Showing 1 - 10 of 60,912
This paper examines the implications of leverage for corporate risk taking in a dynamic N-period model. In each period …, there is an identical, standard risk-shifting problem. Leverage creates two inefficiencies. First, we confirm the standard … intuition by which high leverage leads firms to take risk. Second, medium leverage leads firms to avert risk. By averting risk …
Persistent link: https://www.econbiz.de/10014235803
We study the effects of uncertainty on corporate leverage adjustments with respect to investment spikes and find that overlevered and underlevered firms behave very differently in response to the combination of uncertainty and investment spikes. Overlevered firms facing high uncertainty converge...
Persistent link: https://www.econbiz.de/10012855716
-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying …
Persistent link: https://www.econbiz.de/10012256377
This study investigates how uncertainty affects firms' target capital structure using a panel data set of U.S. public manufacturers between 2003 and 2018 and finds that high-uncertainty firms have 10.1 (8.1) percentage points lower mean book (market) targets than low-uncertainty firms. This...
Persistent link: https://www.econbiz.de/10012850812
In this paper Modigliani and Miller's risk class including only one type of firm to date, namely a non-net investing … the Gordon and Shapiro policy, this paper is only to by regarded as a first step towards (risk class) completion of the … original Modigliani and Miller model. By doing so, the model becomes a challenger of current DCF theory …
Persistent link: https://www.econbiz.de/10012995722
payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …
Persistent link: https://www.econbiz.de/10015188164
for debt repayment and growth opportunities, thereby addressing both the downside risk and the upside potential triggered …
Persistent link: https://www.econbiz.de/10014349193
conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …
Persistent link: https://www.econbiz.de/10012887890
The regulatory use of banks' internal models makes capital requirements more risk-sensitive but invites regulatory … arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can … discourage arbitrage by auditing risk models, and implements capital ratios less risk-sensitive than in the first-best to reduce …
Persistent link: https://www.econbiz.de/10011958937
The study examines the relationship between systematic risk of Australian Real Estate Investment Trusts (A-REITs) and …-REITs are important determinants of systematic risk. However, property type dummy variables are not significant after adjusting … in A-REITs to make better risk return trade off decisions and A-REIT managers to evaluate their strategic decisions …
Persistent link: https://www.econbiz.de/10013145041