We study a new class of three-factor affine option pricing models with interdependent volatilitydynamics and a stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure of implied volatility skews moreconsistent with the data...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market valuation of a firm's equity has on the...

Wenige Themen im Bereich der Corporate Finance sind so intensiv erforscht worden wie die Frage, wie Unternehmen ihre Kapitalstruktur wählen. Allerdings ist die Kapitalstrukturtheorie trotz intensiver Forschung über fast fünf Jahrzehnte immer noch eines der am kontroversesten diskutierten...

Financial leverage increases the expected return on equity. We show that this leverage effect is not only irrelevant for shareholders' present wealth but also for the return on their invest-ments. This result is straightforward if we do not only look at the return on equity but at the return on...

In a typical LBO debt is reduced by a substantial part of the firm’s cash flow. The object of the paper is to analyze whether the tax advantages of this debt transaction plan can be evaluated using the APV or the WACC method. It turns out that none of them is appropriate, and we will provide a...

Dieser Beitrag beschäftigt sich mit dem Ausmaß der bei einer Fremdfinanzierung entstehenden Gestaltungsmöglichkeiten. Weiterhin wird ein Entscheidungsmodell vorgestellt, das dem Investor die simultane Entscheidung über Finanzierung und Steuerbarkeit der Investition erlaubt.

Nowadays, every textbook on corporate finance uses the WACC approach for valuatingtax savings on interest rates. This approach, going back to Miles and Ezzell (1980), stilllacks the restriction of a constant leverage ratio. In this paper it is shown how the WACC formula has to be modified for an...

This paper develops a principal-agent model of financial contracting in which optimal contracts resemble a combination of debt and equity. When defaulting on debt, the firm is punished by disruption of external funding. Such contracts however, invite rivals to compete more aggressively to...