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The Effect of Information on Uncertainty and the Cost of Capital

Johnstone, David - 2015

It is widely held that better financial reporting makes investors more confident in their predictions of future cash flows and reduces their required risk premia. The logic is that more information leads necessarily to more certainty, and hence lower subjective estimates of firm "beta" or...

Persistent link: https://www.econbiz.de/10013033047

Portfolio Choice with Market-Credit Risk Dependencies

Bo, Lijun - 2018

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic …

Persistent link: https://www.econbiz.de/10012916549

The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory

Le Marois, Olivier - 2019

The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of … becomes an endogenous variable, resulting from the supply/demand equilibrium in credit markets. The resulting model leads to …

Persistent link: https://www.econbiz.de/10012905661

Optimal Dynamic Risk Taking

Subramanian, Ajay - 2016

We analyze a continuous-time stochastic control problem that arises in the study of several important issues in financial economics. An agent controls the drift and volatility of a diffusion output process by dynamically selecting one of an arbitrary (but finite) number of projects and the...

Persistent link: https://www.econbiz.de/10012987776

Debt contracting when borrowers face transitory uncertainty : evidence from U.S. gubernatorial elections

Kim, Kirak; Trang Nguyen - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4670-4692

Persistent link: https://www.econbiz.de/10015046367

Is unsystematic risk priced in bank loan contracts?

Quijano, Margot - In: Applied economics letters 20 (2013) 13/15, pp. 1233-1237

Persistent link: https://www.econbiz.de/10010198551

Political uncertainty and bank loan contracting

Francis, Bill B.; Hasan, Iftekhar; Zhu, Yun - In: Journal of empirical finance 29 (2014), pp. 281-286

Persistent link: https://www.econbiz.de/10011300466

Uncertainty and the cost of bank vs. bond finance

Grimme, Christian - 2019

How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending rates. This finding can be explained with a model that...

Persistent link: https://www.econbiz.de/10011958806

Cost of Capital with Levered Cost of Equity as the Risk of Tax Shields

Tham, Joseph - 2011

We present the derivation of cost of capital under the assumption of risky tax shields discounted with the cost of levered equity. We show that the formulation is consistent and is derived from basic financial principles. This formulation is valid for finite cash flows and non growing...

Persistent link: https://www.econbiz.de/10013133138

Cost of Capital and Valuation with Imperfect Diversification and Unsystematic Risks

Wolfrum, Marco - 2010

Especially with the evaluation of non-listed (medium-sized) companies, the following problems and significant restrictions pertaining to the applicability of the CAPM must be taken into account when determining cost of capital. 1. Homogeneity of expectations and planning consistency. Given the...

Persistent link: https://www.econbiz.de/10013152153