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ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)最新文献

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Institutional and Geopolitical Aspects of Bond Spreads Impacts on Corporate Capital Structure in Emerging Markets 新兴市场债券利差对公司资本结构的制度和地缘政治影响
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-01-07 DOI: 10.2139/ssrn.3534044
S. Gottschalk, Bertrand Ndang
{"title":"Institutional and Geopolitical Aspects of Bond Spreads Impacts on Corporate Capital Structure in Emerging Markets","authors":"S. Gottschalk, Bertrand Ndang","doi":"10.2139/ssrn.3534044","DOIUrl":"https://doi.org/10.2139/ssrn.3534044","url":null,"abstract":"This paper investigates the simultaneous determinants of corporate capital structure and bond spread of non-financial companies between 1998 and 2016, whilst controlling for the impacts of institutional, geographical, and political factors. It has been established in the development finance literature that a country’s financial and legal systems have a significant impact on the capacity of its private sector to raise investment funding. Our results show that the impacts of Common Law and French Law systems, and of “market-based”/“bank-based” systems disappear once institutional variables, such as country income level and the effectiveness of government, of the rule of law, and regulatory quality are taken into account. Institutional factors determine capital structure, but not corporate risk. Both variables interact significantly with each other, whilst profitability, tangibility and macroeconomic performance were found to be the common determinants of both leverage and corporate bond spreads.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131213454","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
Managerial Overconfidence in Initial Public Offering Decisions and Its Impact on Macrodynamics and Financial Stability: Analysis Through an Agent-Based Model 首次公开发行决策中的管理层过度自信及其对宏观动力学和金融稳定性的影响:基于代理模型的分析
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-01-05 DOI: 10.2139/ssrn.3514177
A. Szyszka, M. Rzeszutek, Stanislas Augier, A. Godin
{"title":"Managerial Overconfidence in Initial Public Offering Decisions and Its Impact on Macrodynamics and Financial Stability: Analysis Through an Agent-Based Model","authors":"A. Szyszka, M. Rzeszutek, Stanislas Augier, A. Godin","doi":"10.2139/ssrn.3514177","DOIUrl":"https://doi.org/10.2139/ssrn.3514177","url":null,"abstract":"This study aims to connect the two strands of literature, i.e. behavioral corporate finance and agent-based macroeconomics to assess the impact of managerial overconfidence both at the micro and at the macro level. More specifically, we build a macroeconomic Agent-Based Model (ABM) calibrated for the specific case of Poland to explore whether overconfidence of top corporate managers in the context of their Initial Public Offering (IPO) decisions is detrimental or not for the firms being managed in that way, for the financial market dynamics and the selected macroeconomic indicators in Poland. We modelled heterogeneous firms with different IPO decision criteria depending on degree of managerial overconfidence. Our model also included a banking sector and a stock market that interact with the real economy. We found that there is a contradiction between the micro and the macro impact of overconfidence. Overconfident firms showed better performances in terms of output than other firms. But they were also more exposed to stock market volatility which makes them more likely to default. Higher default rate of overoptimistic firms negatively impacted the banking sector and increases financial instability. In turn, financial instability harmed the economy as a whole. We also observed that an increase in the proportion of overconfident firms is associated with a decrease in aggregate output although overconfident firms showed better individual performances. Finally, we run policy shocks and show that the increased financial instability can be offset by strengthening regulation of the banking sector.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126824409","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
Share Issues versus Share Repurchases 股票发行与股票回购
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-11-19 DOI: 10.2139/ssrn.3489555
P. Bond, Yue Yuan, Hongda Zhong
{"title":"Share Issues versus Share Repurchases","authors":"P. Bond, Yue Yuan, Hongda Zhong","doi":"10.2139/ssrn.3489555","DOIUrl":"https://doi.org/10.2139/ssrn.3489555","url":null,"abstract":"Almost all firms repurchase shares gradually through open market repurchase (OMR) programs as opposed to using the quicker alternative of tender offers. In contrast, issue methods are more diverse: both at-the-market offerings, analogous to OMR programs, and SEOs, analogous to the rarely-used tender-offer repurchases are used by significant fractions of firms. Moreover, SEOs are often used to issue larger amounts of equity than the total proceeds of a typical at-the-market offering program. We show that this asymmetry in the diversity of transaction methods in issuances and repurchases and the size-method relation in issuances are natural consequences of the single informational friction of a firm having superior information to investors.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127675038","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
Pricing VIX Derivatives with Infinite-Activity Jumps 无限活动跳变的VIX衍生品定价
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-10-30 DOI: 10.2139/ssrn.3478340
Jiling Cao, Xinfeng Ruan, Shu Su, Wenjun Zhang
{"title":"Pricing VIX Derivatives with Infinite-Activity Jumps","authors":"Jiling Cao, Xinfeng Ruan, Shu Su, Wenjun Zhang","doi":"10.2139/ssrn.3478340","DOIUrl":"https://doi.org/10.2139/ssrn.3478340","url":null,"abstract":"In this paper, we investigate a two-factor VIX model with infinite-activity jumps, which is a more realistic way to reduce errors in pricing VIX derivatives, compared with Mencía and Sentana (2013). Our two-factor model features central tendency, stochastic volatility and infinite-activity pure jump Lévy processes which include the variance gamma (VG) and the normal inverse Gaussian (NIG) processes as special cases. We find empirical evidence that the model with infinite-activity jumps is superior to the models with finite-activity jumps, particularly in pricing VIX options. As a result, infinite-activity jumps should not be ignored in pricing VIX derivatives.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116191491","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
Paying for Beta: Leverage Demand and Asset Management Fees 为Beta付费:杠杆需求和资产管理费
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-10-15 DOI: 10.2139/ssrn.3470288
Steffen Hitzemann, Stanislav Sokolinski, Mingzhu Tai
{"title":"Paying for Beta: Leverage Demand and Asset Management Fees","authors":"Steffen Hitzemann, Stanislav Sokolinski, Mingzhu Tai","doi":"10.2139/ssrn.3470288","DOIUrl":"https://doi.org/10.2139/ssrn.3470288","url":null,"abstract":"We examine how investor demand for leverage shapes asset management fees. In our model, investors' leverage demand generates a cross-section of positive fees even if all managers produce zero risk-adjusted returns. We find support for the model's novel predictions in the sample of the U.S. equity mutual funds: (1) fees increase in fund market beta precisely for beta larger than one; (2) this relation becomes stronger when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results suggest that asset managers can earn fees above their risk-adjusted returns for providing their investors with leverage.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129466985","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
Persuasion in Relationship Finance 关系金融中的说服
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3051323
Ehsan Azarmsa, L. Cong
{"title":"Persuasion in Relationship Finance","authors":"Ehsan Azarmsa, L. Cong","doi":"10.2139/ssrn.3051323","DOIUrl":"https://doi.org/10.2139/ssrn.3051323","url":null,"abstract":"Abstract After initial investments, relationship financiers routinely observe interim information about projects before continuing financing them. Meanwhile, entrepreneurs produce information endogenously and issue securities to incumbent insider and competitive outsider investors. In such persuasion games with differentially informed receivers and contingent transfers, entrepreneurs’ endogenous experimentation reduces insiders’ information monopoly but impedes relationship formation through an “information production hold-up.” Insiders’ information production and interim competition mitigate this hold-up and jointly explain empirical links between competition and relationship lending. Optimal contracts restore first-best outcomes using convertible securities for insiders and residuals for outsiders. Our findings are robust under various extensions and alternative specifications.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133183099","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: 14
On the Valuation and Analysis of Risky Debt: A Theoretical Approach Using a Multivariate Extension of the Merton Model 风险债务的估值与分析:Merton模型的多元扩展的理论方法
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-09-09 DOI: 10.2139/ssrn.3450524
E. O. Fischer, Lisa-Maria Kampl, Ines Wöckl
{"title":"On the Valuation and Analysis of Risky Debt: A Theoretical Approach Using a Multivariate Extension of the Merton Model","authors":"E. O. Fischer, Lisa-Maria Kampl, Ines Wöckl","doi":"10.2139/ssrn.3450524","DOIUrl":"https://doi.org/10.2139/ssrn.3450524","url":null,"abstract":"We contribute to the literature on the valuation of risky debt by providing three nested multivariate extensions of the standard Merton model. First, we lay forth an approach to pricing risky debt irrespective of its interest payment structure and the specified redemption agreement. Second, we propose a technique for valuing multiple debt instruments within the same firm. Third, we provide an approach for pricing one or more debt instruments with continuous dividend payments.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124972647","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
Efficiency of Working Capital Management and Firm Value: Evidence From Chinese Listed Firms 营运资金管理效率与企业价值:来自中国上市公司的证据
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-08-08 DOI: 10.5430/ijfr.v10n6p133
R. Vijayakumaran
{"title":"Efficiency of Working Capital Management and Firm Value: Evidence From Chinese Listed Firms","authors":"R. Vijayakumaran","doi":"10.5430/ijfr.v10n6p133","DOIUrl":"https://doi.org/10.5430/ijfr.v10n6p133","url":null,"abstract":"This paper examines the relationship between the efficiency of working capital management (WCM) and the firm value, focusing on a large panel of Chinese listed companies. WCM which involves a trade-off between profitability and risk is a very important element of the financial management of the firm. The net trade cycle (NTC) and its components are used to measure efficiency of WCM, while the firm value is measured by the Tobin’s Q ratio. The study makes use of the panel data methodology to estimate the regression models. This study reports that the net trade cycle is negatively associated with firm value. More specially, the study finds that firm value is adversely affected by the number of days accounts receivable and inventories, indicating that working capital provides a real opportunity for financial executives to release cash and improve firms’ value. The findings of this study are consistent with the idea that managers can enhance firm value by efficiently managing the investment in working capital.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134480088","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: 16
Primary Dealers During the 2007-08 Crisis: Assessing Risks and Vulnerabilities 2007-08年危机期间的一级交易商:风险和脆弱性评估
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-07-19 DOI: 10.2139/ssrn.3260212
M. Macchiavelli
{"title":"Primary Dealers During the 2007-08 Crisis: Assessing Risks and Vulnerabilities","authors":"M. Macchiavelli","doi":"10.2139/ssrn.3260212","DOIUrl":"https://doi.org/10.2139/ssrn.3260212","url":null,"abstract":"We study key vulnerabilities of the US Primary Dealers during the 2007-08 financial crisis. Dealers’ exposure to risky assets drives the repo run; importantly, repos become sensitive to counterparty risk only at the height of the crisis. Further, the way in which dealers use repo funding exposes them to several risks: financing illiquid assets with overnight repos exposes dealers to significant fire-sale risk; dealers are also exposed to rollover risk due to the maturity mismatch they take when intermediating credit to clients. Finally, we show how quickly illiquidity can spread across dealers, via chains of settlement fails.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128213386","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: 1
Corporate Capital Structure Actions 公司资本结构行为
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2019-06-26 DOI: 10.2139/ssrn.2883093
Murray Z. Frank, Tao Shen
{"title":"Corporate Capital Structure Actions","authors":"Murray Z. Frank, Tao Shen","doi":"10.2139/ssrn.2883093","DOIUrl":"https://doi.org/10.2139/ssrn.2883093","url":null,"abstract":"This paper is a study of the financing actions by firms to adjust leverage: debt reductions, stock sales, debt issues, and stock purchases. Each type of action is positively autocorrelated. The standard empirical models of corporate leverage produce leverage targets that do not correctly predict actual debt issues and stock sales. Firm-specific time-series regressions with the logarithm of firm assets and market-to-book as regressors, correctly predict these patterns. The estimates imply that on average firms adjust toward their target much faster than generally understood, closing about half of the leverage gap in a year.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129715840","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: 21
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