Articles scientifiques

Life-Cycle Asset Allocation with Ambiguity Aversion and Learning

K. PEIJNENBURG

Journal of Financial and Quantitative Analysis

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Départements : Finance, GREGHEC (CNRS)


Marking to Market and Inefficient Investment Decisions

C. OTTO, P. F. VOLPIN

Management Science

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Marking to Market, Investment Decisions, Reputation, Agency Problem


We examine how mark-to-market accounting affects the investment decisions of managers with reputation concerns. Reporting the current market value of a firm's assets can help mitigate agency problems because it provides outsiders (e.g., shareholders) with new information against which the management's decisions can be evaluated. However, the fact that the assets' market value is informative can also have a negative side effect: Managers may shy away from investments that indicate conflicting private information and would damage their reputation. This effect can lead to inefficient investment decisions and make marking to market less desirable when market prices are more informative

Risk-Based Capital Requirements for Banks and International Trade

Banu DEMIR-PAKEL, T. K. MICHALSKI, E. ORS

Review of Financial Studies

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS), Finance


Strategic Default, Debt Structure, and Stock Returns

P. VALTA

Journal of Financial and Quantitative Analysis

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Départements : Finance

Mots clés : Debt Structure, Debt Renegotiation, Stock Returns

http://dx.doi.org/10.2139/ssrn.1101534


This paper theoretically and empirically investigates how the debt structure and the strategic interaction between shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded US firms between 1985 and 2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model's predictions

Strategic Selection of Risk Models and Bank Capital Regulation

J. E. COLLIARD

Management Science

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Départements : Finance, GREGHEC (CNRS)



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