Showing 1 - 10 of 112
We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external finance is costly, the firm holds a liquid (cash) reserve to help survive periods of poor business conditions. Holding liquid assets inside the...
Persistent link: https://www.econbiz.de/10012727714
This paper studies the design and valuation of debt contracts in a general dynamic setting under uncertainty. We incorporate some insights of the recent corporate finance literature into a valuation framework. The basic framework is an extensive form game determined by the terms of a debt...
Persistent link: https://www.econbiz.de/10012757468
We model seasonal, uncertain production of a commodity, with speculative storage. We allow agents to be risk averse, and we allow planned production to respond to price prospects. We also explicitly consider the presence or absence of a futures market in the commodity. Our technique involves a...
Persistent link: https://www.econbiz.de/10012742236
In the Samp;P500 futures options, we identify 3 factors, corresponding to movements in the underlying, parallel movements, and tilting of the cross section of implied volatilities (the quot;smirk factor''). We relate these factors non-linearly to movements in the option prices. They are...
Persistent link: https://www.econbiz.de/10012719195
We construct portfolios of Samp;P500 futures and their associated options, which are Delta (price) and Vega (volatility) neutral. These systematically earn negative abnormal returns, and suggest that out of the money puts are too expensive, relative to out of the money calls. We give evidence...
Persistent link: https://www.econbiz.de/10012732226
We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external finance is costly, the firm holds a liquid (cash) reserve to help survive periods of poor business conditions. Holding liquid assets inside the...
Persistent link: https://www.econbiz.de/10005073846
This paper solves for a firm's optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate most of the significant contracting frictions that have been identified in the corporate finance literature. Under the optimal policy the firm...
Persistent link: https://www.econbiz.de/10005112937
We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external finance is costly, the firm holds a liquid (cash) reserve to help survive periods of poor business conditions. Holding liquid assets inside the...
Persistent link: https://www.econbiz.de/10010884632
We solve for a firm's optimal cash holding policy within a continuous time, contingent claims framework using dividends, short-term borrowing, and equity issues as controls assuming mean reversion of earnings. Optimal cash is non-monotone in business conditions and increasing in the level of...
Persistent link: https://www.econbiz.de/10010534968
This paper solves for a firm's optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate most of the significant contracting frictions that have been identified in the corporate finance literature. Under the optimal policy the firm...
Persistent link: https://www.econbiz.de/10010745341