Download or read book Essays on the Effects of Uncertainty on Corporate Capital Structure written by Oleksandr Talavera and published by . This book was released on 2005 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Capital Structure Determinants and Economic Policy Uncertainty written by Robert Heigermoser and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Manager Attention Policy Uncertainty and Stock Market written by Dingqian Liu and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis has three essays that study the intersections of macroeconomics, finance, and text analysis. The topics include executives' attention and financial decisions, economic policy uncertainty and stock market forecasting, and the stock market performance in the time of the Covid-19 pandemic. The essays hope to provide unique measurements of attention and uncertainty, empirical evidence, and theories to understand the connections and differences between classic theories and agents' behavior in actual economic activities. The first essay is my job market paper. I examine the attention of executive managers and their financing behavior, focusing on the information acquisition process. Corporations are sensitive to both macroeconomic and firm-specific challenges. Executives must choose overall attention capacity and divide finite attention between these topics. By using natural language processing and quarterly earnings call transcripts, I assess the information content of this dialog. The attention capacity quantifies the effective information used to make borrowing decisions, consisting of information processing macro and firm-specific issues. The attention allocation measures the ratio of attention paid to macroeconomics. Executives make two critical decisions during the information acquiring process. First, executives decide the overall attention capacity, determined by the general uncertainty. Second, executives decide the optimal attention allocated between macro and firm-specific topics. In the rise of uncertainty from either subject, executives' attention capacity increases (scale effect) and assign greater awareness to this topic (substitution effect). I show that the substitution effect is higher than the scale effect. Using an optimal static capital structure model with endogenous information choice, I demonstrate that an executive can tolerate a higher leverage rate when actively acquiring information. Thus, the information decision process is crucial to understanding the recent rising leverage phenomenon.The second essay examines the relationship between the stock market performance and the economic activities in the time of Covid-19. Stock prices and workplace mobility trace out striking clockwise paths in daily data from mid-February to late May 2020. Global stock prices fell 30 percent from February 17 to March 12, before mobility declined. Over the next 11 days, stocks fell another 10 percentage points as mobility dropped 40 percent. From March 23 to April 9, stocks recovered half their losses, and mobility decreased further. From April 9 to late May, both stocks and mobility rose modestly. This dynamic plays out across the 35 countries in our sample, with notable departures in China, South Korea, and Taiwan. The size of the global stock market crash in reaction to the pandemic is many times larger than a standard asset-pricing model implies. Looking more closely at the world's two largest economies, the pandemic had greater effects on stock market levels and volatilities in the U.S. than in China, even before it became evident that early U.S. containment efforts would flounder. Newspaper-based narrative evidence confirms the dominant - and historically unprecedented - the role of pandemic-related developments in the stock market behavior of both countries. The third essay tests the prediction power of the mainland China Economic Policy Uncertainty in forecasting the Chinese stock market. Rational asset pricing theory indicates that the fluctuations of the real economy have a significant impact on the stock market. The Chinese stock market is highly regulated and sensitive to regulations and market policies uncertainty. Using an efficient Dynamic Model Averaging (eDMA) model, this paper investigates how well the newspaper-based Economic Policy Uncertainty (EPU) index can predict the returns of the Chinese Shanghai Stock Exchange Index. Empirical evidence shows that EPU mutes the impact of monetary policy as a predictor. Also, eDMA significantly improves the forecasting performance compared to other forecasting methodologies.

Download or read book Essays on Capital Structure and Trade Financing written by Klaus Hammes and published by Department of Economics School of Economics and Commercial Law Go. This book was released on 2003 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Capital Structure and Risk Exposure of Banks Under Deposit Insurance and Capital Requirements written by Xiaozhong Liang and published by . This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter examines the Value at Risk (VaR) based risk exposure for banks and the corresponding costs for regulators. A closed-form solution of VaR is provided based on the valuation results in the first chapter. It is found that banks can offset the risk associated with volatile assets by choosing a suitable proportion of debt. In addition, banks may shift risk to deposit insurance to decrease their own risk exposure under less stringent capital requirements. Being a risk lover does not stop banks from shifting risk to deposit insurance. Regulators can lower down banks risk exposure by imposing more stringent capital requirements.

Download or read book Essays on Model Uncertainty and Corporate Financial Policies written by Zhun Liu (Researcher in finance) and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Uncertainty written by S. Lee and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Macro finance written by Xu Tian and published by . This book was released on 2016 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation studies the macroeconomic consequences of financial frictions via their roles in determining the capital structures of firms and financial institutions. It consists of two papers in this particular field. The first paper focuses on the capital structure decisions of financial intermediaries and their macroeconomic implications. In this paper, titled "Uncertainty and the Shadow Banking Crisis: A Structural Estimation", I examine the impact of asset return uncertainty on the financing and leverage decisions of shadow banks. Shadow banks play an important role in the modern financial system and are arguably the source of key vulnerabilities leading to the 2007-2009 financial crisis. In this paper, I develop a quantitative framework with endogenous bank default and aggregate uncertainty fluctuation to study the dynamics of shadow banking. I argue that the increase in asset return uncertainty during the crisis results in the spread spike, making it more costly for shadow banks to roll over their debt in the short-term debt market. As a result, these banks are forced to deleverage, leading to a decrease in the credit supply. The model is estimated using a bank-level dataset of shadow banks in the United States. The findings show that uncertainty shocks are able to generate statistics and pathways of leverage, spread, and assets which closely match those observed in the data. Maturity mismatch and asset firesales amplify the impact of the uncertainty shocks. First moment shocks alone can not reproduce the large interbank spread spike, dramatic deleveraging and contraction of the US shadow banking sector during the crisis. The model also allows for policy experiments. I analyze how unconventional monetary policies can help to counter the rise in the interbank spread, thus stabilizing the credit supply. Taking into consideration of bank moral hazard, I find that government bailout might be counterproductive as it might result in more aggressive risk-taking of shadow banks. The contribution of this paper is twofold. On the empirical front, I contribute to the literature by being the first in documenting several stylized facts of the U.S. shadow banking industry using a detailed micro-level dataset. On the theoretical front, I contribute to the literature by being the first in building a quantitative model with heterogeneous banks, endogenous bank default, aggregate uncertainty fluctuation and maturity mismatch to characterize the shadow banking dynamics in a full nonlinear manner and quantifying the impact of uncertainty shocks on the shadow banking industry. In the second paper with Yan Bai and Dan Lu, "Do Financial Frictions Explain Chinese Firms' Saving and Misallocation?", we use Chinese firm-level data to quantify financial frictions in China and ask to what extent they can explain firms' saving and capital misallocation. The literature on the effect of financial frictions on capital outflow and misallocation is large, however, it either uses aggregate data or it ignores firms' financing patterns. Few works use micro-level Chinese data to quantify these frictions. This paper fills this gap. We first document features of the data, in terms of firm dynamics and financing. We find that relatively smaller firms have lower leverage, face higher interest rates and operate with a higher marginal product of capital. We then develop a heterogeneous-firm model with two types of financial frictions, default risk and a fixed cost of issuing loans. We estimate the model using evidence on the firm size distribution and financing patterns and find that financial frictions can explain aggregate firm saving, the co-movement between saving and investment across firms, and around 60 percent of the dispersion in the marginal product of capital (MPK). The endogenous financial frictions, however, generate an opposite MPK-size relationship, which has important implications for total factor productivity losses."--Pages iv-v.

Download or read book Three Essays in Financial Economics written by Ian Wright and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores various empirical financial phenomena. The first chapter presents evidence suggesting long-term uncertainty may be one reason firm activity has been slow to recover from the Great Recession. I show the current level of uncertainty and expectations of future uncertainty -- that is, the entire term structure of uncertainty -- are negatively correlated with firm investment rates. I present a simple model generating these effects through real options channels. Using equity options to obtain forward-looking estimates of firm and aggregate uncertainty at different horizons, I then show that both the level and slope of the term structure of uncertainty have negative conditional correlations with capital investment rates, consistent with the model. Numerically, a one standard deviation increase in firm (aggregate) uncertainty over the next 30 days correlates with a decrease in firm capital investment equal to 5.1% (1%) of the mean firm investment rate over the next quarter. A one standard deviation increase in firm (aggregate) uncertainty over the next year relative to the next 30 days correlates with a decrease in firm capital investment equal to 3.1% (4.4%) of the mean firm investment rate over the next quarter. I also find the correlation between both the level and slope of the term structure of uncertainty and R\ & D to be positive, supporting the theory that firms invest in growth options in the face of uncertainty. I discuss identification in this context and the particular relevance of my findings for government policy. The second chapter is co-authored with Ana Gomez Lemmen-Meyer and Enrique Seira. We establish four stylized facts about firm financing in private credit markets using a unique, comprehensive database of corporate loans in Mexico. First, firms receive a lower interest rate upon moving from one bank to another. Second, banks' pricing behavior toward their customers exhibits the "lock-in effect": firms' interest rates increase the longer they stay in a lending relationship with the same bank. Third, in a market where asymmetric information between banks has been mitigated, banks appear to compete for the highest quality borrowers and there is little evidence of adverse selection among switching firms. In fact, borrowers that switch banks appear to be of higher average quality than similar borrowers that do not. Fourth, firms that change lenders receive other more favorable lending terms after the change of lenders than they had prior to the change. These take the form of longer maturity loans and less required collateralization, providing positive evidence related to the hypothesis that banks compete for firms not just on interest rates, but also through other lending channels, and that firms switch banks to improve their lending terms. We document how these facts differ by firms' size, and note that the Mexican commercial credit market is really two markets: one for credit to large firms and one for credit to small firms. Finally, we explain how specific policies may have led to the environment giving rise to these stylized facts, discuss the implications of our findings for models of relationship lending and firm banking, and present a simple model rationalizing our results. The final chapter is co-authored with Todd Mitton and Keith Vorkink. In it we explore what may drive financial "bubbles" in speculative markets. Speculative behavior plays a key role in financial markets, but little is known about its causes. We test for neighborhood effects on speculative behavior using lottery sales data, allowing us to disentangle the effects of investor enthusiasm and information transmission. In a sample of 160,000 retailers, per capita lottery sales in a given census block increase by $0.26, on average, when per capita lottery sales increase by $1 in neighboring blocks. Exogenous variation in geographic barriers to interaction between neighbors suggests that the results may be driven largely by social interaction. Our analysis demonstrates a link between social interaction, investor enthusiasm, and speculative behavior that has important implications for financial markets, and may explain why financial bubbles occur.

Download or read book Risk Uncertainty and Profit written by Frank H. Knight and published by Cosimo, Inc.. This book was released on 2006-11-01 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.

Download or read book The Art of Conjecturing Together with Letter to a Friend on Sets in Court Tennis written by Jacob Bernoulli and published by JHU Press. This book was released on 2006 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Part I reprints and reworks Huygens's On Reckoning in Games of Chance. Part II offers a thorough treatment of the mathematics of combinations and permutations, including the numbers since known as "Bernoulli numbers." In Part III, Bernoulli solves more complicated problems of games of chance using that mathematics. In the final part, Bernoulli's crowning achievement in mathematical probability becomes manifest he applies the mathematics of games of chance to the problems of epistemic probability in civil, moral, and economic matters, proving what we now know as the weak law of large numbers."

Download or read book Empirical Capital Structure written by Christopher Parsons and published by Now Publishers Inc. This book was released on 2009 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Capital Structure reviews the empirical capital structure literature from both the cross-sectional determinants of capital structure as well as time-series changes.

Download or read book Company Financing Capital Structure and Ownership written by Sanjiva Prasad and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Crises Explanations Types and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Download or read book Oil Price Uncertainty written by Apostolos Serletis and published by World Scientific Publishing Company Incorporated. This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.

Download or read book Applied Corporate Finance written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2014-10-27 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.