Econometric Modeling: Microeconometric Models of Firm Behavior eJournal最新文献

Firm Expectations and Economic Activity 企业预期与经济活动

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2022-05-24 DOI: 10.2139/ssrn.3384314

Zeno Enders, Franziska Hünnekes, Gernot Müller

引用次数: 20

Endogenous Technology Space 内生技术空间

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3899948

Nikolas Kuhlen

引用次数: 0

Stock Predictability Using Sparse Learning Approach 基于稀疏学习方法的股票预测

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2021-07-31 DOI: 10.2139/ssrn.3896781

B. Dasari

{"title":"Stock Predictability Using Sparse Learning Approach","authors":"B. Dasari","doi":"10.2139/ssrn.3896781","DOIUrl":"https://doi.org/10.2139/ssrn.3896781","url":null,"abstract":"This research paper aims to predict the stock returns of the theS&P 500 companies by using Sparse Learning Approach with the help of historical stock data. In the field of finance and microeconomics, variables keep expanding every day due to different factors or strategies introduced by humans intending to make the result profitable thereby making the process more complex. In the world of complexity, sparse learning is one of a kind approach to deal with huge variable sets. Hence, the intention of the paper is to apply the sparse methodology to the financial data of S&P 500 companies and observe the applicability of the model to these types of data sets. Variable selection is an important and quite challenging task in econometric modeling. There are different types of algorithms readily available to optimize and regularize the data sets of various processes in different fields such as medicine, finance, and telecommunication sectors. However, a major problem faced by an individual while working on research is the selection of variables in the data sets to carry out the analysis. To overcome this difficulty, we are interested in utilizing sparse learning model, especially lasso regression. In this paper, we have introduced the methodology and objective behind the model by analyzing it with S&P 500 data","PeriodicalId":201359,"journal":{"name":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","volume":"299 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115439024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Impact of the Internet on Business Exports in Mali with a Panel Database Analysis 互联网对马里商业出口的影响与面板数据库分析

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-12-09 DOI: 10.2139/ssrn.3745658

Theophile Kabore

引用次数: 0

Public Listing Choice with Persistent Hidden Information 具有持久隐藏信息的公开上市选择

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-11-12 DOI: 10.2139/ssrn.3729715

Francesco Celentano, Mark Rempel

引用次数: 1

Debt Structure and Debt Overhang 债务结构和债务积压

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-11-07 DOI: 10.2139/ssrn.3726577

Liu Gan, Xin Xia, Hai Zhang

{"title":"Debt Structure and Debt Overhang","authors":"Liu Gan, Xin Xia, Hai Zhang","doi":"10.2139/ssrn.3726577","DOIUrl":"https://doi.org/10.2139/ssrn.3726577","url":null,"abstract":"We study the impact of the optimal debt and priority structure on corporate financing and investment decisions in a dynamic trade-off model, where a firm simultaneously issues bank and market debt. Private bank debt is renegotiable during financial distress; thus it avoids inefficient and costly bankruptcy losses. Our model shows that the debt priority structure between bank and market debt has significant implications on ex post corporate policies, market leverage and firm valuation. Bank debt substitutes market debt in most cases except when firms face a low tax rate environment. Further, firms with stronger bargaining power, more valuable growth opportunities, or higher renegotiation frictions, facing lower cash flow risks, larger bankruptcy costs, or operating in a higher tax rate environment tend to rely more on market debt. We also demonstrate that the issuance of bank debt along with market debt mitigates the ex post debt overhang compared to the exclusive market debt structure, the effect of which is much stronger when the firm faces less renegotiation friction, lower bankruptcy costs, or higher corporate tax rate. These model predictions reconcile several empirical findings and generate a rich set of novel empirical tests.","PeriodicalId":201359,"journal":{"name":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114646391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

The Role of Institutions and Immigrant Networks in Firmsâ€™ Offshoring Decisions 制度和移民网络在企业离岸外包决策中的作用

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-10-09 DOI: 10.1111/CAJE.12470

Simone Moriconi, G. Peri, Beata Smarzynska Javorcik

引用次数: 6

On the Cash-Flow and Control Rights of Contingent Capital 论或有资本的现金流量与控制权

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-08-18 DOI: 10.2139/ssrn.3279915

C. Mitchell

{"title":"On the Cash-Flow and Control Rights of Contingent Capital","authors":"C. Mitchell","doi":"10.2139/ssrn.3279915","DOIUrl":"https://doi.org/10.2139/ssrn.3279915","url":null,"abstract":"This paper develops a model of banking to study the risk-taking consequences of contingent capital (CC). It begins with the observation that partial conversion of CC provides its owners with a portfolio of equity and debt. Since the former (latter) asset typically induces a preference for risk taking (safety), the net preference of CC-holders upon conversion should depend on their relative holdings of each asset, which in turn, depends on the amount of CC converted. In addition to acquiring cash-flow rights, these conversions provide CC-holders with equity control rights, which afford them greater influence over management's portfolio selection. The paper demonstrates that rational shareholders - that anticipate these endogenous preferences and equity control rights - may be inclined to either: (1) dilute their own equity stakes through “excessive” risk taking in order to create risk-loving and influential CC-holders; or (2) rule-out conversion altogether through “excessive” safety, thereby preempting the creation of influential and safety-loving CC-holders. The results also suggest that higher CC-to-equity ratios can reduce the likelihood of reaching an “excessive” risk-taking equilibria.","PeriodicalId":201359,"journal":{"name":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","volume":"169 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133540268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Learning, Timing, and Pricing of the Option to Invest with Guaranteed Debt and Asymmetric Information 信息不对称下担保债务投资期权的学习、时机与定价

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-08-15 DOI: 10.2139/ssrn.3445784

Pengfei Luo, Huamao Wang, Zhaojun Yang

{"title":"The Learning, Timing, and Pricing of the Option to Invest with Guaranteed Debt and Asymmetric Information","authors":"Pengfei Luo, Huamao Wang, Zhaojun Yang","doi":"10.2139/ssrn.3445784","DOIUrl":"https://doi.org/10.2139/ssrn.3445784","url":null,"abstract":"We consider a borrower who must get a loan from a lender to start a project. The loan is secured by an insurer, who takes the project and the lender's loss at default. The borrower grants the insurer a fraction of the loan (fee-for-guarantee swap, FGS) or of the project's equity (equity-for-guarantee swap, EGS) as the guarantee cost. FGSs or EGSs are similar to credit default swaps (CDS) but the former are much more popular than the latter to small businesses. We assume the borrower knows the project's expected growth rate, but the insurer merely knows it to take a high or low value with a given initial belief on the high-type borrower. The insurer learns about the growth rate and dynamically updates her/his belief. We show that the learning reduces the guarantee cost and adverse selection cost. A sufficiently high initial belief would induce a pooling equilibrium, where the learning will accelerate investment, though the learning would postpone the investment sometimes. FGSs are superior to EGSs if information is somewhat asymmetric, explaining the fact that the former are more popular than the latter in practice.","PeriodicalId":201359,"journal":{"name":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133767804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

The Neoclassical Theory of Term Structure 新古典期限结构理论

Econometric Modeling: Microeconometric Models of Firm Behavior eJournal Pub Date : 2020-07-22 DOI: 10.2139/ssrn.3658526

Thomas W. Downs

引用次数: 0