Detail Essays in corporate finance and international asset pricing Bibliografi Author: Mao, Xiangdong ; Jarrow, Robert (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-83489-7     Penerbit: cornell university     Tahun Terbit: 2000     Jenis: Theses - Dissertation Fulltext: 9975216.pdf (0.0B; 1 download) Abstract This dissertation consists of two articles. The first one presents a unified analysis of the agency problem of debt that accounts for both the “risk shifting” and the “under-investment” incentives. For firms with positive marginal volatility of investment, which is defined as the change in cash flow volatility corresponding to a change in investment scale, the “risk shifting” incentive countervails the “under-investment” problem by inducing them to invest more than they otherwise would. In contrast to the prevailing view in the agency literature, the total agency cost of debt is not a monotonically increasing function of leverage. Therefore, even in the absence of benefits of debt such as tax shields, there exists an interior optimal capital structure at which a value-maximizing investment policy is achieved. This analysis also predicts a close relationship between the optimal debt level and the “risk shifting” incentive measured by marginal volatility of investment. For high-growth firms in which the “under-investment” problem is severe, the optimal leverage is positively related to marginal volatility of investment. For low-growth firms, the optimal leverage is negatively related to the absolute value of marginal volatility of investment. Empirical results support these predictions. The second article examines returns and trading volumes around corporate earnings and dividend announcements in Singapore and Thailand, two capital markets which feature shares restricted to local investors and otherwise identical shares available to foreigners. We find no evidence that local investors enjoy superior information but considerable evidence that foreign investors have superior information processing ability, an advantage that is equivalent to creating private information. The contrast between results for Singapore and Thailand is consistent with substantial differences in local and foreign institutional participation and legal, regulatory, and accounting environments across these two countries. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

Copyright © 2006, 2007 Unika Atma Jaya, all rights reserved