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Capital Structure, Credit Risk, and Macroeconomic Conditions

Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and …

Persistent link: https://www.econbiz.de/10005858794

Morellec, Erwan - Swiss National Centre of Competence in Research North … - 2010

This paper develops a model of corporate investment and financing decisions thatdiffers from previous contributions by recognizing that firms face uncertainty regardingtheir future access to credit markets and may have to search for creditors when raisingdebt financing. We show that accounting...

Persistent link: https://www.econbiz.de/10009305075

Debt dynamics with fixed issuance costs

Benzoni, Luca; Garlappi, Lorenzo; Goldstein, Robert S.; … - 2023

We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing additional debt. For realistic values of...

Persistent link: https://www.econbiz.de/10014301989

Asymmetric information, dynamic debt issuance, and the term structure of credit spreads

Benzoni, Luca; Garlappi, Lorenzo; Goldstein, Robert S. - 2019

We propose a tractable model of a firm's dynamic debt and equity issuance policies in the presence of asymmetric information. Because "investment-grade" firms can access debt markets, managers who observe a bad private signal can both conceal this information and shield shareholders from...

Persistent link: https://www.econbiz.de/10012429402

Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian; Kaserer, Christoph - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread … measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective … find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for …

Persistent link: https://www.econbiz.de/10010305731

Equity capital, bankruptcy risk and the liquidity trap

Levintal, Oren - 2011

equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

Persistent link: https://www.econbiz.de/10010335985

Firm Characteristics, Economic Conditions and Capital Structure Adjustments

Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

interest rates are low and the risk of disruptions in the global financial system are negligible. We also document that capital …

Persistent link: https://www.econbiz.de/10005862644

Firm Characteristics and Dynamic Capital Structure Adjustment

Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006

We use a dynamic framework and panel methodology to investigate the determinants of a time-varying corporate capital structure. Our sample comprises 706 European firms from France, Germany, Italy and the U.K. over the period from 1983 to 2002. If capital structure adjustment is costly, firms may...

Persistent link: https://www.econbiz.de/10005862648

Ownership Characteristics and Access to Finance:Evidence from a Survey of Large Privatised Companiesin Hungary and Poland.

Isachenkova, Natalia; Mickiewicz, Tomasz - Centre for the Study of Economic and Social Change in … - 2003

We examine financial constraints and forms of finance used for investment, byanalysing survey data on 157 large privatised companies in Hungary and Poland for theperiod 1998 – 2000. The Bayesian analysis using Gibbs sampling is carried out toobtain inferences about the sample companies’...

Persistent link: https://www.econbiz.de/10005868232

“Ownership Concentration, ‘Private Benefits of Control’and Debt Financing

Filatotchev, Igor; Mickiewicz, Tomasz - Centre for the Study of Economic and Social Change in … - 2001

Building on the ‘law and economics’ literature, this paper analyses corporategovernance implications of debt financing in an environment where a dominant owner isable to extract ex ante ‘private benefits of control’. Ownership concentration may result inlower efficiency, measured as a...

Persistent link: https://www.econbiz.de/10005868255