We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...

Performance fees for portfolio managers are designed to align the managers' goals withthose of the investors and to motivate managers to aquire "superior" information and tomake better investment decisions. A part of the literature analyzes performance fees on thebasis of market valuation. In...

The paper investigates the determinants of trade credit and its interactions with borrowing constraints and the input combination of the firm, within an incomplete contract setting in which firms use a two-input technology and collateralised credit contracts. Assuming that the supplier is better...

In this paper, we propose a model of credit rating agencies using the global gamesframework to incorporate information and coordination problems. We introduce arefined utility function of a credit rating agency that, additional to reputationmaximization, also embeds aspects of competition and...

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy certain optimality criteria: For a given investment into the hedge they minimize the remaining risk, or vice versa. This is motivated by the fact that it is a core business of...

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...

A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This method uses a standard definition of equity free cash flow, but the cost of equity varies over time as...

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to adapt their default and...

This paper develops a signalling game in which the decision to raise public equityis a real option of the …rm. Firms may use multiple signals to reveal their type:the timing of the IPO, the fraction of shares issued and the underpricing of shares.The model provides a tractable approach for...

This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...