In this study, we augment seminal models based on Ohlson (1995) by integrating the value impact of ratings related to three different extra-financial categories, i. e. corporate governance, human capital, and innovation capital. For a sample of large European public firms, we find that a model...

This article examines the issuer pricing of structured products during exchange trading in November 2001, comparing daily closing quotes of roughly 170 reverse convertibles and 740 discount certificates to values based on duplication strategies using call options traded on the Eurex (European...

This paper deals with the joint influence of a firm's hedging and leverage decisions on shareholder wealth. We extend the traditional approach to optimal capital structure, which trades off the market values of bankruptcy costs and corporate taxes, by giving management the opportunity to hedge...

This paper develops a theory of a firm's hedging decision with endogenous leverage. In contrast to previous models in the literature, our framework is based on less restrictive distributional assumptions and allows a closed-form analytical solution to the joint optimization problem. Using...

We suggest a joint optimization model for a firm's hedging and leverage decisions that helps to establish an integrated framework for value creation. Rather than artificially separating the two interrelated parts of the firm's financial policy, we treat both corporate decision variables as...

In this paper, we analyze the influence of hedging with forward contracts on the firm's probability of bankruptcy. The minimization of this probability can serve as a substitute for the maximization of shareholders' wealth. It is shown that the popular minimum-variance-hedge is generally neither...