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Managerial Incentives from Option Compensation and Risky Guarantees

Sender, Samuel J. - 2016

This paper solves the dynamic investment problem of a risk averse agent compensated with a performance related bonus plus a salary guaranteed up to a certain level of underperformance. The main contribution is to explicitly take into account the financial fragility of the principal [employer],...

Persistent link: https://www.econbiz.de/10013002983

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

Investment Timing and Capital Structure with Loan Guarantees

Xiang, Hua - 2015

The equity-for-guarantee swap (EGS) is a new popular financial derivative. We derive closed-form solutions for the interaction of the optimal investment and financing with the swap in a real-options framework. We find that there is an U-shaped relationship between investment timing and the...

Persistent link: https://www.econbiz.de/10013031815

Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?

Swan, Peter L. - 2016

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

Persistent link: https://www.econbiz.de/10012998134

Agency costs, credit constraints and corporate investment

Hansen, Sten - 1999

The importance of credit market imperfections for investment behavior is analyzed using Swedish firm level data …. Adjustment and agency costs are included in the neoclassical theory of optimal financial and investment decisions for firms. In … order to model the possible occurrence of agency costs of debt, and credit constraints, the behavior of banks is reviewed in …

Persistent link: https://www.econbiz.de/10011583878

Bank Capital Regulation, Loan Contracts, and Corporate Investment

Dietrich, Diemo - 2014

resources across firms' different business lines. Credit risk is lower when firms write contracts that oblige them to invest …

Persistent link: https://www.econbiz.de/10013062253

Implied cost of capital and mutual fund performance

Hendriock, Mario - 2020

This study provides evidence for a positive association between mutual fund holdings’implied cost of capital (ICC) and future performance. Consistent with large transactioncosts of ICC-based investments impeding their exploitation and employing a ICC-basedstrategy reflecting skill,...

Persistent link: https://www.econbiz.de/10012387256

The role of financial conditions in portfolio choices : the case of insurers

Ge, Shan; Weisbach, Michael S. - 2019

Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...

Persistent link: https://www.econbiz.de/10012104637

Attitude of bank credit managers and analysts towards firm diversification in Mozambique

Ibekwe, Ibeawuchi - In: Qualitative research in financial markets 9 (2017) 3, pp. 182-204

Persistent link: https://www.econbiz.de/10011770323

Hold-up and the use of performance-sensitive debt

Adam, Tim R.; Streitz, Daniel - 2014

We examine whether performance-sensitive debt (PSD) is used to reduce hold-up problems in long-term lending relationships. We find that the use of PSD is more common in the presence of a long-term lending relationship and if the borrower has fewer financing alternatives available. In syndicated...

Persistent link: https://www.econbiz.de/10010403671