deadweight costs of financing and of risk management, whereas theory tends …
Persistent link: https://www.econbiz.de/10012755991
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Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity
Robinson, David T. - 2014
Public and private equity waves move together. Using quarterly cash-flow data for a large sample of venture capital and buyout funds from 1984-2010, we investigate the implications of this co-cyclicality for understanding private equity cash flows and performance. In the cross-section, varying...
Persistent link: https://www.econbiz.de/10013067387
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The Analytics of Investment, Q, and Cash Flow
Abel, Andrew B. - 2015
In this paper I analyze the relationships among investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. After analyzing the impact of changes in the distribution of the marginal operating profit of capital, I extend the model to...
Persistent link: https://www.econbiz.de/10013015553
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Dynamic Debt Maturity
He, Zhiguo - 2016
A firm chooses its debt maturity structure and default timing dynamically, both without commitment. Via the fraction of newly issued short-term bonds, equity holders control the maturity structure, which affects their endogenous default decision. A shortening equilibrium with accelerated default...
Persistent link: https://www.econbiz.de/10013000527
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Risk Price Dynamics
Borovička, Jaroslav - 2009
modeled as a Markov process. Stochastic growth in the underlying macroeconomy and stochastic discounting in the representation …
Persistent link: https://www.econbiz.de/10013154476
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Investment-Cash Flow Sensitivities are Not Valid Measures of Financing Constraints
Kaplan, Steven N. - 2001
Kaplan and Zingales [1997] provide both theoretical arguments and empirical evidence that investment-cash flow sensitivities are not good indicators of financing constraints. Fazzari, Hubbard and Petersen [1999] criticize those findings. In this note, we explain how the Fazzari et al. [1999]...
Persistent link: https://www.econbiz.de/10012788101