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Jeschke, Dirk Alexander. "Structured Finance Strategies to Finance Acquisitions /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04608220001/$FILE/04608220001.pdf.
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von, Cramer-Klett Ludwig. "Real Estate Structured Finance." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04602454001/$FILE/04602454001.pdf.
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Kramer, Florian. "Modeling and analysis of structured finance products." [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-66270.
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Lang, Mathias. "On the Categorization of Structured Products in Finance." St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05604715001/$FILE/05604715001.pdf.
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Deb, Anit [Verfasser], Dirk [Akademischer Betreuer] Schiereck, and Ulrich [Akademischer Betreuer] Hommel. "Performance of Structured Finance: Capital Market Perception of Structured Finance in the Financial Crisis / Anit Deb. Betreuer: Dirk Schiereck ; Ulrich Hommel." Darmstadt : Universitäts- und Landesbibliothek Darmstadt, 2012. http://d-nb.info/1106256883/34.
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Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.
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Triki, Emna. "Optimisation de portefeuille en présence des biais comportementaux." Thesis, Cergy-Pontoise, 2019. http://www.theses.fr/2019CERG1039.
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La finance comportementale est une nouvelle science qui remet en question les principes de la finance classique qui est basée sur la rationalité des investisseurs et l’efficience du marché financier. Elle consiste à mieux intégrer la psychologie à la finance et d'expliquer les anomalies du marché financier causées par le comportement humain réel. Ces anomalies sont essentiellement liées à des facteurs psychologiques (des biais psychologiques) qui sont susceptibles d’influencer la prise de décision de l’investisseur, à savoir notamment l'aversion à l'ambiguïté, l'aversion au regret et l'aversion à la déception. Ces biais ont favorisé l'émergence de plusieurs théories d'utilités alternatives à la théorie de l'utilité classique : la théorie d’ambiguïté, la théorie du regret et la théorie de déception. Ces théories ont été appliquées dans le cadre de la gestion de portefeuille standard et structuré y compris dans le cas multidimensionnel.Dans le cadre de cette thèse, nous avons développé des modèles mathématiques d’optimisation de portefeuille dans le cadre de la gestion structurée dans le cas multidimensionnel en prenant en compte l’aversion à l’ambiguïté, l’aversion au regret et l’aversion à la déception. D’abord, nous avons déterminé et examiné le profil du portefeuille structuré optimal en présence de l’aversion à l’ambiguïté dans le cas multidimensionnel. Dans ce cadre, nous avons montré comment l’aversion au risque de l’investisseur et son aversion à l’ambiguïté au niveau des distributions des probabilités impactent le profil du portefeuille optimal. Nous avons montré aussi que lorsque les actifs risqués sont indépendants, la solution optimale correspond à la minimisation de la valeur absolue du ratio de Sharpe de chaque actif risqué. Nous avons également illustré l'effet de l'ambiguïté au niveau des corrélations entre les actifs risqués lorsque leurs rendements sont dépendants. Ensuite, nous avons établi un modèle qui permet de montrer comment le sentiment du regret/réjouissance peut impacter la valeur du portefeuille optimal par rapport au cas de l'utilité espérée standard. Dans ce cas, nous avons résolu le problème le plus général du positionnement optimal du portefeuille, en proposant une extension des résultats antérieurs de Leland (1980); Brennan et Solanki (1981) et Prigent (2006, 2007) au cas de la théorie du regret. Nous avons illustré numériquement les résultats antérieurs afin de déterminer l'impact de l'aversion au risque et de l'aversion au regret sur le choix du portefeuille optimal. Les résultats de notre étude ont montré que le sentiment de regret/réjouissance a un impact significatif sur l'allocation optimale dans le cadre de la gestion structurée. Enfin, nous avons étudié l'effet de l'aversion à la déception potentielle sur les pondérations des actifs risqués au sein du portefeuille optimal structuré dans le cas multidimensionnel en se basant sur le modèle fondamental de la théorie de la déception de Loomes et Sugden (1986). Nous avons examiné l'allocation du portefeuille optimal, dans le cas buy-and-hold, en maximisant la fonction d'utilité espérée de l'investisseur en présence d'aversion à la déception dans le cas binomial et dans le cadre Lognormal. Par la suite, nous avons développé un modèle d’optimisation de portefeuille structuré afin de déterminer la fonction de paiement du portefeuille optimal en maximisation la fonction l'utilité espérée de l'investisseur en présence d'aversion à la déception dans le cas multidimensionnel<br>Behavioral finance is a new science that challenges the principles of traditional finance, which is based on investor rationality and financial market efficiency. It consists in better integrating psychology into finance and explaining the anomalies in the financial market caused by human behaviour. These anomalies are mainly related to psychological factors (psychological biases) that are likely to influence the investor's decision-making, including ambiguity aversion, regret aversion and disappointment aversion. These biases favored the emergence of several utility theories as an alternative to the classical utility theory: ambiguity theory, regret theory and disappointment theory. These theories were applied in the context of standard and structured portfolio management, including in the multidimensional case.As part of this thesis, we developed mathematical models of portfolio optimization within the framework of structured management in the multidimensional case by taking into account ambiguity aversion, regret aversion and disappointment aversion. First, we identified and examined the profile of the optimal structured portfolio in the presence of ambiguity aversion in the multidimensional case. In this context, we have shown how investor risk aversion and ambiguity aversion in probability distributions affect the profile of the optimal portfolio. We have also shown that when risky assets are independent, the optimal solution is to minimize the absolute value of the Sharpe ratio of each risky asset. We have also illustrated the effect of ambiguity in the correlations between risky assets when their returns are dependent. Then, we established a model that shows how the feeling of regret/rejoicing can affect the value of the optimal portfolio. In this case, we solved the general problem of optimal portfolio positioning, by proposing an extension to the previous results of Leland (1980); Brennan and Solanki (1981) and Prigent (2006, 2007) in the case of the regret theory. We established a numerical illustration of previous results to determine the impact of risk aversion and regret aversion on the choice of the optimal portfolio. The results of our study showed that the feeling of regret/rejuvenation has a significant impact on the optimal allocation in the context of structured management. Finally, we studied the effect of potential deception aversion on risk asset weights within the optimal structured portfolio in the multidimensional case using Loomes and Sugden's (1986) fundamental deception theory model. We examined the allocation of the optimal portfolio, in the buy-and-hold case, by maximizing the investor's expected utility function in the presence of disappointment aversion in the binomial case and in the Lognormal framework. Subsequently, we developed a structured portfolio optimization model in order to determine the optimal portfolio payment function by maximizing the investor's expected utility function in the presence of disappointment aversion in the multidimensional case
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Bavoso, Vincenzo. "Explaining financial scandals : corporate governance, structured finance and the enlightened sovereign control paradigm." Thesis, University of Manchester, 2012. https://www.research.manchester.ac.uk/portal/en/theses/explaining-financial-scandals-corporate-governance-structured-finance-and-the-enlightened-sovereign-control-paradigm(9ba15ea7-692c-4fd2-bff3-d5e6a06f5bff).html.
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The explosion of the global financial crisis in 2007-08 reignited the urgency to reflect on the origins and causes of financial collapses. As the above events kick-started an economic meltdown that is still ongoing, comparisons with the Great Crash of 1929 started to abound. In particular, the externalities that a broad spectrum of societal groups had to bear as a consequence of various banking failures highlighted the necessity of a more inclusive and balanced regulation of firms whose activities impact on a wide range of stakeholders.The thesis is centred on the proposal of a paradigm, the “enlightened sovereign control”, that provides a theoretical, institutional and substantive framework as a response to the legal issues analysed in the thesis. These stem primarily from the analysis of two sequences of events (the 2001-03 wave of “accounting frauds” and the 2007-08 global crisis) which represent the background upon which modern financial scandals are explained. This is done by highlighting a number of common denominators emerging from the case studies (Enron and Parmalat, Northern Rock and Lehman Brothers) which caused financial instability and scandals. The research is grounded on the initial recognition of theoretical themes in the field of corporate and financial law, which eventually link with the more practical events examined. This parallel enquiry leads to the investigation of two heavily interrelated spheres of law and finally highlights more practical legal issues that emerge from the analysis.Through this multifaceted approach, the thesis contends that the occurrence of financial crises during the last decade is essentially rooted in two main problems: a corporate governance one, represented by the lack of effective control systems within large public firms; and a corporate finance one identified with the excesses of financial innovation and related abuses of capital market finance. Research conducted in this thesis ultimately seeks to contribute to current debates in the areas of corporate and financial law, through the proposals of the “enlightened sovereign control” paradigm.
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Bashtay, Nenus, and Mattias Lindqvist. "Why Buy a Structured Product from a Bank? : A combination of weighted products to outperform the market." Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-11705.
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Aim: The purpose of the thesis is to give small private investors an insight the financial world of derivatives and to show that an investor does not need to consult with an advisor in order to make decisions about the investments. The aim was to show through a new product that a small investor can beat the market return. Method: The method used in the thesis is to collect data over a three year period for an option, a bull ETF and a treasury bill. The database DataStream was used to obtain statistics of the option and the Treasury bill and Nasdaq OMX Nordic was used for the Bull ETF. We calculated the expected return and variance of each in order to use in the portfolio. Having the information needed we then used a trial-and-error method to calculate the weight each component will be given, with the help of Excel and its Solver add-on. Result & Conclusion: The results were surprising in that over the three year period the product had a 100% increase, while the market only went up by 30%. The major reason for the products strong return was that the daily earnings were shifted everyday so that the weights remained constant throughout the life of the product. The issue with the product was that no transaction costs were included in the calculations, and as there would be at least one transaction per day the costs would be enormous for the given product. Suggestions for Further Research: As one of the limitations for the thesis was that no transactions cost were included, one idea for further research could be to calculate the transaction costs as well as seeing if there is a method to minimize them so that the product could be profitable. Contribution to the Field: To our knowledge we are the first to test theses three components in order to from a structured product. Through our method interested parties could do the same with other components or retest our product. We have showed through our method one way to create your own structured product.
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Onjewu, Adah-Kole. "A thematic analysis of anticompetitive behaviour in the credit rating process of structured finance." Thesis, University of Plymouth, 2018. http://hdl.handle.net/10026.1/11162.
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The credit rating industry is characterised by the high concentration of a small number of firms and, allegedly, this concentration stems from certain anticompetitive behaviours made manifest by the dominant firms in the industry. Therefore, as has yet to be done in empirical research, the purpose of this study is to carry out an exploration of the antitrust behaviours supposedly perpetuated by agents in the credit rating process for debt finance. The aim is to determine what influences, if any, the interactions and relationships in the rating process have on the sustenance of the oligopoly in the rating industry and on impeding new rating agencies trying to enter the market. Through the application of thematic analysis, this study aims to gather evidence on the behavioural motivations of rating analysts and underwriters in the rating process. Furthermore, the theoretical framework suggests notching and tying to be the anticompetitive behaviours that strengthen the oligopoly. Hence, the study finds that the drivers of anticompetitive notching in the rating process are the taking of haircuts and mapping, the guise of protecting investors’ interests, punitive ratings and a quid pro quo rating norm. Similarly, it finds that the enablers of anticompetitive tying are continuous dealing in the rating process, covert negotiation, repeat rating requests, ancillary services and the regulatory overdependence on credit ratings. In addition, this thesis explores the impediments of new rating agencies trying to enter the credit rating industry and finds that new rating agencies face peculiar market, regulatory and organisational barriers. Firstly, the market barriers comprise arbitrage, economic rents, investor preference and the issuer-pay model. Secondly, the regulatory barriers are discretionary regulation, new regulations and the designation of nationally recognised statistical rating organisation status. Lastly, the organisational barriers include down-trading, inadequate funding, the lack of geographic spread, low added intellectual value and a narrow product and service scope. Finally, this research recommends for regulatory authorities to agree to a harmonised convention on the recognition of credit rating agencies that may lead to the emergence of new robust agencies. It also proposes the standardisation of mapping practices in the notching process to reduce rating variance among credit rating agencies. Lastly, the research offers evidence of notching for competition and tying through informal services that may substantiate antitrust liability for possible antitrust intervention.
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Leung, Woon Sau. "Financial contagion from the US structured finance market : evidence from international markets and asset pricing perspectives." Thesis, Cardiff University, 2014. http://orca.cf.ac.uk/60500/.
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Given the growing importance of securitisation to financial stability, it is surprising that empirical studies on the role of the US structured finance market in the recent crisis have been relatively sparse. To fill this gap, this thesis studies the US structured finance market (tracked by the ABX indices) and addresses various important research questions specific to the recent 2007 to 2009 financial crisis. First, I contribute to the contagion literature by extending Longstaff’s (2010) investigation to an international market perspective. Evidence of contagion from the ABX indices to the G5 international equity and government bond markets via the funding illiquidity and credit risk channels during the subprime crisis is documented. Second, I formulate a multifactor model with crisis interaction effects and document significant increases in the ABX AAA factor loadings during the subprime crisis, which is consistent with contagion. My cross-sectional pricing tests show that the ABX AAA factor significantly explains the cross-section of expected returns during the subprime crisis; that is, the impact of contagion on the US equity market was reasonably systematic. I compute a simple statistic that gauges the degree of the stocks’ exposure to the ABX innovations in each month and find that the exposure spiked in February, July and October 2007 and in February, July and November 2008. Third, I investigate whether the US bank holding companies’ fundamental characteristics determine bank equity risks during the recent crisis. I depart from prior studies and consider bank equity risks relating to the banks’ exposure to the ABX innovations, the asset-backed money market and the market wide default risk in a variance decomposition. My study establishes the link between the banks’ fundamental and equity risks, and shows that banks’ regulatory capital requirement is an effective means to limit banks’ exposure to systemic risks in relation to funding illiquidity. Lastly, I document compelling evidence of quarterly bank stock return predictability based on variables relating to banks’ profitability, loan asset credit quality, capital adequacy and equity risks over the 2006 to 2011 period. By studying the turnover ratios and order flows, I show that bank stocks with weaker fundamentals and smaller size were traded more intensely in the following quarter while the higher trading activity was dominated by selling pressure. The evidence lends support to my ‘fire sale’ or ‘flight-to-safety’ hypothesis and reveals that the banks’ fundamental variables and size were the major criteria used by investors in formulating their ‘flight’ decisions during the recent crisis.
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Benhamou-Gabriel, Archibald. "Les financements structurés et le droit des entreprises en difficultés." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01D027/document.
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Les financements structurés semblent se construire comme des instruments de neutralisation de la procédure collective. Ces montages, utilisés tant en matière de financement d'acquisition (LBO) qu'en matière de financement de projet, ont vocation à influencer tant lu saisie collective que les répartitions qui en découle (première partie). Face au caractère d'ordre public de la procédure collective, le nombre de stratégies permettant d'assurer l 'efficacité des financements structurés en cas de restructuration est limitée. Les montages pourront s'appuyer sur deux méthodes s'appuyer sur des textes dérogatoires (ex : titrisation) ou s'appuyer sur les limites des procédures collectives pour éviter les effets de la faillite (ex : les double Lux co). L'utilisation des limites du droit des procédures collectives ou de régimes spécifiques sera-t-elle suffisante pour échapper aux contraintes des procédures collectives? Cette question se posera tant durant la phase de saisie collective que durant celle des répartitions. Il conviendra donc d'étudier la résistance de financements structurés face à l'épreuve de la procédure collective (seconde partie)<br>Structured finance seems to be design as a tools to neutralize insolvency procedures. Those financing agreement, used in LBO and in project finance, are intended to influence both the assets seizure and the resulting distributions during the restructuring process (Part 1 ). Most of the time, rules of insolvency procedures are considered binding and should not be impacted by contracts. Therefore, the number of efficient strategies for structured finance in the event of restructuring ore limited. The structure can be based on specific legal status (e.g: securitization) or rely on the limits of insolvency procedures (c.g.: schemes implying Luxemburgish holding). Will contractual forecast defined by structured finance be enforceable during the restructuring process? It will therefore be necessary to study the resistance of structured finance to the constrained or insolvency procedures (second part)
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Zhang, Miao, and 张苗. "Hong Kong investors' experience with structured financial products: financial literacy, learning, and socialnetworks." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4492169X.
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Hylden, George. "Systematic market (in-)efficiency in options, portfolios and portfolios of options : theoretical derivations and empirical evidence from private equity and structured finance." Thesis, University of Cambridge, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.607689.
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Graham, Ian. "The influence of an expository and a Piagetian-based teaching methodology on the mastery of the ill-structured problem of stagflation /." Title page, contents and abstract only, 1992. http://web4.library.adelaide.edu.au/theses/09EDM/09edmg739.pdf.
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Van, Heerden Yvette. "Trade finance as a barrier to SME internationalisation: special reference to African trade with China / Y. van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4403.
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The importance of small and medium-sized enterprises (SMEs) in the economy should not be overlooked. The main function of SMEs is to contribute to the economic activities in a country, through the provision of goods and services to the public or other firms. These goods and services could be traded internationally, thus increasing a country?s export performance. It is important for economic growth that SMEs grow within their respective economies. One way that SMEs can achieve growth is through internationalisation. Firms are internationalising faster than ever before (because of advances in telecommunications and transportation) and internationalisation theories that can provide practical guidance to firms are more important today than in the past.
A firm?s ability to internationalise no longer only depends on the quality of the product, the delivery terms and competitive prices. Internationalisation increasingly depends on the ability and willingness of financial institutions to grant credit. Obtaining trade finance has become a major hindrance to SME internationalisation, especially in Africa. By overcoming the difficulties in obtaining trade finance, African SMEs will be able to expand into foreign markets.
The purpose of this study is to determine how African SMEs can overcome trade finance barriers to internationalisation. SMEs can do so by mitigating the risks involved in every international transaction and by becoming ?trade finance ready?.
A trade finance facility that is well suited for African SMEs (because it revolves around identifying and mitigating the risks involved with their international transactions) is structured trade and commodity finance. In trading with China, African SMEs can obtain structured trade and commodity finance from a specialist financial institution that focuses on the Chinese market (which is the focus of this study). China Construction Bank (Johannesburg branch), through their association with Rand-Asia Trade Finance, provides structured trade and commodity finance to African SMEs. The key to receiving structured trade and commodity finance is that these SMEs, together with China Construction Bank (Jhb) and Rand-Asia Trade Finance have to mitigate the risks involved with their international transactions so that the SMEs can become ?trade finance ready?.<br>Thesis (M.Com. (International Commerce))--North-West University, Potchefstroom Campus, 2011.
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Romazzotti, Laure. "Collectivités locales et produits financiers structurés." Thesis, Pau, 2018. http://www.theses.fr/2018PAUU2037/document.
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La crise économique et financière de 2008 a été un moment révélateur pour les collectivités locales et les établissements de crédit dans l’utilisation des produits financiers structurés devenus « toxiques ». Depuis de nombreuses années, ces deux acteurs ont établi des relations contractuelles basées sur la combinaison de produits financiers classiques et de produits financiers dérivés devenus de plus en plus sophistiqués. Or, le contexte dans lequel ces relations s’exercent devient complexe et nécessite une prise de décision immédiate et durable pour encadrer leur avenir. Que ce soit le juge par sa jurisprudence ou l’État et le législateur qui ont mis en place un fonds de soutien, des lois, des circulaires et une charte, chacun a tenté de trouver des solutions aux problèmes rencontrés par les collectivités locales et leurs partenaires financiers.L’objet de notre thèse sera d’expliquer les raisons et les conséquences de l’utilisation, par les collectivités locales, de ces produits d’un nouveau genre proposés par les établissements de crédit. En suivant la chronologie des évènements que les acteurs en présence ont vécu, des réflexions juridiques seront menées autour de ces relations contractuelles passées, présentes et futures<br>The 2008 economic crisis was a revealing event for local and regional authorities and credit institutions regarding the use of structured finance products, which had become « toxic ». For many years, both of them have been establishing contractual relationships based on the association of standard structured finance products and increasingly sophisticated derived finance products. However, as the context in which such relationships are taking place is becoming complex, an immediate and a sustainable decision-making is necessary to provide a framework to their future. Whether it is the judge through case laws or the State and the legislator through the development of a support fund, various laws, circular notes and a charter, each of them has tried to find solutions to the problems faced by the local and regional authorities and their financial partners.The object of the thesis is to explain why local and regional authorities used this new type of finance products provided by credit institutions and what the resulting consequences were. Following the chronology of the events experienced by all of these stakeholders, legal considerations on these past, current and future contractual relationships will be presented
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Reis-Roy, Calvin. "An analysis of the law and practice of securitisation." Thesis, University of Wolverhampton, 2007. http://hdl.handle.net/2436/14405.
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The introduction, and evolution of securitisation over the years, has made a phenomenal contribution to the area of corporate finance. Securitisation is specialised area which has evolved to deliver considerable advantages to banks and their corporate and government clients, a sub-subjected explored in this thesis. Securitisation is using the cashflow, creditworthiness and collateral of receivables to raise finance from the capital markets. To date, research on the subject of securitisation has produced a few textbooks and numerous articles written by academics and practitioners. The ambit of these writings addresses three questions, namely, what is securitisation; how does it work in practice; and how can securitisation be developed so that it can continue delivering advantages in the evolving world of corporate finance. Securitisation is very much a practical subject, and given that the author had very little, if any, practical exposure to the subject prior to developing this thesis, the author, admittedly, felt challenged to ascertain significant issues that could be developed to the extent that such development represents an original contribution to knowledge. Case law in the US had already explored the most significant issue regarding securitisation, namely, true sale. Armed with a solid theoretical base of knowledge that author looked for inspiration, and discovered it during the initial days when the Enron scandal hit the headlines. In short, the Enron scandal involved using the concept of securitisation to facilitate financial crime. The masterminds (if its appropriate to use such description) of the scandal, as this thesis will unfold later, cleverly used thousands of securitisation and hedging transactions to raise funds in order to give financial creditability to a giant corporation which on the surface appeared prosperous but, in reality, was breathing to a large extent on borrowed funds. This scandal, in which securitisation was used, inspired the author to develop the originality of the thesis by focusing on the issue of securitisation and financial crime. Given that financial crime is a huge area to explore, the author narrowed the focus to look at money laundering, and address the question: can the practice of securitisation facilitate money laundering? To approach this question and answer it at doctorate level required a solid understanding of what securitisation is and how it works in practice. Using textbooks, articles and conversations with practitioners, the thesis documents under Part 1, what securitisation is and how it works in practice before moving on to Part 2 to look at if and how securitisation can facilitate money laundering.
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Fredriksson, Malin. "Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162.
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Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. Since the structured products are non-linear, it is difficult to asses their long-term risk today. This study, conducted at Nordea Markets, focuses on the risk of structured products and how the risk and return in a portfolio changes when we include structured products into it. Nordea can only calculate the one-year risk with their current risk advisory tool, which makes long time predictions difficult. To solve this problem, we have simulated portfolios and structured products over a five-year time horizon with the Monte Carlo method. To investigate how the structured product allocations behave in different conditions, we have developed three test methods and a ranking program. The first test method measures how different underlying assets changes the risk and return in the portfolio allocations. The second test method varies the drift, volatility, and correlation for both the underlying asset and the portfolio to see how these parameters changes the risk and return. The third test method simulates a crisis market with high correlations and low drift. All these tests go through the ranking program, the most important part, where the different allocations are compared against the original portfolio to decide when the allocations perform better. The ranking is based on multiple risk measures, but the focus in this study is at using Expected Shortfall for risk while the expected return is used for ranking the return. We used five different reference portfolios and six different structured products with specific parameters in an example run where the ranking program and all three test methods are used. We found that the properties of the reference portfolio and the structured product’s underlying are significant and affect the performance the most. In the example run it was possible to find preferable cases for all structured products but some performed better than others. The test methods revealed many aspects of portfolio allocation with structured products, such as the decrease in portfolio risk for Capital Protected notes and increase in portfolio return for Participation notes. Our ranking program proved to be useful in the sense that it simplifies the result interpretations.
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Pinheiro, Fernando Antonio Perrone. "Securitização de recebíveis: uma análise dos riscos inerentes." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-01102008-090522/.
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A securitização de recebíveis é uma modalidade de estruturação financeira que permite à empresa originadora de créditos o acesso direto ao mercado de capitais, constituindo-se em importante ferramenta para a desintermediação financeira. Basicamente, esta modalidade consiste na cessão dos créditos a uma companhia constituída especificamente para este fim e a emissão de títulos, por esta última, lastreados nos créditos adquiridos. O investidor em um título securitizado se beneficia porque não corre o risco da empresa originadora dos créditos, e sim o risco diversificado dos recebíveis que lastreiam o título. No Brasil, a securitização se desenvolveu na forma dos fundos de investimento em direitos creditórios os FIDCs , que captam emitindo cotas seniores e cotas subordinadas. Este trabalho investiga as técnicas relacionadas à securitização, as práticas do mercado de capitais, os benefícios desta modalidade de estruturação financeira, e avalia os riscos dos FIDCs para o investidor em cotas sênior e para o originador que, normalmente, adquire as cotas subordinadas. São apresentadas também as normas estabelecidas pelas autoridades monetárias visando fazer frente aos riscos inerentes à securitização, uma vez que esta forma de estruturação é largamente empregada por instituições financeiras; e avaliado se estas normas estão adequadas para seu propósito.<br>The securitization is a type of structure finance which allows a company capable of originate receivables to access the capital market, and so, contributing to the financial disintermediation. Basically, the securitization consists in selling credits for a special purpose vehicle, responsible for issuing securities collateralized by those receivables. The investor in a securitized obligation has the benefit of avoiding the risks coming from the credit originator, but the diversified risk from its collateral. In Brazil, the securitization took the form of mutual funds the FIDC, which borrow funds by issuing senior and subordinated cotes. This study investigates the securitization techniques, the capital market practices, the benefits of this structure finance model and, in the case of a FIDC, the risks arising from senior and subordinated cotes. The rules established by the monetary authorities focusing the risks inherent of the securitization process are also presented, considering the fact this structure is largely used by financial institutions; additionally, the adequacy of those rules are evaluated.
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Priaulet, Philippe. "Structure par terme des taux d'intérêt : reconstitution, modélisation et couverture." Paris 9, 1997. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1997PA090059.
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Notre travail se compose de quatre chapitres qui s'articulent autour des enjeux principaux auxquels les marchés financiers sont confrontés en matière de taux d'intérêt. Le chapitre 1 est consacré à la comparaison de cinq méthodes paramétriques de révélation de la courbe des taux zéro-coupons, fondées sur l'ajustement d'une fonction d'actualisation sous forme de fonction spline ou sur l'ajustement des taux zéro-coupons sous forme d'une fonction de plusieurs paramètres. Dès l'instant où cette gamme est reconstituée, l'étape suivante consiste à imaginer comment elle va évoluer au cours du temps, sujet qui est au cœur du chapitre 2. Nous envisageons alors, les quatre grands courants de modélisation, l'univers de Black et Scholes [1973] adapté, les modèles à variables d'état explicatives, les modèles "martingale", et les modèles d'équilibre général. Il s'agit de synthétiser l'ensemble des connaissances sur le domaine pour tenter de répondre à la question que tout acteur du marché se pose : "quel modèle retenir ?" dans le chapitre 3, nous explorons un modèle tri-factoriel à volatilités déterministes, en vue de l'évaluation et la couverture de produits dérivés de taux. Notre optique est de caler en permanence le modèle sur les trois facteurs de déformation obtenus généralement par l'A. C. P. Enfin, le chapitre 4 jette un nouveau regard sur le contrôle du risque de taux. Le test de six techniques différentes sur un portefeuille à couvrir de type obligataire, permet d'apporter des alternatives aux marchés financiers, qui traditionnellement utilisent les procédés en duration et duration-convexité<br>Our work consists of four chapters which are based on the main stakes of interest rate markets. In the chapter 1 we present and compare five parametric methods to determine the current term structure of interest rates from bond data. An application to the French market is described. The chapter 2 deals with modeling the term structure of interest rates through an analysis of four different theories: Black-Scholes adapted universe, state variables models, martingale models and equilibrium models. The aim is to answer this basic question: "which model should one use?" in the chapter 3 we explore a trifactor model with deterministic volatilities in order to price and hedge any kind of interest rates derivatives. In our approach we use results of P. C. A. (principal component analysis) to obtain parameters of the model. In the chapter 4 classical hedging strategies are reconsidered. A bond portfolio is constructed over one month to compare six different hedging techniques. Very efficient alternatives to duration and duration- convexity methods are obtained
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Etienne, Aubrey Olivier. "Corporate capacity, special purpose vehicles, and traditional securitisation in South African company Law." University of the Western Cape, 2019. http://hdl.handle.net/11394/7635.
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Doctor Legum - LLD<br>The ideals of shareholder and creditor protection are affected by legislation pertaining
to the validity of a company’s transactions. Until legislative reforms introduced in the
twentieth century, a company’s capacity and the ultra vires doctrine traditionally limited
the company’s ability to contract. Therefore, the legal framework regulating corporate
capacity influences a company’s interactions with outsiders. The goal of the law in this
regard should be to facilitate commerce while providing adequate protection to all
affected stakeholders. South Africa’s Companies Act 71 of 2008 (the Act) contains
several novel provisions regarding a company’s capacity, the desirability of which is
questionable.
Special purpose vehicles (SPVs) are used for various purposes in commerce, from
asset holding in the financial services sector to concluding complex financial functions
in corporate finance. For instance, traditional securitisation is a financial engineering
technique that makes use of corporate SPVs. Traditional securitisation is a valuable
risk management, earnings management, and corporate financing tool. Incorporators
of securitisation SPVs often include capacity restrictions in the constitutions of such
entities as a means of reducing the likelihood that the SPV will be subject to liquidation
proceedings.This thesis analyses the capacity provisions in the Act to determine
whether they provide a commercially desirable framework to facilitate the activities of
SPVs used in traditional securitisation schemes.
The thesis argues that the capacity provisions in the Act in their current form are
undesirable because they place third parties at too great a risk in exchange for
inconsistent and unreliable shareholder protection. Executory ultra vires contracts
concluded by limited capacity companies are at the same time valid and capable of
being restrained by a single shareholder, director or prescribed officer of the company.
It is argued that the Act’s approach to corporate capacity is detrimental to commercial
certainty and creditor protection, and that capacity restrictions under the current
framework do not provide any more shareholder protection than ordinary authority
limitations would. Consequently, it is argued that the capacity provisions in the Act do
not make a positive contribution to the “insolvency-remoteness” of SPVs used in
traditional securitisation schemes. It is recommended that the capacity provisions in
the Act should be substantially amended, or deleted.
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Rayfield, Blake K. "Technological Diversity in Finance." ScholarWorks@UNO, 2018. https://scholarworks.uno.edu/td/2488.
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The dissertation consists of two chapters on measuring firms technological profile. Patent data can be grouped into two primary generations. The first generation lead by the work of Schmookler (1966), Scherer (1982), and Griliches (1984), and the second generation led by Trajtenberg, Jaffe, and Henderson (1997) and Kogan et al. (2016). When combined, both generations data spans from nearly 1926-2010 and has made a meaningful impact on innovation research. In the first chapter, I propose a third generation of patent data. The third generation of patent data has two distinct contributions. First, it extends patent-firm ownership information beyond 2010 to 2016. The new dataset uses the established connections of previous datasets and builds on that information with additional data on firm names gathered from EDGAR. Second, it takes advantage of the information contained in the text of patents using text analysis. Using text analysis allows for greater flexibility over traditional measures. The second chapter investigates how ownership structure affects firm value. The previous literature has assumed more innovation is better, meaning the more innovation a business creates; the better off it is in the long-run. However, not all innovations are created equal. We contribute to the literature by investigating how institutional investors change future innovation, not in quantity, but diversity. Using several unique measures of technological diversification created from firm-level patent data, we show that institutional investors increase the focus on a firm’s future innovation. Our results are robust to the classification scheme. Ultimately, our results indicate institutional investors create value by encouraging firms to build on prior knowledge.
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Atrissi, Nizar. "La structure de financement des entreprises libanaises." Paris 1, 2005. http://www.theses.fr/2005PA010018.
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Le cadre institutionnel est un déterminant important de la structure financière des entreprises. Ainsi, élargir le champ d'étude à un nouvel environnement institutionnel est particulièrement intuitif pour la recherche en Corporate Finance, surtout lorsqu'il s'agit d'un pays en voie de développement, le Liban, non traité jusqu'alors par la littérature. La portée et les prédictions des théories de la finance moderne sont testées sur un panel d'entreprises libanaises établi préalablement à cet effet. Une nouvelle variable explicative de la dette financière, l'écart de réévaluation, a été introduite sur le plan théorique et testée empiriquement. Nous constatons l'universalité de certains modèles et leur capacité à expliquer le comportement financier des entreprises autres que celles exerçant dans les économies développées. Les différences quant à l'effet de certaines variables sont dues aux différences institutionnelles et à la nature des marchés financiers
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Dincbas, Karakaya Neslihan. "Essays in banking and corporate finance." Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLH013/document.
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Cette thèse se compose de trois chapitres distincts. Le premier chapitre examine le lien de causalité entre l’offre de prêts syndiqués par des banques et les contributions de campagnes électorales par des entreprises non-financières aux États-Unis au cours de la crise financière de 2007–2008. Les résultats indiquent qu’une diminution de 10% de l’offre de prêt à une entreprise donnée par ses prêteurs pré-crise pendant la première période de crise entraîne une augmentation de 9% des contributions de campagne par cette entreprise en 2008. De plus, le niveau de contributions de campagne par des entreprises dans le passé est positivement associé à des conditions de prêt favorables dans l’avenir. Les résultats appuient l’idée que les contributions de campagne sont un investissement dans le capital politique plutôt qu’une simple forme de bien de consommation. Le deuxième chapitre identifie l’effet d’exposition industrielle de banques avant leur entrée sur le marché sur la croissance de production des secteurs de fabrication. Les résultats indiquent que plus grande est la différence de spécialisation dans un secteur entre deux états, plus grand est l’impact d’intégration bancaire sur la croissance de ce secteur dans l’état qui est moins spécialisé. Le dernier chapitre examine si l’intégration bancaire dans plusieurs régions a un impact sur le marché de contrôle des entreprises entre elles. Les résultats indiquent qu’il y a plus de fusions, acquisitions et cessions dans les paires d’états dont les systèmes bancaires ont connu une plus grande intégration, par rapport à des paires d’états sans une telle intégration. Les résultats dans les deux derniers chapitres indiquent un canal bancaire qui façonne le paysage industriel d’états<br>This dissertation is made of three distinct chapters. The first chapter examines the causal link between banks’ syndicated loan supply and non-financial firms’ campaign contributions for US elections during the 2007-2008 financial crisis. The results indicate that a 10% decrease in loan supply of a given firm by its pre-crisis relationship lenders during the early crisis period leads to a 9% increase in firm’s campaign contributions in 2008. Further, firms’ level of past campaign contributions is positively associated with favorable loan terms for the future. The findings lend support to the idea that campaign contributions are an investment in political capital rather than merely a form of consumption good. The second chapter identifies the effect of banks’ industry exposures prior to market-entry on the output growth of manufacturing sectors through US bank-entry deregulations. The findings indicate that the larger the discrepancy in specialization in an industry between a state-pair, the higher the impact of banking integration on the growth of that sector in the state that is less-specialized. The last chapter examines whether banking integration across regions has any impact on the market for corporate control between them. The results show that there are more M&As and divestitures across state-pairs whose banking systems have experienced a higher integration, compared to state-pairs with no such integration. The findings in the last two chapters indicate a banking channel that shapes the states’ industrial landscape
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Silva, Maria Julia Costa Severiano da. "Uso de operações estruturadas para financiamento de projetos no setor sucroenergético brasileiro." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8708.
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Previous issue date: 2011-10-24<br>O setor sucroenergético brasileiro passou por um intenso ciclo de crescimento nos últimos anos. Ainda assim, a demanda de etanol no país continua a superar a capacidade de produção, principalmente devido ao sucesso dos carros flex-fuel. As usinas voltaram também a atenção à bioeletricidade, aos alcoolquímicos e a diversos outros subprodutos e coprodutos do processo de produção de açúcar e etanol. Por estes motivos, se faz necessária a realização de maiores investimentos em ampliação e modernização das atuais usinas, e no aumento do número de unidades de produção. Para que tais investimentos sejam realizados da maneira mais eficiente, é necessário conhecer todas as opções de linhas de crédito disponíveis. Uma delas, pouco usada e com bons resultados é a Structured Project Finance. O presente trabalho tem como objetivo discutir o modelo de Structured Project Finance e apresentá-lo como uma possível alternativa de financiamento de projetos de usinas de açúcar e etanol no Brasil. Sua principal contribuição é apresentar uma alternativa de financiamento que agregue mais valor ao negócio.<br>The Brazilian sugarcane industry has gone through an intense cycle of growth in recent years. Still, the demand for ethanol continues to outpace production capacity in the country, mainly due to the success of flex-fuel cars. The mills have also turned their attention to bioelectricity, non-fuel ethanol and several other co-products and by-products of the sugar and ethanol production process. For these reasons, major investments in expansion and modernization of existing mills, and the construction of new mill are necessary. For these investments to be carried out in the most efficient manner, all the available credit line options must be considered. One of them, infrequently used and with good results is Structured Project Finance. This paper aims to discuss the model of Structured Project Finance and present it as a possible alternative for financing sugar and ethanol mill projects in Brazil. Its main contribution is to present a financing alternative that generates added value to the business.
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Benouaich, David (David Olivier) 1970. "Financing and ownership structures in international project finance." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9093.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2000.<br>Includes bibliographical references (leaves 127-131).<br>In the past twenty years there has been a new wave of global interest in project finance as a tool for financing capital-intensive projects all around the world. The crucial elements in structuring a project finance transaction are: the risk allocation process, the determination of the best type of ownership structure, and the development of a complete and integrated set of financial and contractual arrangements. This thesis examines the ownership and financing structures in International Project Finance. Selection of the form of business organization for a project is an important step in project development and depends on a variety of business, legal, accounting, tax and regulatory factors. This thesis presents four forms of ownership structure most frequently used for developing a project and highlights the reasons of selecting one of them. The variety of sources of funds, with a trend towards the increasing development of sophisticated capital market instruments, provides project sponsors with flexibility to select the appropriate structure to finance a project. This thesis presents the three types of capital used in project financing and details the alternatives for financing a project from its development phase to its operating phase showing that the project financing is a dynamic process. After having developed a basic framework for structuring an international project finance transaction, this thesis ends by exposing projects financed on a project-financing basis. These projects are characterized by some specific features, such as refinancing prior to project completion or use of capital market financing.<br>by David Benouaich.<br>S.M.
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Iverson, Benjamin Charles. "Essays in Corporate and Consumer Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10835.
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The first essay tests whether Chapter 11 restructuring outcomes are affected by time constraints in busy bankruptcy courts. Using the passage of the Bankruptcy Abuse Prevention and Consumer Protection Act in 2005 as an exogenous shock to court caseloads, I estimate the impact of bankruptcy caseload changes on the outcomes of firms in Chapter 11. I find that as bankruptcy judges become busier they tend to allow more firms to reorganize. Firms that reorganize in busy courts spend longer in bankruptcy, while firms that are dismissed from busy courts are more likely to re-file for bankruptcy within three years of their original filing. In addition, busy courts impose costs on local banks, which report higher charge-offs on business lending when caseload increases. Using novel data that has complete coverage of claims for 136 Chapter 11 bankruptcy protection filings and that includes detailed information on claims transfers, in the second essay we provide the first empirical insight on how a firm's ownership changes during the bankruptcy process and how these changes impact bankruptcy outcomes. Pre-bankruptcy ownership concentration is important for the coordination of a prearranged bankruptcy filing and is associated with a faster bankruptcy resolution and a higher likelihood of a successful reorganization. However, as the trading of claims in bankruptcy concentrates ownership further, the probability of liquidation increases and recovery rates decrease. The third essay studies whether prize-linked savings (PLS) accounts, which offer random, lottery-like payouts to account holders in lieu of risk-free interest, can aid individuals in increasing savings levels by adding the chance to "win big." Using micro-level data, we show that PLS is attractive to a broad group of individuals across all age, race, and income levels. We find that financially constrained individuals and those with no other deposit accounts are particularly likely to open a PLS account. Participants in the PLS program increased their total savings on average by 1.1% of annual income, a 31% increase form the mean level of savings. Deposits in PLS do not cannibalize savings in standard savings products. Instead, PLS appears to act as a substitute for lottery gambling.
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Karagodsky, Igor. "Essays in Corporate Finance." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107406.
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Thesis advisor: Thomas J. Chemmanur<br>Thesis advisor: Arthur Lewbel<br>The dissertation aims to investigate the role of asymmetric information in capital structure, investment, compensation of mortgage servicers, and bond and equity returns. Specifically, I evaluate the impact of credit ratings on debt issuance and investment of private and public firms, as well as the effect of asymmetric information on compensation of loan servicers in the mortgage backed securities market. Further, I study the relationship between ratings issued by investor and issuer-paid credit rating agencies and equity analyst recommendations. Finally, I evaluate the effect of the aforementioned signals on bond and equity returns as well as firm leverage and investment decisions. Chapter one in the dissertation is the first study to empirically evaluate the effect of credit ratings on capital structure and investment for private U.S. firms, relative to equivalent public firms. I find that private firms constrain debt issuance and investment by 4.5 and 6.5 percentage points more than public firms, respectively, when their credit ratings are on upgrade or downgrade thresholds. Consistent with these results, private firms that become public through an IPO constrain debt issuance by 10 percentage points before going public, if their ratings are on an upgrade or downgrade boundary. The second chapter studies the impact of asymmetric information between mortgage sellers and servicers on mortgage servicer compensation. We proxy for asymmetric information using the decision to retain mortgage servicing rights, which creates a principal-agent problem between sellers and servicers. Using loan-level data on Fannie Mae-insured, full documentation mortgages, we first find that loans in which sellers retain servicing rights default and foreclose at a significantly lower rate, and lose less in foreclosure than those in which they are not retained. Since it is more costly to service non-performing loans, these ex-post differences in default rates should be reflected in servicer compensation. However, using Fannie Mae MBS pool-level data, we find no difference in servicing fees for pools in which servicing rights are retained relative to pools in which they are not retained. In order to identify the impact of seller/servicer affiliation on servicing fees, we exploit a post-crisis regulatory change which altered the incentive to retain servicing rights for small sellers of MBS relative to large sellers. Finally, in the third chapter, we evaluate the information flows to the stock and bond markets of issuer versus investor-paid rating agencies and equity analysts. Equity analysts' forecasts and ratings assigned by issuer-paid credit rating agencies such as Standard and Poor's (S&P) and by investor-paid rating agencies such as Egan and Jones (EJR) all involve information production about the same underlying set of firms, even though equity analysts focus on cash flows to equity and bond ratings focus on cash flows to bonds. Further, the two types of credit rating agencies differ in their incentives to produce and report accurate information signals. Given this setting, we empirically analyze the timeliness and accuracy of the information signals provided by each of the above three types of financial intermediary to their investor clienteles and the information flows between these intermediaries. We find that the information signals produced by EJR are the most timely (on average), and seem to anticipate the information signals produced by equity analysts as well as by S&P. We find that changes in leverage are associated with lower EJR ratings but higher equity analyst recommendations; further, credit rating changes by EJR have the largest impact on firms' investment levels. We also document an "investor attention" effect (in the sense of Merton, 1987) among stock and bond market investors in the sense that changes in equity analyst recommendations have a higher impact than either EJR or S&P ratings changes on the excess returns on firm equity, while EJR rating changes have a higher impact on bond yield spreads than either S&P ratings changes or changes in equity analyst recommendations. Finally, we analyze differences in bond ratings assigned to a given firm by EJR and S&P, and find that these differences are positively related to the standard proxies for disagreement among stock market investors
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Valdivieso, Ercos. "Essays on structural models in corporate finance." Thesis, University of British Columbia, 2017. http://hdl.handle.net/2429/62508.
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This thesis contains two essays in Structural Corporate Finance. The first essay studies the effect of asset redeployability on the cross-section of firms’ financial leverage and credit spreads. Particularly, I show that in the data firms’ ability to sell assets — captured by a novel measure of asset redeployability — correlates positively with financial leverage, and negatively with credit spreads. At odds with traditional notions of asset redeployability, I show that these predictions remain even after controlling for proxies of creditors’ recovery rates. To understand these empirical findings, I build a quantitative model where firms’ asset redeployability decreases the degree of investment irreversibility and deadweight cost of bankruptcy. According to the model, while higher overall asset redeployability predicts larger financial leverage and lower credit spread; these relations are mainly driven by differences in the degree of investment irreversibility across firms. Also, within the model, differences in recovery rates are mainly explained by differences in deadweight costs of bankruptcy. Based on these results, I conclude that the link between firms’ asset redeployability and disinvestment flexibilities is key to understand the empirical ability of asset redeployability to predict financial leverage and credit spreads.
The second essay provides new evidence about the cross-sectional distribution of debt issuance: its dispersion is highly procyclical. Furthermore, I show that this dynamic feature is mainly driven by large adjustments of the stock of debt and capital observed in good times. Previous research has highlighted the role of non-convex rigidities on inducing large adjustments on firms decisions. Then, to quantify the contribution of real and financial non-convex frictions on shaping the dynamic of the debt issuance cross-sectional distribution, I build a quantitative model where firms take investment and financing decisions. According to the model, both real and financial non-convex frictions are required to reproduce the dynamic of the cross-sectional dispersion of debt issuance. Indeed, the presence of these frictions makes firms’ decisions less responsive during recessions. Yet, in booms, both non-convex costs induce large adjustment on the capital and debt stock of high-growth firms.<br>Business, Sauder School of<br>Finance, Division of<br>Graduate
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Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.
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Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.
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Swaney, Colin. "Essays in empirical finance with latent structure modeling." Diss., University of Iowa, 2018. https://ir.uiowa.edu/etd/6297.
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This thesis consists of three essays that attempt to provide novel empirical analyses of important problems in finance. The first essay deals with the returns of actively managed mutual funds; the second and third essays attempt to bring further understanding to ultra high-frequency market microstructure data. The thread that binds these chapters together---if any---is the use of latent structure models. The first chapter attempts to identify unobserved populations of managers, the second looks for hidden structure in order book shapes, and the third searches for connections between order book events.
Evaluating the performance of actively managed equity mutual funds is among the most important topics in the field of finance. In the first chapter, I present a new assessment of the stock picking ability of actively managed funds that accounts for the occurrence of false positives, an issue that complicates traditional assessments. I find that while the data is consistent with a small group of alpha-generating funds, the composition of this population experiences significant annual turnover and is, therefore, difficult to identify in advance. Between 1975 and 2015, the returns to a fund selection strategy based on the classification method fail to generate alpha.
The second chapter begins a study of high-frequency limit order book data. With a view towards exploring the information content of limit orders, as opposed to market orders, I propose a factor model of order book shape. I start by building a unique dataset of Nasdaq limit order books that tracks order activity at ultra high-frequency. Analyzing over 20,000 stock-days, I find that the limit order book comprises three common factors, which I characterize as level, slope, and curvature. By combining these factors alongside price increments in a vector autoregression, I demonstrate that the factors not only explain limit order book shape but also predict returns over one-minute time intervals. In agreement with the claim that high-frequency traders serve a role in increasing market efficiency, I find a negative correlation between predictability and high-frequency trade activity.
In the third chapter, I explore a continuous-time, event-driven model of limit order book dynamics. It is the first analysis of its kind to examine the microstructure of a broad cross-section of markets, as well as the first to introduce a Bayesian framework for the study of mutually-exciting Poisson processes in order-driven microstructure models. The picture that emerges is that of a strongly self- and mutually-exciting process characterized by intensity ``spikes'' lasting mere fractions of a second. The largest of these spikes are expected to generate between 0.5 and 2.0 order book events--up to 120 times the number of expected events per second. In the typical order book, market orders demonstrate a significant influence on limit orders and cancellations, but the relationship is non-reciprocating: while limit orders and cancellations exhibit strong interactions with each other, they have no effect on the arrival of market orders. Over 99.5% of the markets examined are stable, and in every market examined, the network model significantly improves in-sample fit relative to a baseline Poisson model. I argue that this improvement is due almost entirely to the most active 20-25% of connections.
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Yu, Bing. "Agency Costs of Stakeholders and Corporate Finance." Kent State University / OhioLINK, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=kent1258316541.
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Müllner, Jakob. "International project finance: review and implications for international finance and international business." Springer, 2017. http://dx.doi.org/10.1007/s11301-017-0125-3.
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This literature review analyzes the global phenomenon of international
project finance (PF) as both a management and finance instrument, allowing practitioners
to realize large scale infrastructure projects in high risk contexts. After describing
the characteristics of PF, its historical origins and its unique benefits for empirical
inquiry, I summarize the findings of academic research from an interdisciplinary perspective.
Based on this integration of Finance, Management and International Business
research, I discuss the theoretical implications for each field that emanate from PF.
Finally, I identify possibilities for future research and propose a more balanced, interdisciplinary
academic treatment of PF.
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BOTTA, MARCO. "L'enigma della struttura finanziaria: analisi dell'area euro." Doctoral thesis, Università Cattolica del Sacro Cuore, 2007. http://hdl.handle.net/10280/111.
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Utilizzando un campione di imprese non finanziarie quotate appartenenti all'area euro, analizzo le determinanti della struttura finanziaria aziendale. Coerentemente con il tradizionale approccio teorico, utilizzo una misura dell'indebitamento a valori di mercato, stimato col modello di Black-scholes-merton. alcune variabili analizzate hanno effetti simili nei vari paesi, mentre altre cambiano: il rischio, misurato con la volatilità del valore di mercato dell'attivo, è la variabile più rilevante. Il rischio e l'asimmetria informativa su di esso rendono il debito meno attraente, a causa di maggior costi attesi di fallimento, minore vantaggio fiscale e maggiori costi di agenzia. La nazionalità influenza le scelte finanziarie. l'integrazione dei mercati finanziari nell'area euro cambia significativamente a seconda dei segmenti di mercato considerati: il mercato monetario ed interbancario sono fortemente integrati, il mercato obbligazionario ed azionario mostrano di essere su un percorso di integrazione, il mercato del credito bancario è ancora molto frammentato. le normative fiscali e fallimentari differiscono nei dodici paesi, come anche il contesto economico.<br>Using a sample of non-financial listed firms located in the Euro area, I investigate the determinants of capital structure choices. In line with the traditional theoretical approach, I use a market-value measure of leverage, estimated with the Black-Scholes-Merton model. I find that some variables have similar effects across countries, while others may play a different role; risk, measured as the volatility of the market enterprise value, is the best predictor of observed leverage ratios. Risk, and asymmetric information about risk, make debt less attractive, because of higher expected bankruptcy costs, lower expected debt tax shield and higher agency costs. National environments are an important determinant of observed ratios. The integration of Euro-area financial markets varies significantly depending on the market segment considered: money
and inter-bank markets are highly integrated, corporate bond and equity markets show a clear path of increasing integration, retail banking markets are much less integrated. Fiscal and bankruptcy rules differ across the twelve countries; the economic background varies as well.
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Reuter, Charles-Henri. "Culture, finance et institutions nationales." Thesis, Paris 10, 2011. http://www.theses.fr/2011PA100073/document.
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Notre thèse compte trois articles. Premièrement, nous analysons de manière systématique les articles publiés dans les journaux à comité de lecture en finance qui font référence à la culture. Il s’agit de faire émerger les définitions en usage, à partir d’une analyse du terrain académique. Nos résultats sont les suivants : l’usage est généralement lié à l’énigme pays, il concerne un champs d’investigation large, il est marqué par une forte polarisation disciplinaire, et aucun cadre théorique accepté n’est identifiable. En conséquence nous nous attachons à l’étude d’un sujet où l’énigme pays prévaut : l’analyse des structures de capitaux. Notre échantillonnage - les sociétés européennes cotées sur 20 ans - procède directement de nos conclusions : nous nous efforçons de circonscrire les effets du développement économique, et de la variété qualitative dans les institutions légales, politiques, socio-économiques. Deuxièmement, nous analysons les interactions entre la politique financière des entreprises et les cycles d’affaire anticipés. Nous mettons en évidence deux mécanismes opposés, l’un pro-cyclique et l’autre contra-cyclique, caractérisant respectivement les sociétés à actionnariat dispersé et concentré. Notre argumentation se fonde sur les corollaires de la dispersion de l’actionnariat : elle entraine un équilibre d’agence particulier, une variation dans les coûts d’opportunité de l’agence et de la latitude managériale, un rôle disciplinaire spécifique pour l’endettement, un rapport de signaux altéré.Troisièmement, nous démontrons que ce mécanisme principalement financier, - de polarisation de la politique financière en fonction des cycles d’affaires anticipés - est associé à un contexte institutionnel et à des comportements financiers différents. En particulier nous démontrons que la même polarisation empirique, observée pour la cyclicité du levier d’endettement des entreprises, est observée en relation aux politiques de dividende, au « market timing », concerne l’ancrage institutionnelle des sociétés, leur profil de transparence, certaines de leurs caractéristiques structurelles, l’environnement contractuel, ainsi que des variables culturelles<br>This thesis is composed of three essays. The first is composed of a screening process that has been performed on peer-reviewed journals in finance, to investigate the recent rise in interest for cultural approaches. The aim has been to let definitions emerge in order to build a field-based analysis about culture in finance. The results include the following: the use of culture is mainly connected to the country puzzle; it concerns a very large range of topics; there is a marked polarization in approaches; and, finally, no consensual framework emerges from the screening process. As a result, the focus has been on a subject where the country puzzle is looming large: i.e. capital structures. A sample has been taken, consistent with the first essay findings and recommendations. The variability of the sample is limited in terms of: economic development, and judicial, political, institutional quality, and has focused upon European listed firms over a 20-year period.In the second essay, the interactions between firms’ financial policies and expected business cycles have been investigated. Two conflicting mechanisms have been evidenced, finding: firms with dispersed ownership lead pro-cyclical policies, while firms with concentrated ownership lead contra-cyclical policies. The theoretical considerations unfold from the idea that ownership dispersion implies a different mix in agency relations, and entails specificities in agency costs and the benefits of managerial discretion, while it fosters differing needs for such things as, disciplining through debt and signaling. The third essay shows that, both, the pro- and contra-cyclical mechanisms are mediated by structural, cultural and institutional factors. Specifically, it is demonstrated that the pro-cyclical effects are observed in contexts similar akin the “U.S Role Model”; furthermore, the effects encompass varying dimensions of capital structures, such as, cyclicality of leverage, market timing or still dividend policies, and they extend to varying contextual dimensions, including ownership dispersion, institutional anchoring, transparency, risk, structural variables for firms, the contracting environment, and measures of national cultures
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Desender, Kurt A. "Essays on Ownership Structure, Corporate Governance and Corporate Finance." Doctoral thesis, Universitat Autònoma de Barcelona, 2010. http://hdl.handle.net/10803/3980.
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La mayoría de los estudios de gobierno corporativo se centran en empresas cotizadas en E.E.U.U o el Reino Unido donde existe una clara separación entre propiedad y control. Sin embargo, en Europa continental la estructura de propiedad de las empresas es muy diversa, pudiendo diferenciar desde empresas con una propiedad difusa y un gran número de accionistas relativamente pequeños hasta empresas concentradas con uno o más accionistas mayoritarios. El objetivo de esta tesis es investigar el efecto que ejerce la estructura de propiedad en la eficacia de otros mecanismos del gobierno corporativo y en el funcionamiento de la empresa. <br/>En el primer capítulo se desarrolla un modelo teórico para entender la influencia que la estructura de propiedad ejerce sobre las funciones del consejo de administración y sobre la eficacia del consejo. Una pregunta importante tratada en esta investigación es si todas las empresas, independientemente de su estructura de propiedad, se deben someter a las mismas recomendaciones de gobierno corporativo. La revisión de la investigación empírica sobre las características del consejo de administración demuestra que los resultados no son concluyentes. Una posible explicación a la gran variedad de resultados empíricos puede ser la omisión en al análisis del contexto externo e interno de las empresas (Filatotchev, 2008). Un resultado importante de nuestro estudio es que la estructura de propiedad afecta a la eficacia del consejo. Es decir, la eficacia de ciertas prácticas particulares ejercidas por el consejo y las ventajas comparativas que a nivel institucional derivan de ellas dependen de la manera en que estas se combinen en función de la estructura de propiedad de las empresas. <br/>El objetivo del segundo capítulo es profundizar en el entendimiento de cómo los mecanismos de gobierno corporativo dependen de la estructura de propiedad de las empresas. Sostenemos que la estructura de propiedad influencia el comportamiento del consejo de administración. Los resultados demuestran que la relación entre los honorarios de auditoría externa y la independencia del consejo dependen del grado de concentración de la propiedad. Para las empresas con propiedad dispersa, encontramos que los honorarios de auditoría se encuentran relacionados con la independencia del consejo y con la separación del presidente y máximo ejecutivo. Esto coincide con la literatura anterior que típicamente se centra en las compañías cotizadas en E.E.U.U. o el Reino Unido. En cambio, para las empresas con propiedad concentrada, la relación entre las características del consejo y la demanda para la auditoría externa es insignificante. <br/>El tercer capítulo investiga la relación entre la estructura de propiedad de las empresas y la valoración de sus acciones durante periodos de turbulencia. Los resultados demuestran la importancia que tiene (a) la concentración de la propiedad, (b) la presencia de múltiples accionistas significativos y (c) el tipo de accionista que controla, sobre la cotización de la acción en periodos de inestabilidad financiera. Además, los resultados para los mercados bajistas y alcistas difieren sustancialmente. Mientras que la concentración de la propiedad se valora positivamente durante períodos de perdidas, se valora negativamente en mercados alcistas. Los resultados sostienen la hipótesis de que los inversores confían en accionistas mayoritarios durante períodos de crisis para supervisar a la gerencia. Además, combinando los efectos que la concentración accionarial tienes sobre la cotización en los extremos alcistas y bajistas del mercado, nuestros resultados indican que la concentración de la propiedad fomenta una mayor estabilidad en la valoración de las empresas durante periodos de inestabilidad financiera.<br>Recent corporate governance research suggests that a large proportion of public companies worldwide are characterized by controlling stockholders who are more often families, usually the founder(s) or their descendants. Thus far, most corporate governance research has focused on stylized US (and to a less extent UK) firms which separate ownership and control. The objective of this thesis is to further investigate the role of ownership structure on the effectiveness of other corporate governance mechanisms and the firm's performance. <br/>The objective of the first chapter is to understand how the role (control versus direction) of the board of directors is influenced by the ownership structure and a how a different role influences the board effectiveness. While shareholders in firms with dispersed ownership have a great need to use the board of directors to control the management, large controlling shareholders have both the incentive and the power to hold management accountable. The control role of the board is therefore considered to be less important in the presence of concentrated ownership (La Porta et al., 1998; Aguilera, 2005). An important result of this study is that board effectiveness does not result from a universal 'one best way', but suggests that particular practices will be effective only in certain combinations and furthermore may give different patterns of comparative institutional advantages given the contingencies of different environments. <br/>The objective of the second chapter is to offer greater insight into how corporate governance mechanisms are contingent on the ownership structure of the company. We empirically examine the relationship between board characteristics and the demand for external audit in firm with dispersed and concentrated ownership. The results show that the influence of board independence and single leadership on the external audit demand is contingent on the concentration of ownership. For firms with dispersed ownership, we find that both board independence and single leadership are significantly related to the total audit fees. This is in line with previous literature which typically considers large US or UK companies. In contrast, for firms with concentrated ownership, the relationship between board characteristics and the demand for external audit is insignificant. These results are consistent with the argument that the ownership structure has an important influence on the board behavior. <br/>The third chapter deals with the relationship between the ownership structure and stock price performance. Since ownership control can have both positive and negative properties, empirical evidence is of paramount importance. The results show the importance of ownership concentration, the presence of multiple blockholders and the type of controlling owner to explain stock market performance. In addition, the results for extreme down markets are fundamentally different from the up market results. While ownership concentration is valued positively during down market periods, it is valued negatively during up markets. Furthermore, the analysis shows that presence of multiple blockholders only influences the stock price during down market periods and firms controlled by a financial institution lose significantly less value during down markets and gain less easily value during extreme up markets. Furthermore, combining the findings from extreme up and down markets, there is an indication that ownership concentration is associated with more stable stock valuation during periods of market turmoil; especially firms controlled by a financial institution tend to lose less value during down markets and gain less value during up markets.
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Shoham, Bazel Ofra. "GENDER EFFECTS ON FIRM CAPITAL STRUCTURE." Diss., Temple University Libraries, 2017. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/445929.
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Business Administration/Finance<br>Ph.D.<br>The literature of sociobiology and culture recognize that, statistically, females often make different choices than males across a wide range of issues. Scholars of business, economics, and finance find that females react differently than males to diverse financial and business situations. Moreover, extant research indicates that females on boards of directors exert a positive impact on monitoring, value, and performance. This dissertation extends the gender literature by empirically testing the hypothesis that female board representation limits the use of debt in firms’ capital structures because of females’ greater risk aversion, lower overconfidence, and less competitive nature compared with males. The empirical results indicate that influential female representation, such as a female chair of the board, has a causal negative and significant impact on the leverage of the company.<br>Temple University--Theses
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Hebert, Camille. "Essais sur la Structure du Capital et le Capital Humain." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED073.
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Cette thèse comprend trois chapitres et étudie la structure organisationnelle de l'entreprise à un stade différent de son cycle de vie : démarrage, croissance, grande entreprise. Le premier chapitre examine les raisons sous-jacentes aux différences de financement entre hommes et femmes entrepreneurs dans le contexte de l'industrie du capital risque. Ce chapitre met en lumière les effets des stéréotypes de genre qui entravent la croissance des jeunes entreprises fondées par des entrepreneurs issus des minorités de genre. Dans ce contexte, le capital humain des entrepreneurs atténue dans une certaine mesure les stéréotypes des investisseurs. Le deuxième chapitre décrit les conditions dans lesquelles les entreprises choisissent de croitre en achetant une entreprise existante plutôt que de se développer en prenant appui sur les ressources en termes de capital humain. Le troisième chapitre porte sur les grands groupes d'entreprises. Ce chapitre montre que les investisseurs ne sont pas toujours conscients des limites de la structure de l'entreprise et omettent de l’information prédictive révélée à un autre niveau du groupe<br>This thesis consists of three chapters and studies the firm's organizational structure at a different stage of its life cycle: early-stage, growth, business group. The first chapter investigates the underlying reasons for the gender funding gap in the venture capital industry. It highlights a significant role for investors' stereotypes that ultimately impedes minority-founded startups' growth. Entrepreneurs’ human capital mitigates to some extends investors’ stereotypes. The second chapter identifies conditions under which firms choose to grow by buying an incumbent company as opposed to building on their pre-existing human capital resources. The third chapter focuses on large business groups. It provides evidence that investors are not always aware of the boundaries of the firm and miss predictive information released at another level of the group
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Faria, Adriano Augusto de. "Essays in empirical finance." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19503.
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Previous issue date: 2017-03-16<br>This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.
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Artam, Halil. "Term Structure Of Government Bond Yields: A Macro-finance Approach." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/12607565/index.pdf.
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Interactions between macroeconomic fundamentals and term structure of interest rates be stronger according to the way of changes in structure of worldwide economy. Combined macro-finance analysis determines the joint dynamics of term structure of interest rates and macroeconomic fundamentals. This thesis provides analysis of two existing macro-finance models and an original one. Parameter estimations for these three macro-finance term structure models are done for monthly Turkish data by use of an efficient recursive estimator Kalman filter. In spite of the small scale application the results are satisfactory except first model but with longer sets of macroeconomic variables and interest rate data models provide more encouraging results.
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Morell, Joseph. "Macro-finance essays on the term structure of interest rates." Thesis, University of Kent, 2017. https://kar.kent.ac.uk/67200/.
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This thesis contributes to the literature that analyses the term structure of interest rates from a macro-finance perspective. Chapter 1 of this thesis provides a structural interpretation behind the decline in the US term spread's predictive power with regards to future real output growth. Our analysis is conducted through use of a Dynamic Stochastic General Equilibrium New-Keynesian model that is estimated on both macroeconomic and financial data. Our findings indicate that it is changes to the composition of shocks hitting the US economy that has caused the term spread, through the endogenous monetary policy response, to cease being a useful indicator of future output growth. Chapter 2 examines the importance of shifts in the expectations of agents in the form of "news shocks" in explaining the variation in the slope of the term structure of interest rates. The methodology employed in this chapter is a medium-scale Dynamic Stochastic General Equilibrium model that has been augmented to permit a role for both anticipated and unanticipated components in the usual array of structural shocks. In order to quantify the relative importance of each structural shock, the model is estimated via Bayesian methods on US data. We find the anticipated Total Factor Productivity shock to be quantitatively unimportant in driving US term spread fluctuations since, conditional on this shock, our model is unable to generate the observed leading procyclical movement of the spread found in the data. We do, however, find a limited role for the anticipated wage mark-up shock in that it accounts for a small share of the variation in consumption, hours and real wages. However, it is the unanticipated shocks that account for the major share of variation in the term spread as well as other key macro aggregates. The third and final chapter of this thesis examines the ability of the industry-standard Dynamic Stochastic General Equilibrium model to jointly explain both macroeconomic and financial data. We compute a second-order solution to our model in order to derive predic- tions for risk premia on equities and real, nominal and corporate bonds. Our central result is that by appending the Smets and Wouters (2007) model with Epstein-Zin preferences, long-run nominal risk and a credit market friction, we are able to generate realistic moments for the financial series under consideration without distorting the fit of our business cycle statistics.
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Chen, Qiwen. "Dependence Structure for Levy Processes and its application in finance." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/8512.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.<br>Thesis research directed by: Applied Mathematics and Scientific Computation. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Waldenström, Daniel. "Essays in historical finance." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Nationalekonomi, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-562.
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This dissertation concentrates on the interplay between politics and financial markets using various empirical tools applied on historical financial statistics. The first essay examines the effect of stock transaction taxation on trading activity and asset prices, specifically focusing on the case of early 20th century Sweden. The main finding is that the tax substantially reduced trading as well as the level of asset prices. In the second essay, modern ex post historical writing is contrasted with the ex ante views of contemporaries which are estimated from historical price data. The specific case study is the events around World War II related to the Nordic countries and Germany. The comparisons point out considerable differences between the assessments of historical events in the ex post and ex ante approaches. The third essay is an empirical study of price controls on asset price movements and how these controls affect asset returns. The study finds that the controls have large significant effects which even may influence estimates of the long-run equity premium. Altogether, this raises concerns about the use of century-long series of asset returns without correcting for the impact of institutional variation and market constraints. Finally, the fourth essay examines the growth effects of international financial liberalization and integration using a large country- industry sample from the 1980s. The main result is that industries highly dependent on external financing do not experience higher value added growth in countries with liberalized financial markets. Liberalization does, however, increase the growth rates of both output and firm creation among externally dependent industries. These results are consistent both with increased competition and increased outsourcing.<br><p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2003</p>
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Rajaiya, Harshit. "Three Essays in Corporate and Entrepreneurial Finance:." Thesis, Boston College, 2020. http://hdl.handle.net/2345/bc-ir:108781.
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Thesis advisor: Thomas Chemmanur<br>My dissertation consists of three chapters. In the first chapter, I analyze the impact of firms' innovation success on their corporate financial policies. I hypothesize that innovation success reduces the information asymmetry facing firms and, through the information channel, affects their capital structure and dividend policies. I measure innovation success using the quantity and quality of patents. I show that firms with higher innovation success face lower information asymmetry, measured using analyst coverage, dispersion, and forecast error. Further, I show that firms with higher innovation success have lower leverage ratios; have a greater propensity to issue equity rather than debt; and have lower dividend payout ratios. I establish causality using instrumental variable analyses with patent examiner leniency as an instrument for patent grants. In the second chapter, co-authored with Thomas Chemmanur, Xuan Tian, and Qianqian Yu, we analyze the impact of trademarks in entrepreneurial firms' success. We hypothesize that trademarks play two economically important roles for entrepreneurial firms: a “protective” role, leading to better product market performance; and an “informational” role, signaling higher firm quality to investors. We develop testable hypotheses based on the above two roles of trademarks, relating the trademarks held by private firms to the characteristics of venture capital (VC) investment in them, their probability of successful exit, their valuations at their initial public offering (IPO) and in the immediate secondary market; institutional investor IPO participation; post-IPO information asymmetry; and post-IPO operating performance. We test these hypotheses using a large and unique dataset of trademarks held by VC-backed private firms. We establish causality using an instrumental variable (IV) analysis using trademark examiner leniency as the instrument. For private firms, we find that the number of trademarks held by the firm is positively related to the total amount invested by VCs and negatively related to the extent of staging by VCs. We show that the number of trademarks held by a firm increases its probability of successful exit (IPOs or acquisitions). Further, for the subsample of VC-backed firms going public, we show that the number of trademarks held by the firm leads to higher IPO and immediate secondary market firm valuations; greater IPO participation by institutional investors; a lower extent of information asymmetry in the equity market post-IPO; and better post-IPO operating performance. In the third chapter, co-authored with Thomas Chemmanur and Jinfei Sheng, we develop testable hypotheses and empirically analyze the effects of outside investors having access to soft information such as online employee ratings from the Glassdoor website on firms' financing and investment policies. We find that higher online employee ratings are associated with larger equity issue announcement effects; a greater propensity to have positive announcement effects and to issue equity rather than debt to raise external financing; higher investment expenditures; greater equity issue participation by institutional investors; and better long-run post-issue operating performance. We establish causality using a difference-in-differences methodology relying on the staggered adoption of anti-SLAPP laws across U.S. states<br>Thesis (PhD) — Boston College, 2020<br>Submitted to: Boston College. Carroll School of Management<br>Discipline: Finance
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Sraer, David. "Essais en Finance d'Entreprise." Phd thesis, Ecole des Hautes Etudes en Sciences Sociales (EHESS), 2007. http://pastel.archives-ouvertes.fr/pastel-00003820.
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Cette thèse comporte quatre essais en finance d'entreprise. Le premier chapitre porte sur le lien entre comportement de l'entreprise et structure de son actionnariat et de son management. L'attention est plus particulièrement portée sur les différents styles de management qu'implique la présence de la famille du fondateur de l'entreprise dans l'actionnariat ou dans l'équipe dirigeante. Nous montrons ensuite comment des mécanismes de gouvernance interne peuvent supplanter les dispositifs traditionnels de gouvernement de l'entreprise pour exercer une discipline efficace sur les dirigeants de l'entreprise. Cette étude empirique, menée sur un large panel d'entreprises américaines, est soutenue par une analyse théorique qui s'intéresse plus généralement au rôle de l' indépendance des préférences au sein des organisations. Le dernier chapitre de cette thèse vise a comprendre empiriquement les liens entre valeur du collatéral détenu par les entreprises et politique d'investissement. L'analyse se concentre particulièrement sur les actifs immobiliers que possèdent les grandes entreprises américaines.
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Nilsson, Mattias. "Essays in empirical corporate finance and governance." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2002. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-587.
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Agency Costs of Controlling Minority Shareholders (coauthored with Henrik Cronqvist) estimates the agency costs of controlling minority shareholders (CMSs) using a panel of Swedish listed firms. CMSs are owners who have a control stake of the firm’s votes while owning only a minority fraction of the firm’s equity. The study documents that families in control are almost exclusively CMSs through an extensive use of dual-class shares. The results show that increased ownership of votes by a controlling owner is associated with an economically and statistically significant decrease in firm value, but that the decrease in firm value is significantly larger for firms with family CMSs than for firms with financial institutions or corporations in control. This indicates that the agency costs of family CMSs are larger than the agency costs of other controlling owners.Family Ownership, Control Considerations, and Corporate Financing Decisions: An Empirical Analysis analyzes the relation between concentrated family control and firms’ choice of capital structure for a panel of Swedish listed firms. The results suggest that the capital structure choices made by firms with families in control are influenced by the controlling families’ desire to protect their control, and that the resulting capital structures are likely to increase the agency costs of family control. The Choice between Rights Offerings and Private Equity Placements (coauthored with Henrik Cronqvist) analyzes the determinants of the choice between rights offerings and private equity placements using a sample of rights offerings and private placements made by listed Swedish firms. The results indicate that control considerations explain why firms make uninsured rights offerings. The evidence also suggest that private placements, and to some extent underwritten rights offerings, are made by potentially undervalued firms in order to overcome underinvestment problems resulting from asymmetric information about firm value. Furthermore, private placements are frequently made in conjunction with the establishment of a product market relationship between purchaser and seller, which is consistent with equity ownership reducing contracting costs in new product market relationships. Why Agency Costs Explain Diversification Discounts (coauthored with Henrik Cronqvist and Peter Högfeldt) studies diversification within the real estate industry, in which firms can diversify over property types and geographical regions. Similar to previous studies, this essay documents the existence of a diversification discount. However, the major cause of the diversification discount is not diversification per se but anticipated costs due to rent dissipation in future diversifying acquisitions. Firms expected to pursue non-focusing strategies do indeed diversify more, are valued ex ante at a 20% discount over firms anticipated to follow a focusing strategy, and are predominantly family controlled. The ex ante diversification discount is, therefore, a measure of agency costs. The Difference in Acquirer Returns between Takeovers of Public Targets and Takeovers of Private Targets shows, for a sample of Swedish takeovers, that the average acquirer abnormal return is positive and significant when the target firm is privately held but insignificant when the target firm is listed on a stock exchange. These results are robust when controlling for sample selection problems and other variables capable of explaining acquirer returns. The evidence is consistent with greater acquirer bargaining power and resolution of information asymmetries in takeovers of private targets.<br>Diss. Stockholm : Handelshögskolan, 2002
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Pitsillis, Zachry Steven. "Estimating dynamic affine term structure models." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15731.
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Duffee and Stanton (2012) demonstrated some pointed problems in estimating affine term structure models when the price of risk is dynamic, that is, risk factor dependent. The risk neutral parameters are estimated with precision, while the price of risk parameters are not. For the Gaussian models they investigated, these problems are replicated and are shown to stem from a lack of curvature in the log-likelihood function. This geometric issue for identifying the maximum of an essentially horizontal log-likelihood has statistical meaning. The Fisher information for the price of risk parameters is multiple orders of magnitude smaller than that of the risk neutral parameters. Prompted by the recent results of Christoffersen et al. (2014) a remedy to the lack of curvature is attempted. An unscented Kalman filter is used to estimate models where the observations are portfolios of FRAs, Swaps and Zero Coupon Bond Options. While the unscented Kalman filter performs admirably in identifying the unobserved risk factor processes, there is little improvement in the Fisher information.
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Peter, Jeffrey Scott Kobayahsi. "Three Essays on Venture Capital Finance." Thèse, Université d'Ottawa / University of Ottawa, 2011. http://hdl.handle.net/10393/20275.
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Venture capital finances high-risk, high-return projects. In addition to financing, venture capitalists provide advice and expertise in management, commercialization, and development that enhance the value, success, and marketability of projects. Venture capitalists also have skills in selecting projects with potentially high returns. The first chapter investigates the contracting relationship between venture capitalists and entrepreneurs in a setting where the venture capitalist and entrepreneur contribute intangible assets (advice and effort) to a project that are non-contractible and non-verifiable. In general, in the private market equilibrium, advice provided by the venture capitalist and the number of projects funded are lower than the social optimum. Government tax and investment policies may alleviate these market failures. The impact of a capital gains tax, a tax on entrepreneur’s revenue, an investment subsidy to venture capitalists, and government run project enhancing programs are evaluated. Finally, we analyze the effects of a government venture capital firm competing with private venture capital. The second chapter focuses on competition in venture capital markets. We model a three-stage game of fund raising, investment in innovative projects and input of advice and effort, where fund raising is used as an entry deterrence mechanism. We examine the impacts of taxes and subsidies on venture capital market structure. We find that a tax on venture capitalist revenue and a tax on entrepreneur revenue increase the likelihood of entry deterrence and reduce the number of projects funded in equilibrium. A subsidy on investment reduces the likelihood of entry deterrence and increases the number of projects funded. The third chapter examines the venture capitalist's choice of investment in project selection skills and investment in managerial advice. We model, separately, a private venture capitalist and a labour-sponsored venture capitalist (LSVCC) with different objectives. A LSVCC is a special type of venture capitalist fund that is sponsored by a labour union. The private venture capitalist maximizes its expected profits, while the LSVCC maximizes a weighted function of expected profits and returns to labour. Consistent with empirical evidence, the quality of projects, determined by project selection skills and managerial advice, is higher for the private venture capitalist.
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Banga, Josué. "Essays on climate finance." Thesis, Université Grenoble Alpes, 2020. http://www.theses.fr/2020GRALE001.
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Cette thèse est constituée de cinq essais sur la thématique de la finance climatique. En combinant des méthodes d’analyse qualitatives et quantitatives, elle fournit aux décideurs publics et aux investisseurs de nouvelles perspectives pour leurs décisions dans un contexte marqué par le changement climatique. Si la finance climatique est indispensable pour lutter contre ce dernier, les résultats de ces essais montrent que, utilisée de manière productive, elle pourrait être un moteur de transformation structurelle durable dans les pays en développement. De plus, risques climatiques auront des impacts significatifs, bien que différenciés, sur la stabilité financière. En tant que garant de cette dernière, les banques centrales devraient jouer un rôle proactif dans la lutte contre le changement climatique. Le développement d’instruments financiers innovants, tels que les obligations vertes, pourraient aider à minimiser les risques climatiques tout en débloquant des capitaux pour la transition-bas carbone<br>This dissertation is a collection of five supportive essays on the topic of climate finance. By combining qualitative and quantitative methods, it provides policymakers and investors with new insights for rethinking their decision making in a time of a changing climate. While climate finance remains critical to addressing climate change, the results of these essays show that it can also be an effective driver of sustainable structural transformation in developing countries, provided it is allocated productively. Furthermore, climate risks would have significant yet differentiated impacts on financial stability. As guardians of this latter, central banks should play a proactive role in addressing climate change. The development of innovative financial instruments, such as green bonds, can help mitigate climate risks while unlocking investment for the low-carbon transition