The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...

We show how, in a Merton-type model with bankruptcy, the dividend policy impacts the values of equity and debt as well as credit risk. The recent financial crisis has emphasized the fact that excessive dividends can lead to financial distress. There is a strong need to set qualitative and...

In this paper a joint capital asset pricing model and option pricing model is considered and applied to the derivation of an equity's value and its systematic risk. We first analyze the propreties of the two models and present some newly found properties of the option pricing model. We then...

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...

Many financial assets, especially government bonds, are issued by an auction. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical papers do not provide a definite answer regarding the dominance of one type of auction over the other. We...

Banks worldwide are subject to increasing regulation and, simultaneously, find themselves under the close scrutiny of market analysts and screening of large institutional investors. Banks are required to maintain minimal equity relative to both total and risky assets, market analysts expect...

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and...