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On the strategic value of risk management
Léautier, Thomas-Olivier; Rochet, Jean-Charles - 2013
ranging from manufacturing to energy retailing, where risk averse fi rms decide on their hedging strategies before their … product market strategies. We fi nd that hedging modi es the pricing and production strategies of firms. This strategic effect … shareholders risk aversion. It has diametrically opposed impacts depending on the nature of product market competition: hedging …
Persistent link: https://www.econbiz.de/10009750629
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Managing the risks of corporate bond portfolios : new evidence in the light of the sub‐prime crisis
Barone-Adesi, Giovanni; Carcano, Nicola; Dall'O, Hakim - 2012
We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …
Persistent link: https://www.econbiz.de/10009558422
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A corporate financing-based asset pricing model
Steri, Roberto - 2018
I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...
Persistent link: https://www.econbiz.de/10011900221
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External Wealth of Nations and Systemic Risk
Andrieş, Alin Marius; Chiper, Alexandra-Maria; Ongena, … - 2022
External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net international investment position (stock) imbalances still...
Persistent link: https://www.econbiz.de/10013491696
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Unintended Consequences of Unemployment Insurance Benefits : The Role of Banks
Arslan, Yavuz - 2019
Unemployment insurance (UI) policies are implemented by many countries to lower individual income risk and to automatically stabilize macroeconomic fluctuations. To the extent that these policies are successful, however, they should be reducing precautionary savings and hence bank deposits –...
Persistent link: https://www.econbiz.de/10012897535
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Gender, Performance, and Promotion in the Labor Market for Commercial Bankers
Ceccarelli, Marco; Herpfer, Christoph; Ongena, Steven - 2023
Using data from the US syndicated loan market, we find women to be underrepresented among senior commercial bankers. This gap persists due to unequal promotion rates for men and women at the same institution in the same year, and cannot be explained by different individual or managerial...
Persistent link: https://www.econbiz.de/10014356063
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Do Institutional Directors Matter?
Geng, Heng; Hau, Harald; Michaely, Roni; Nguyen, Binh T. - 2022
The large increase in common institutional ownership raises significant antitrust concerns, even if the precise channel of any potential influence on market outcomes is unclear. Using a novel dataset on shareholders’ board representation, we examine the role of common institutional directors...
Persistent link: https://www.econbiz.de/10014238386
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Auctioned IPOs: the US evidence
Degeorge, François; Derrien, François; Womack, Kent - 2008
Between 1999 and 2007, WR Hambrecht has completed 19 IPOs in the U.S. using an auction mechanism. We analyze investor behavior and mechanism performance in these auctioned IPOs using detailed bidding data. The existence of some bids posted at high prices suggests that some investors (mostly...
Persistent link: https://www.econbiz.de/10003966177
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Dynamic capital structure under managerial entrenchment : evidence from a structural estimation
Morellec, Erwan; Nikolov, Boris; Schürhoff, Norman - 2009
We develop a dynamic tradeoff model to examine the importance of manager-shareholder conflicts in capital structure choice. Using panel data on leverage choices and the model's predictions for different statistical moments of leverage, we show that while refinancing costs help explain the...
Persistent link: https://www.econbiz.de/10003970297
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Optimal securitization with heterogeneous investors
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2010
We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each investor gets a portfolio of these tranches. In particular, when...
Persistent link: https://www.econbiz.de/10003979499