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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
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/10005662034
We study a continuous time model of a levered firm with fixed assets generating a cash flow that 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/10005123584
We use enterprise data to study the determinants of investment in Czech industry during the period from 1993 through 1994, a period when the transition toward a market economy was rapidly gaining momentum. We investigate accelerator type models modified to include financial variables intended to...
Persistent link: https://www.econbiz.de/10005784646
This study intends to find out whether or not the Nikkei 225 evolves over time in accordance with the following four widely used processes for determining stock prices: random walk with a drift, AR(1), GARCH(1,1), and GARCH(1,1)-M. Given the fact that, in actuality, we have but one sample of...
Persistent link: https://www.econbiz.de/10010840801
One theoretical implication of cointegration, according to Granger (1986), is that asset prices in an efficient market cannot be cointegrated. Using price data on US Treasury STRIPS with maturities from 2/15/1997 to 8/15/2015, it is found that a set of three STRIPS series is often cointegrated....
Persistent link: https://www.econbiz.de/10005470944