Rozprawy doktorskie na temat „Finance”

Thesis advisor: Philip Strahan
In the first two essays of this dissertation, I examine the role of third-party debt collectors in consumer credit markets. First, using law enforcement as an instrument, I find that higher density of debt collectors increases the supply of unsecured credit. The estimated elasticity of the average credit card balance with respect to the number of debt collectors per capita is 0.49, the elasticity of the average balance on non-credit card unsecured loans with respect to the number of debt collectors per capita is 1.32. There is also some evidence that creditors substitute unsecured credit for secured credit when the number of debt collectors increases. Higher density of debt collectors improves recoveries, which enables lenders to extend more credit. Finally, creditors charge higher interest rates and lend to a larger pool of borrowers when the density of debt collectors increases, presumably because better collections enable them to extend credit to riskier applicants. In the second essay I investigate the economics of the debt collection industry. The existence of third-party debt collection agencies cannot be explained by the benefits of specialization and economies of scale alone. Rather, the debt collection industry can serve as a coordination mechanism between creditors. If a debt collection agency collects on behalf of several creditors, the practices it uses will be associated will all creditors that hired it. Hence, consumers will be unable to punish individual creditors for using harsh practices. As a result, the third-party agency may use harsher debt collection practices than individual creditors collecting on their own. As long as the costs of hiring third-party debt collectors are below the benefits from using harsh debt collection practices, the debt collection industry will create economic value for creditors. The last essay, written jointly with Thomas Chemmanur, develops a theory of corporate boards and their role in forcing CEO turnover. We show that in general the board faces a coordination problem, leading it to retain an incompetent CEO even when a majority of board members receive private signals indicating that she is of poor quality. We solve for the optimal board size, and show that it depends on various board and firm characteristics: one size does not fit all firms. We develop extensions to our basic model to analyze the optimal composition of the board between firm insiders and outsiders and the effect of board members observing imprecise public signals in addition to their private signals on board decision-making
Thesis (PhD) — Boston College, 2011
Submitted to: Boston College. Carroll School of Management
Discipline: Finance

In this thesis, Personal and family finances, subtitled Finances of university student. It is discussed on the way to a happier life through management of personal finances. Just as it is necessary to control corporate finance, it is necessary everyone managed own personal finances. It is indicated as appropriate to tackle your finances,what to focus on, and it's practically demonstrated on the example of a university student. There are analyzed his goals and needs, then it is outlined possible solutions to his finances.

Esta tesis evalúa los factores que afectan a la actitud y a la intención de los consumidores respecto a las finanzas islámicas en dos países diferentes. Asimismo, evalúa los factores que afectan a la autoeficacia y al rendimiento de los vendedores en los bancos islámicos, entre los que se incluye la exigencia del cliente. El primer capítulo resume la literatura de las finanzas conductuales y las finanzas conductuales islámicas, e identifica las lagunas de investigación y los objetivos de la tesis. El segundo capítulo usa un modelo teórico, basado en la teoría de la acción razonada para investigar los efectos de la actitud, la motivación religiosa, la concienciación, así como el servicio y la fijación de precios en la intención a la hora de utilizar la banca islámica entre la minoría musulmana en Barcelona, España. También determina el perfil de un potencial cliente bancario islámico dentro de esta minoría. La parte empírica se sirve de preguntas basadas en una encuesta, análisis de factores y regresión logística para analizar los datos. Los resultados revelan que la actitud, la motivación religiosa y la concienciación son factores importantes que influyen a la hora de decantarse por la banca islámica. El estudio también destaca el perfil del potencial cliente bancario islámico. La investigación muestra el potencial de los bancos islámicos en el mercado español, y la posibilidad de aumentar la concienciación en lo que respecta a la banca islámica. Asimismo, muestra que la banca islámica en España podría ayudar a la minoría musulmana a participar de manera efectiva en las actividades financieras, al mismo tiempo que resalta la importancia de beneficiar a las mujeres dentro de esta minoría y a ayudar a la sociedad estimulando a que el dinero no bancario fluya por el sector financiero. El estudio también destaca la importancia de las finanzas islámicas para las minorías musulmanas como método para apoyar su identidad religiosa. El tercer capítulo investiga los efectos de los siguientes factores: imagen, concienciación, cumplimiento de la ley islámica e individualismo, sobre la actitud e intención de los clientes a la hora de usar la banca islámica entre los usuarios de banca en los Emiratos Árabes Unidos, así como el papel mediador de la actitud en ese modelo, usando para ello un modelo teórico basado en el de Actitudes de Atributos Múltiples, la teoría de las acciones razonadas y la teoría del comportamiento razonado. La investigación se centrará en la encuesta de los clientes bancarios que viven en los Emiratos Árabes Unidos (EAU). Se utiliza el modelo de ecuaciones estructurales para analizar los datos. Los resultados muestran que la actitud y la concienciación afectan de una manera directa a la intención, mientras que la imagen, la concienciación, el cumplimiento de la Sharía y el individualismo afectan a la actitud directamente y a la intención, indirectamente, mediada por la actitud. El capítulo muestra, como resultado, la importancia del cumplimiento de la Sharía de los bancos, el individualismo de los clientes y la imagen del banco sobre la actitud y la intención, y ofrece sugerencias para que los bancos se beneficien de estos aspectos con el fin de ampliar su base de clientes. El estudio proporciona una idea sobre la toma de decisiones de los individuos y la importancia de un enfoque social por parte de los bancos cuando se anuncian. El último capítulo investigará la relación entre estos factores: imagen de la organización, esfuerzo de la concienciación, exigencia del cliente, autoeficacia y autoevaluación entre los vendedores de productos bancarios islámicos en los EAU, así como el papel mediador del esfuerzo de concienciación y autoeficacia en el modelo, usando para ello un modelo teórico basado en la teoría social cognitiva. El capítulo se centra en la encuesta realizada a los vendedores de productos bancarios islámicos en un banco mixto (un banco convencional con un departamento islámico) en los EAU. El investigador usa mínimos cuadrados parciales para analizar los datos, y los resultados muestran que la exigencia del cliente tiene un efecto positivo en el esfuerzo de concienciación a nivel de ventas, el esfuerzo de concienciación tiene un efecto positivo en la autoeficacia, la autoeficacia tiene un efecto positivo en el rendimiento, y la imagen afecta de forma positiva a la autoeficacia y al rendimiento de los vendedores. Asimismo, en este capítulo se destaca el papel mediador del esfuerzo de concienciación y autoeficacia en el modelo. El estudio muestra la importancia del esfuerzo de concienciación para lograr un rendimiento mejor, así como la importancia de abordar los requisitos del cliente en el entorno y el papel de la imagen de la organización en la aplicación de la autoeficacia y rendimiento de los vendedores.
This Dissertation tests the factors affecting the attitude and intention of consumers toward Islamic finance in two different countries, it also tests the factors affecting the self-efficacy and performance of Salespersons in Islamic banks including customer demandingness. The first chapter summarises the literature of behavioural finance and Islamic Behavioural finance and identifies the gaps and aims of the thesis. The second chapter uses a theoretical model based on the theory of reasoned actions to investigate the effects of attitude, religious motivation, awareness, and service and pricing, on the intention to use Islamic banking among the Muslim minority in Barcelona - Spain. It also determines the profile of a potential Islamic banking customer among this minority. The empirical part uses survey-based questions, factor analysis and logit regression to analyse the data. The results show that attitude, religious motivation and awareness are all important factors affecting the intention to use Islamic banking. The study also highlights that the profile of a potential Islamic banking customer. The research shows the potential for Islamic banks in the Spanish market, and the possibility of raising awareness about Islamic banking. It also shows that Islamic banking in Spain could help the Muslim minority to participate effectively in financial activities and highlights the importance of empowering the women in this minority and help society by encouraging off-banking money to flow into the financial sector. The study also highlights the importance of Islamic finance for Muslim minorities as a method to support their religious identity. The third chapter investigates the effects of the following factors: image; awareness; Shariah compliance and individualism, on the attitude and intention of customers to use Islamic banking among Bank customers in UAE, and the mediating role of attitude in that model, using a theoretical model based on the Multi-Attribute Attitude Model, the theory of reasoned actions and the theory of planned behaviour. The research will focus on surveying bank customers living in UAE. Structural equation modelling will be used to analyse the data. Results show that attitude and awareness affect intention directly, while image, awareness, Shariah compliance and individualism affect attitude directly and affect intention indirectly mediated by attitude. The chapter resulted in showing the importance of Shariah compliance of banks, the individualism of customers and image of the bank on attitude and intention and provides suggestions for banks to benefit from these aspects to widen their customer base. The study provides an insight into individuals’ decision-making and the importance of a social approach by banks when advertising. The final chapter will investigate the relationship between the factors: organisation image, awareness effort, customer demandingness, self-efficacy and self-rated performance among salespersons of Islamic banking products in the UAE and the mediating role of awareness effort and self-efficacy in the model, using a theoretical model based on the social cognitive theory. The chapter focuses on surveying salespersons of Islamic banking products in a mixed bank (a conventional bank that has an Islamic department) in the UAE. The researcher uses partial least squares to analyse the data. The results show that customer demandingness positively affects awareness effort at the sales level, awareness effort positively affects self-efficacy, self-efficacy positively affects performance and image positively affects salespersons’ self-efficacy and performance. Furthermore, the chapter highlights the mediating role of awareness effort and self-efficacy in the model. The study shows the importance of awareness effort to achieve better performance as well as the importance of addressing the customer requirements in the environment and the role of the organisation image in enforcing salespersons’ self-efficacy and performance.

Esta tese é composta de três ensaios empíricos sobre finanças corporativas e macrofinanças, todos eles aplicados ao Brasil. O primeiro mostra como uma mudanças tributárias no nível do acionista podem afetar as decisões financeiras das empresas investidas, através da estrutura de propriedade. Os resultados sugerem que as empresas ajustam suas políticas financeiras para minimizar os gastos tributários totais (nível do acionista mais nível da firma). No segundo artigo, analisa-se a relação entre o investimento estrangeiro em carteira (EFPI) e o investimento agregado brasileiro. Os resultados mostram que o EFPI tem um impacto marginal positivo na formação bruta de capital fixo, mas que essa relação é condicionada a fatores institucionais, tal como o grau de intervenção do governo no mercado de crédito. Finalmente, no terceiro ensaio, mostro que um aumento exógeno dos preços dos ativos colateralizáveis imobiliários pode ter consequências positivas no financiamento e investimento das empresas. As firmas aparentemente mais beneficiadas pelo ciclo expansionista de crédito observado no Brasil durante os anos 2000 foram justamente aquelas com menor grau de tangibilidade, potencialmente fora do mercado de crédito no período anterior.
In this thesis, I present three empirical essays on corporate finance and macro-finance applied to Brazil. In the first one, I show that an exogenous tax change at the investor level can have real effects on the invested firms’ behavior. My evidence suggests that treated firms adjust their financial policies considering substitute financial instruments and seeking to minimize overall tax spending. In the second paper, I analyze the role of equity foreign portfolio investment (EFPI) on affecting aggregate investment. The results show that EFPI has a marginal positive impact on the gross capital formation, but this relation seems to be contingent on institutional factors such as government intervention in credit markets. Finally, in the third essay, I show that an exogenous increase in collateral prices can have positive consequences on firms’ financing and investment decisions. The credit expansion registered in Brazil in the middle of the 2000’s seem to have alleviated financial constraints most for smaller, less tangible firms, which probably were (at least partially) out of the credit market before the boom.

Obecný popis teorie Behavioral Finance, porovnání s alternativními teoriemi (hlavně s teorií efektivních trhů). Analýza vybraných problémů - Prospect Theory, Cognitive Framing, spekulativní bubliny. Empirický výzkum v oblasti psychologie davu a oblasti reakcí kapitálových trhů na nové informace.

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção.
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Em todo o mundo a indústria da infra-estrutura conta com diversas formas de viabilizar o atendimento das demandas existentes. Além das dificuldades técnicas, relacionadas à tecnologia demandada em alguns casos, o ponto mais crítico a tal indústria, está relacionado às fontes de recursos financeiros para custear obras de grande porte. Em função disso, existem diversas maneiras de estruturar o financiamento dessa indústria, uma das quais, é o Project Finance. Surgido na Inglaterra, tem como principal característica "transferir" dos patrocinadores para o próprio projeto as responsabilidades para com os credores. Isto é feito criando-se uma empresa de propósito específico que dará como principal garantia aos credores instrumentos que lhes permitam ter acesso ao fluxo de caixa líquido gerado pelo projeto, em caso de inadimplência. Diante de tal quadro, o planejamento do fluxo de caixa do projeto é primordial para a estruturação desse financiamento. Considerando que o fluxo de caixa é composto por diversos fatores, esta dissertação objetiva mostrar as principais influências dos fatores componentes de fluxo de caixa no seu planejamento. Para atingir tal objetivo, as informações obtidas na bibliografia e nos casos estudados, mais as conclusões do autor, validam o trabalho. Tem como base a Engenharia Sistêmica, onde a sociedade de propósito específico criada é vista como um sistema e o planejamento e controle do fluxo de caixa como sendo uma simplificação de tal sistema.

Cette thèse se compose de trois documents. Les deux premiers articles étudient comment les entreprises devraient être structurés de manière à faciliter leur accès aux fonds quand il y a des conflits d'agence entre les emprunteurs (entreprises) et les prêteurs (les investisseurs). Chapitre 1 étudie la relation entre la portée de l'entreprise et des contraintes financières. Chapitre 2 utilise une approche contractuelle optimale pour analyser le développement d'un produit innovant par des alliances stratégiques des deux entreprises. Le chapitre 3 analyse si l'expérience des commerçants peut réduire leur propension à spéculer ?
This thesis consists of three self-contained papers. The first two papers study how firms should be structured to facilitate their access to funds in the face of agency conflicts between borrowers (firms) and lenders (investors). Chapter 1 studies the relationship between firm scope and financial constraints. Chapter 2 uses an optimal contracting approach to analyze the development of an innovative product through strategic alliance by an entrepreneur and an incumbent. Chapter 3 analyzes whether traders’ experience reduce their propensity to speculate?

The fifteen year period 1880-1895 was one of profound change in government finance, not only in the scale of expenditure (which increased by a quarter) but the very expectation of what that expenditure should be as the traditional governing elite began to take notice of the "democratic" society which would soon displace it. Although governed by the Conservatives for six of those years, it was dominated by the fiscal theory of "Sound Finance", especially as practiced and perfected by Gladstone as Chancellor of the Exchequer. This philosophy demanded balanced budgets, a low tax burden and minimal government expenditure. It is necessary to explain why this philosophy came about and how it adapted to changing circumstances. "Sound Finance" as a fiscal theory was also closely associated with a belief in free trade and a commitment to the gold standard. Together these formed the trinity of fiscal orthodoxy for the late Victorian governing class in Parliament, the Treasury, and at the Bank of England. But as Britain fell into the "Great Depression" and economic growth seemed to stagnate, this consensus was attacked by those who believed that these old doctrines were capable of fulfilling neither the government's revenue requirements nor the economic imperatives of the nation. Hence their advocacy of bimetallism and "Fair Trade". In spite of this, at no time were these critics able to implement such doctrines nor even to deviate in any substantial ways from the imperatives of "Sound Finance". "Sound Finance" dominated the fiscal thinking of politicians, bureaucrats and business leaders, regardless of political stripe, because it was at the heart of contemporary economic theory, and indeed because it seemed to explain for them the place of the state in that economy while allowing crucial flexibility. Yet just as significantiy, the strictures of "Sound Finance" allowed both a political and economic control of the state while providing, at least in theory, both Parliamentary and democratic supervision and accountability.

Includes abstract.
Includes bibliographical references.
The focus of this research paper is to discuss the underlying principles of Islamic finance and its tax implications for investors and financial institutions. The nature of Islamic financial products is compared to its conventional financial counterpart to identify whether differences exist between Islamic and conventional finance from a tax perspective. The proposed changes to the South African Income Tax Act No. 58 of 1962 relating to Islamic finance contain deeming provisions to provide tax neutrality between Islamic and conventional finance. It appears that certain international tax issues for Islamic finance have not yet been addressed by the proposed changes and will have to be considered for the tax neutrality to be achieved.

La crise financière de 2008, dite crise des subprimes, a mis en évidence la déconnexion, de plus en plus profonde, entre l’économie financière et l’économie réelle. La question s’est alors posée de réorienter la finance internationale vers des valeurs morales. Ce contexte explique l’intérêt porté à la finance islamique, qui aurait été épargnée par la crise, en raison, notamment, de l’interdiction de la spéculation (maīsir), illicite au regard du droit islamique. C’est également dans ce contexte que des études ont présenté cette finance comme une concurrente, voire une alternative à la finance conventionnelle. Cette posture peut s’appuyer sur l’extension de la finance islamique aux pays occidentaux. Elle peut aussi se prévaloir de certains arguments tournant autour d’impératifs éthiques, préconisés par l’Islam et adoptés, en théorie, par la finance islamique : interdiction de l’intérêt usuraire (ribā) et prohibition de l’incertitude (gharār) dans les termes des transactions contractuelles ; partage des profits et des pertes entre les contractants et adossement de toute opération financière à un actif tangible ; octroi de prêts gratuits (ḳarḍ al-ḥassān) et répartition de la zakāt (aumône) aux plus démunis, mise en place d’une assurance islamique solidaire (takāfūl), constituée de contributions volontaires, et où les assurés sont en même temps des assureurs
The financial crisis of 2018, called the subprimes crisis, highlighted the increasingly deeper disconnection between the financial economy and the real economy. The question then arose as to whether redirect the international finance to moral values. This context explains the interest in Islamic finance which is said to have been spared by the crisis, in particular, due to the ban of speculation (maīsir) which is illicit as regards Islamic law. Still in that context, some studies presented this finance as a competitor or even an alternative to the conventional finance. This stance can rely on the extension of Islamic finance to the Western countries. It can also rely on some arguments relating to ethical imperatives, recommended by Islam and adopted, in theory, by Islamic finance : prohibition of usurious interest (ribā) and of uncertainty in the terms of contractual transactions (gharār) ; profit and loss sharing between contractors and asset-backing in any financial operation ; benevolent loans (ḳarḍ al- ḥassān) and distribution of the zakāt (alms) to the needy ; implementation of an insurance based on solidarity (takāfūl) consisting of voluntary contributions and where the insured persons are insurers at the same time

Cette thèse propose une façon sociologique de domestiquer un objet peu familier: le produit financier. Le cas retenu est celui de l'option: un des produits dérivés les plus controversés, qui s'est trouvé au coeur de la question sociale résurgente du "pouvoir de la finance". Ce travail s'inscrit dans une dynamique de recherche plus globale de reconquête des objets financiers par les sciences sociales entrepris depuis quelques années en France et au niveau international. En adoptant un centrage du regard sur le "produit" lui-même, l'auteur développe un ensemble d'opérations de recherches qui permettent de dessiner l'espace social (et technique) qui fait la teneur du produit.
Un premier travail d'anthropologie historique propose alors de soumettre l'option financière à une "anamnèse" qui remonte à Babylone pour revenir à Amsterdam (17ème siècle) avec une étape par la Grèce de Thalès et Aristote. L'option s'avère alors relever d'un espace social solidaire d'un ordre politique et religieux.
Néanmoins, le caractère trans-historique de ce "Phénix financier" laisse inexpliquée la spectaculaire transformation quantitative et qualitative subie par les produits dérivés contemporains sur les marchés organisés comme sur les marchés de gré à gré. La thèse s'attache alors à suivre le travail d'in-scription comptable et de pré-scription cognitive et formelle (ou juridque) qui sous-tend les transactions à base d'instruments financiers conditionnels. Cette dé-scription du produit donne alors à voir plusieurs modalités concrètes du processus de mondialisation financière.
Au terme de cette analyse, l'écriture collective du produit s'avère fondamentalement prise en charge par "la théorie financière moderne". Ce paradigme financier fait alors l'objet d'une analyse plus attentive sur les relations -descriptives et prescriptives- qu'il a entretenu avec le marché réel au fil de son avénement. A partir d'une mise en évidence de la double spéculation pratique et théorique sur la "volatilité" (qu'ont eu à couvrir ces options), la thèse conclut alors sur la consécration mutuelle et auto-référencielle opérée par la théorie et le marché. Cettte double consécration exprime un visage fondamental du nouvel ordre social, politique et moral de l'option financière moderne.

The goal of this thesis in finance is to combine the use of advanced mathematical methods with a return to foundational economic issues. In that perspective, I study generalized rational expectations and asset pricing in Chapter 2, and a converse comparison principle for backward stochastic differential equations with jumps in Chapter 3. Since the use of stochastic methods in finance is an interesting and complex issue in itself - if only to clarify the difference between the use of mathematical models in finance and in physics or biology - I also present a philosophical reflection on the interpretation of mathematical models in finance (Chapter 4). In Chapter 5, I conclude the thesis with an essay on the history and interpretation of mathematical probability - to be read while keeping in mind the fundamental role of mathematical probability in financial models.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

This thesis which compromise of three essays focuses on the theme of valuation, value premium anomaly, financing behaviour and emerging markets. The first essay studies the value growth puzzle in the context of conflict of interest between taxable and institutional investors. We model this conflict in a rational expectations framework and demonstrate how the differences in firm's characteristics (in terms of value versus growth) and the risk profile of the investors can explain the shape of CAPM's frontier in the overall economy without involving the beta parameter. We also explicate that the changes in taxable and non-taxable investors profile in a dynamic environment rationalize the value growth premium as illustrated by Malkiel (2003). Finally, our approach shed light on the issues raised by Shiller (1979,1981) and LeRoy and Porter (1981) that stock [bond] prices are too volatile to be rationalized by the discounted value of their expected dividends [coupon payments]. The second essay studies value anomaly in the context of four major emerging economies (i.e. Brazil, Turkey, China and India denoted by the acronym BTIC) with vast economic potential and Malaysia, a small emerging economy with top heavy, closely held, state-owned institutional setting. We attribute the anomaly to the investment pattern of glamour firms. Our empirical analysis illustrates that these firms have a tendency to hoard cash, delaying the undertaking of their growth options, especially in poor economic environments. This mitigates their business risk, but lowers their market valuation, driving down their returns. Our hypothesis also reconciles the diverging views stemming from both the neoclassical and behavioural perspectives. This third essay examines the target capital structure of Malaysian firms and their adjustment process in the pre- and post- Asian financial crisis. We utilize an unbalanced panel data set comprising of 184 firms and employ the Generalized Method of Moments (GMM) to study the relationship between a firm's characteristics and its capital structure targeting behaviour in the context of political patronage. Our results support the amalgamation of the well-known Pecking Order and Static Trade-off theories. It also illustrates that the financial crisis had a significant impact on the financial policy of Malaysian firms.

Mestrado em Finanças
O projecto Finance4All consiste na criação de materiais pedagógicos que fomentem a literacia financeira. Nesse sentido, foi desenvolvido o jogo de cartas Deal Widit inserido na temática de literacia financeira e aprendizagem baseada em jogos. Optou-se por um jogo de cartas, uma alternativa eficaz e com custos muito reduzidos em comparação com outros tipos de jogos. O jogo tem como base a compra de negócios com elementos de risco e recompensa, poupança, orçamentação e estratégia. Também tem uma componente de figuras corporativas que enriquecerão o valor da empresa. O jogo, ainda na fase de protótipo, foi testado num pequeno grupo do qual se obteve feedback, pretendendo atingir o público em geral acima dos 12 anos.
There are many studies that prove that playing games is often better than conventional methods for learning. Playing helps not only to develop knowledge on the theme but also the improvement of soft skills such as problem solving, strategic thinking or perseverance. The main idea of the project was to create a game that spiked the interest on the financial topic. A card based game with a playing board was chosen. The lack of financial literacy, a problem for all age groups, can be tackled by small incentives such as playing a related game. This project is an attempt to make finance in general fun and easy – saving, investing, risk and return and another concepts are very much the main part of the game. The prototype game was tested in a small group several times and got a positive response. As a future objective the prototype should be finished and proceed its development stage with more testing, packing and distribution.

Cette thèse se compose de trois articles. Les deux premiers articles étudient les flux d'informations sur les marchés financiers, et le troisième étudie comment les familles de fonds communs de placement peuvent utiliser des sources de revenus relativement discrétionnaires pour canaliser des bénéfices vers des fonds spécifiques au sein de la famille. Le premier article, rédigé en collaboration avec Daniel Schmidt, étudie les retombées de prix et de liquidité sur les marchés financiers. En utilisant une expérience quasi-naturelle, nous montrons que les investisseurs observent les prix des actions pour en extraire des signaux, et les utilisent pour effectuer des transactions. Dans le deuxième article, je montre que les fonds d'investissement acquièrent des informations par le marché des prêts de titres. Je montre que les fonds communs de placement actifs vendent les actions qui leur sont empruntées par des vendeurs à découvert, alors que les fonds indiciels - qui sont interdits de négociation - ne le font pas. D'un autre côté, les fonds indiciels sont en mesure de facturer des frais de prêt de titres plus élevés aux emprunteurs. Je leur attribue le fait qu'ils sont de meilleurs prêteurs dans le sens où ils ne peuvent pas utiliser les informations qu'ils obtiennent pour négocier, et donc tirer des bénéfices des informations des vendeurs à découvert. Le troisième article, également avec Daniel Schmidt, étudie les politiques des familles de fonds en matière de répartition des prêts de titres et des revenus de prêts entre les fonds membres. Nous montrons que les familles de fonds s'écartent de l'allocation équitable revendiquée, en dirigeant davantage de prêts de titres et de bénéfices de prêts vers les fonds indiciels. Cette conclusion est conforme à la substitution par les fonds des frais de gestion plus faibles par des revenus de prêts de titres plus élevés
This thesis consists of three articles. The two first articles study information flows in the financial markets, and the third one studies how mutual fund families may use relatively discretionary income sources to channel profits to specific funds within the family. The first article, joint with Daniel Schmidt, studies price and liquidity spillovers in financial markets. Using a quasi-natural experiment, we show that investors look at stock prices to extract signals, and use these to trade. In the second article, I show that mutual fund acquire information through the securities lending market. I show that active mutual funds start selling the stocks that are borrowed from them by short sellers, whereas index funds — that are prohibited from trading — do not. One the other hand, index funds are able to charge higher stock lending fees from the borrowers. I attribute this to them being better lenders in the sense that they can not use the information they gain to trade, and thereby extract profits from the short sellers’ information. The third article, also with Daniel Schmidt, studies fund family level policies in allocating securities loans and lending revenues between member funds. We show that fund families deviate from the claimed fair allocation, directing more securities loans and lending profits to index funds. The finding is in line with with funds substituting a lower expense ratio with higher securities lending income

Business Administration/Finance
Ph.D.
Chapter 1 investigates whether acquirer firms structure unpopular M&A transactions so as to avoid a vote by their shareholders. This question touches directly on the broader issue of M&A and agency conflicts, and the paper may partially explain how so many deals get done despite the evidence of limited long-term benefits to acquiring firm shareholders. More specifically, we examine how firms respond to the 20% issuance rule of the major American stock exchanges (NYSE, Nasdaq, and Amex), which requires a bidder shareholder vote on any merger-related issuance that exceeds 20% of the bidder’s shares. We observe a large clustering of share issuance just below this 20% threshold, a pattern that suggests that many bidders prefer to avoid a vote. Among deals for non-public targets, the primary concern seems to be timesaving. Instances in which bidders circumvent a vote in order to intentionally thwart opposition constitute only a small number of cases, although firms also avoid a vote as a precautionary measure when they have high institutional ownership. Finally, we investigate financial and legal mechanisms that companies employ in order to avoid the vote. Chapter 2 proposes a new approach for estimating expected returns on individual stocks returns obtained by applying our method to thirteen asset pricing anomalies generate a wide cross-sectional dispersion of realized returns. Our results provide evidence of strong commonality in asset pricing anomalies. The use of portfolios based on the estimated expected returns as test assets increases the power of asset pricing tests.
Temple University--Theses

Main interest of this diploma thesis is a transaction known as leveraged acquisition. The goal is to provide detailed overview of these transactions starting from history and development of leveraged acquisitions, key market participants, acquisition financing, leveraged acquisition market and its current trends and analysis of a fictional transaction using advanced financial model. Due to the limited extent of the thesis not all aspects of debt financing and modeling could have been covered in the text.

Les trois chapitres de cette thèse étudient les choix financiers des ménages au cours de leur vie. Le premier s’intéresse à la décision de devenir un entrepreneur, le second au choix d’investir en bourse et le troisième à la valeur des droits à la retraite.Dans le premier chapitre, j’utilise des données administratives françaises sur les entrepreneurs créateurs d’emplois pour estimer un modèle de cycle de vie dans lequel des individus averses au risque peuvent créer une entreprise et retourner vers l’emploi salarié. J’estime que les bénéfices inobservés de l’entrepreneuriat représentent 6 100 euros par an, soit 67 000 sur la durée de vie d’une entreprise. L’option de retourner vers le salariat vaut, quant à elle, 82 000 euros pour les nouveaux entrepreneurs.Dans le second chapitre, j’estime un modèle de choix de portefeuille qui prend en compte la relation entre les rendements du marché boursier et l’asymétrie des chocs idiosyncratique de revenue. La cyclicité de cette asymétrie peut expliquer pourquoi les ménages jeunes ou à la richesse modestes investissent peu en bourse, et pourquoi la part de leur richesse investie en action croit jusqu’à l’âge de la retraite.Dans le troisième chapitre, je calibre un modèle de choix de portefeuille dans lequel le marché du travail est celui des actions sont cointegrés. J’estime que l’équivalent certain des droits à la retraites pour les ménages salariés est de 46% inférieur à la somme des paiements annualisés au taux sans risque. Au niveau national, la valeur ajustée des droits à la retraite est de 19.6 trillions de dollars, soit 37% de moins que la valeur non-ajustée de 31 trillions
The three chapters of this thesis study households’ financial decisions over the life-cycle. The first chapter focuses on the decision to become an entrepreneur, the second on the choice to invest in stock market and the third on the value of pension entitlements.In the first chapter, I use French administrative data on job-creating entrepreneurs to estimate a life-cycle model in which risk-averse individuals can start businesses and return to paid employment. I find that unobserved benefits represent 6,100 euros per year, summing up to 67,000 over the average entrepreneurial spell. The option to return to paid employment is worth 82,000 euros to new entrepreneurs.In the second chapter, I estimate a life-cycle model of portfolio choices that incorporates the relationship between stock market returns and the skewness of idiosyncratic income shocks. The cyclicality of skewness can explain low stock market participation among young households with modest financial wealth and why the equity share of participants slightly increases until retirement.In the third chapter, I calibrate a life-cycle model in which the stock and labor markets are cointegrated and Social Security benefits are wage-indexed. I find that the certainty equivalent of Social Security for working households is 46% lower than the sum of future cash flows discounted at the risk-free rate and negative for young households. At the national scale, the risk-adjusted value of Social Security entitlements is 19.6 trillion dollars, which is 37% lower than the unadjusted value of 31 trillion dollars

Emerging countries have become more and more important in today’s economy, especially in cross-border M&As. The neoclassical theory predicts that, on net, capital should flow from countries that are capital-abundant to countries that are capital-scarce. Yet increasingly emerging market firms are acquiring assets in developed countries mainly because of their strong power and richness in commodities. As the drivers and value creation of M&A deals may differ from one industry to another, this paper proposes general guidelines for understanding the underlying factors influencing operational, political and evaluation risk in emerging markets deals

Si le succès d'une campagne de crowdfunding dépend du projet qui est financé, il est aussi fortement lié aux choix stratégiques faits par l'entrepreneur et par le design de la campagne de financement en elle-même. Cette thèse étudie trois composants principaux du design d'une campagne de crowdfunding en se basant sur une base de données unique de plus de 22 000 projets présentés sur la plateforme Indiegogo. Premièrement, en choisissant entre les modèles de financement "keep-it-all" et "all-or-nothing", l'entrepreneur a la possibilité de transférer lerisque entre lui-même et la foule. Cela aura un impact sur la quantité d'informations qu'il divulguera et sur le comportement des participants. Deuxièmement, la personnalité de l'entrepreneur, et plus particulièrement son niveau de narcissisme, affecte également la manière dont la campagne est mise en place (taille, informations,...) et du soutien qu'il/elle obtient de la foule. Enfin, étant donné que nous savons que les entrepreneurs en série bénéficient habituellement de leur expérience via leur réseau et leur réputation, nous analysons sa capacité à recommencer une seconde campagne, la manière dont l'entrepreneur la conçoit et sa capacité à gagner, ou pas, le soutien du public après un premier succès ou un premier échec
If the crowdfunding campaign success depends on the project that is financed, it is also closely linked to the strategic choices of the entrepreneur and by the design of the financing campaign in itself. This thesis investigates three main components of the campaign design by using a unique database of more than 22,000 crowdfunding projects presented on the Indiegogo platform. First, by choosing between the keep-it-all and the all-or-nothing funding model, the entrepreneur is able to shift the risk between himself and the crowd. This will impact thecampaign disclosures and the behavior of the participants. Second, the personality of the entrepreneur and more precisely his level of narcissism also affects the way that the campaign is set up (size, soft information,...) and the support he/she receives from the crowd. Finally, since we know that serial entrepreneurs usually benefit from experience through network and reputation, we analyze his/her ability to restart a second campaign, the way that entrepreneurs design it and his/her capacity to gain, or not, support from the crowd after a first success or after a first failure

The main purpose of the thesis is to investigate one possible reason for the poor performance of Development Finance Institutions, and consequently to identify one possible way in which future performance might be improved. Financial Institutions can choose from two main investment instruments: loan and equity. Most DFIs have chosen to use loans almost exclusively. However, equity funding has a number of potential advantages over loans. One such advantage is equity's ability to compensate for risk, thus allowing a DFI to invest in higher risk projects which have the potential for higher returns. The research considers two DFIs in Malawi, both of which invest loan and equity finance. Five hypotheses are used to test whether equity's potential advantages have been of practical benefit. Each of these hypotheses is summarised below, followed by the result of the research. i Equity financed projects are more fully funded than are loan financed projects: not supported. ii The servicing cost of equity finance is more flexible, but the overall returns to equity are higher for the DFI: only the second part supported. iii Further funding is more likely to be provided in equity cases: only weakly supported. iv Some investments can only be financially justified by using equity: not supported. v More management help is given by the DFI in the case of equity investments: supported. A sixth hypothesis considers whether other factors, such as project appraisal methodology, external political pressure and internal operating procedures may have outweighed financial considerations such as the choice between equity and loan finance. (If so, then the potential advantages of equity would not have resulted in much practical benefit. ) There is evidence, although it is not conclusive, to support this hypothesis. The thesis concludes that the DFIs examined have hardly used the potential advantages of equity. The likeliest explanation for this appears to be that decisions on whether or not to use equity finance were dominated by the other factors identified in the sixth hypothesis.

Le premier chapitre présente la finance islamique, ses principes, ses produits, ses institutions. Le deuxième chapitre, présente une comparaison entre les deux systèmes bancaires, islamique et conventionnel à partir d'une étude de ratios bancaires et une analyse en composantes principales. Le troisième chapitre a pour but de clarifier les différents facteurs attirant les clients vers les banques islamiques et montre que ceux-ci ne se limitent pas aux critères religieux pour faire leur choix. Le quatrième chapitre analyse les marges d'intermédiation des banques islamiques et conventionnelles, en utilisant une approche dynamique du panel (Arellano-Bond, 1991). Il conclut que les banques islamiques se caractérisent par des marges plus élevées. Le cinquième chapitre examine, pour les deux systèmes bancaires, l'impact de la pression réglementaire. Il apparait que les banques islamiques et conventionnelles opérant dans la région MENA se caractérisent par des niveaux de capital déjà bien au-dessus du minimum réglementaire, et que la pression réglementaire n’a donc pas d’impact sur les banques islamiques. Cette inefficacité de la réglementation prudentielle peut être expliquée par l’inadaptation de cette réglementation à la nature du risque de ces banques. Enfin, le sixième et dernier chapitre, étudie la relation entre le capital et le risque de défaillance. Il en ressort que, dans la zone MENA, la probabilité de défaillance serait plus élevée pour les banques islamiques
The first chapter presents Islamic finance, its principles, its products, its institutions. The second chapter presents a comparison between the two banking systems, Islamic and conventional through a study of banking ratios and principal component analysis. The third chapter aims to clarify the factors attracting customers towards Islamic banks and shows that they are not confined to religious criteria for their choice. The fourth chapter analyzes the intermediation margins of Islamic and conventional banks, using a dynamic approach of the panel (Arellano-Bond 1991). It concludes that Islamic banks are characterized by higher margins. The fifth chapter examines, for the two banking systems, the impact of regulatory pressure. It appears that Islamic and conventional banks operating in MENA are characterized by high capital levels which already well above the regulatory minimum, and therefore regulatory pressure has no impact on Islamic banks. This inefficiency of prudential regulation can be explained by the inadequacy of the regulations to the nature of the risk of these banks. The sixth and final chapter examines the relationship between capital and the risk of failure. It shows that, in MENA, the probability of failure is higher for Islamic banks

Cette recherche a tenté de comprendre et d’analyser les pratiques de finance solidaire informelle en Kabylie, en l’occurrence le rôle des caisses villageoises et la gestion des biens collectifs. En effet, nous avons analysé le système de solidarité villageoise et les réseaux informels autour desquels se mobilisent et se structurent les financements comme les réseaux des émigrés établis à l’étranger et organisés en associations communautaires. C’est à partir de ce contexte socioéconomique des communautés villageoises de la Kabylie, caractérisé par l’encastrement des pratiques de financement solidaire dans les valeurs socioculturelles et l’auto-organisation des villages, que nous avons posé notre problématique. Celle-ci s’articule sur leur logique de leur fonctionnement et l’intérêt de l’institutionnalisation des caisses villageoises en organisations de l’économie sociale et solidaire en général et de finance solidaire en particulier à l’instar des banques communautaires et coopératives inter-villageoises à l’échelle de la Wilaya. Autrement dit, nous avons posé la problématique de la professionnalisation et de l'institutionnalisation des caisses villageoises comme facteur susceptible de renforcer leur pérennisation et leur efficacité dans le financement et la gestion des biens collectifs des villages kabyles
This research has attempted to understand and analyze the practices of informal solidarity finance in Kabylie, in this case the role of village banks and the management of public goods. In fact, we have analyzed the village solidarity system and the informal networks around which funds and networks are mobilized and structured, such as the networks of emigrants established abroad and organized in community associations. It is from this socio-economic context of the village communities of Kabylia, characterized by the embedding of practices of solidarity financing in the socio-cultural values and the self-organization of the villages that we posed the problematic of their operation and the interest of their institutionalization in organizations of social and solidarity economy in general and solidarity finance in particular like the community banks and inter-village cooperatives at the scale of the Wilaya. In other words, we have raised the issue of the professionalization and institutionalization of village banks as a factor likely to strengthen their sustainability and effectiveness in the financing and management of the collective goods of Kabyle villages

Cette thèse propose une façon sociologique de domestiquer un objet peu familier : le produit financier. Le cas retenu est celui de l'option : un des produits dérivés les plus controversés, qui s'est trouvé au coeur de la question sociale résurgente du "pouvoir de la finance". Ce travail s'inscrit dans une dynamique de recherche plus globale de reconquête des objets financiers par les sciences sociales entrepris depuis quelques années en France et au niveau international. En adoptant un centrage du regard sur le "produit" lui-même, l'auteur développe un ensemble d'opérations de recherches qui permettent de dessiner l'espace social (et technique) qui fait la teneur du produit. Un premier travail d'anthropologie historique propose alors de soumettre l'option financière à une "anamnèse" qui remonte à Babylone pour revenir à Amsterdam (17ème siècle) avec une étape par la Grèce de Thalès et Aristote. L'option s'avère alors relever d'un espace social solidaire d'un ordre politique et religieux. Néanmoins, le caractère trans-historique de ce "Phénix financier" laisse inexpliquée la spectaculaire transformation quantitative et qualitative subie par les produits dérivés contemporains sur les marchés organisés comme sur les marchés de gré à gré. La thèse s'attache alors à suivre le travail d'in-scription comptable et de pré-scription cognitive et formelle (ou juridque) qui sous-tend les transactions à base d'instruments financiers conditionnels. Cette dé-scription du produit donne alors à voir plusieurs modalités concrètes du processus de mondialisation financière. Au terme de cette analyse, l'écriture collective du produit s'avère fondamentalement prise en charge par "la théorie financière moderne". Ce paradigme financier fait alors l'objet d'une analyse plus attentive sur les relations -descriptives et prescriptives- qu'il a entretenu avec le marché réel au fil de son avénement. A partir d'une mise en évidence de la double spéculation pratique et théorique sur la "volatilité" (qu'ont eu à couvrir ces options), la thèse conclut alors sur la consécration mutuelle et auto-référencielle opérée par la théorie et le marché. Cettte double consécration exprime un visage fondamental du nouvel ordre social, politique et moral de l'option financière moderne.

This literature review analyzes the global phenomenon of international project finance (PF) as both a management and finance instrument, allowing practitioners to realize large scale infrastructure projects in high risk contexts. After describing the characteristics of PF, its historical origins and its unique benefits for empirical inquiry, I summarize the findings of academic research from an interdisciplinary perspective. Based on this integration of Finance, Management and International Business research, I discuss the theoretical implications for each field that emanate from PF. Finally, I identify possibilities for future research and propose a more balanced, interdisciplinary academic treatment of PF.

En dépit de la croissance récente du marché européen des produits dérivés d'inflation, il n'existe pas encore de modèle classique ou standard pour décrire ce marché particulier. Les divers modèles économétriques expliquant l'inflation sont inadaptés pour évaluer ces dérivés d'inflation. Cette thèse s'inscrit dans une critique du modèle de Jarrow-Yilidirim (2000) et de l'approche de coïntégration (2000) afin d'élargir le champs d'évaluation des obligations indexées sur inflation aux produits dérivés. Le but de cette thèse en mathématiques appliquées est de décrire d'une manière consistante le marché varié des swaps et des options inflation (zéro coupon et annuels) pour proposer des méthodes d'évaluation de produits (swaptions) exotiques et hybrides ; des problématiques annexes y seront également traités comme l'aspect smile ou l'effet de la saisonnalité. Les disciplines mathématiques utilisées pour les besoins d'évaluation, l'estimation et la calibration sont le calcul stochastique, l'optimisation et l'économétrie.

La presente tesis estudia como las decisiones de estructura de deuda y de cobertura de riesgo de las empresas afectan a su nivel de inversión en activo fijo. En primer capítulo se centra en construir hechos estilizados sobre la relación entre la estructura de deuda, la estructura de capital y la inversión cuando las empresas pueden acceder tanto a deuda segura (con avales) como a deuda insegura (sin avales). Los resultados sugieren que i) las empresas con mayor calidad crediticia tienen a tomar prestado más en términos de deuda insegura, ii) una mayor capacidad de la empresa de ofrecer avales no necesariamente implica una mayor inversión y iii) las empresas que dependen más de la deuda insegura en su estructura de deuda, pueden llevar a cabo una mayor inversión en activo fijo. El segundo capítulo utiliza dos estrategias de identificación distintas para testar el efecto causal de los hechos estilizados derivados del capítulo uno. Testeo la hipótesis desde la perspectiva del canal de balance y crédito. Los resultados sugieren que la composición de la estructura de deuda tiene efecto sobre las variables reales. Cuanto mayor es la presencia de la deuda insegura en la estructura de deuda de las empresas, las empresas tienden a invertir más. La explicación más plausible para este resultado es que la deuda insegura es más efectiva en términos de costes; tanto en tipos de interés como en cláusulas contractuales (covenants). Por último, el tercer capítulo utiliza un panel de perturbaciones al coste de la cobertura mediante derivados en distintos momentos de tiempo para estudiar la relación entre la cobertura y el riesgo idiosincrático. Hago uso de las introducciones y eliminaciones de derivados sobre commodities por parte del Chicago Mercantile Exchange y otros mercados pos este motivo. Los resultados sugieren que un acceso más barato a instrumentos derivados reduce la volatilidad de los flujos de caja y por tanto, permite incrementar la inversión de las empresas afectadas.
This dissertation studies how debt structure and risk management decisions affect firms' investment. The first chapter focuses on building the stylized facts on the relation between debt structure, capital structure and investment when firms' have both, secured and unsecured debt available. Results suggests that i) firms with higher creditworthiness tend to borrow more unsecured debt, ii) higher collateral availability may not lead to more investment and iii) more reliance on unsecured debt leads to more investment. The second chapter uses two identification strategies to test the causal effect of the relations derived in chapter one. I test the hypothesis from a balance sheet and credit channel perspective. Results show that the composition of debt structure of firms has real implications. The higher the unsecured debt in debt structure, the more firms can invest. The explanation for this result is that unsecured debt is more cost-effect in terms of spreads and debt covenants. Finally, the last chapter uses a panel of shocks to the cost of hedging to different firms at different points in time to study the relation between hedging and risk. I exploit the introduction and delisting of commodity derivatives by the CME and other exchanges for identification. I find evidence suggesting that cheaper access to hedging instruments reduces the volatility of cashflows and thus, increases firms' investment.

This thesis consists of three essays. In the first essay, I show that information about dividends implied in derivative markets predicts future dividend growth and thereby improves the forecasts of short-run returns on the aggregate market. In the second essay, we analyze the impact of options trading on the price distribution of the underlying asset. Specifically, we show that S&P 500 futures finish in the proximity of the closest strike price on days when options on S&P 500 futures expire. We document that this effect is mainly driven by the rebalancing of delta hedges of the market maker. In the third essay, we develop a theory of price support in security markets that arises from conflict of interests, and we test our hypothesis in the context of the Spanish mutual fund industry. In particular, we analyze how bank-affiliated mutual funds trade in the stock of the parent bank and show that, consistently with the price support hypothesis, affiliated mutual funds tend to increase their holdings of the parent bank’s stock following a large drop in its price.
Esta tesis consta de tres capítulos. En el primer capítulo, muestro que la información sobre dividendos implícita en los mercados de derivados predice el crecimiento futuro de los dividendos, mejorando así las predicciones de los rendimientos a corto plazo en el mercado agregado. En el segundo capítulo, analizamos el impacto de la compraventa de opciones en la distribución del precio del activo subyacente. En concreto, mostramos que los futuros del S&P 500 terminan en el entorno del precio de ejercicio más próximo en los días en que las opciones sobre los futuros del S&P 500 expiran. Documentamos que este efecto está principalmente motivado por el reajuste de la cobertura delta de los intermediarios. En el tercer capítulo, desarrollamos una teoría de sostenimiento de precios en los mercados de valores motivado por un conflicto de intereses y testamos nuestra hipótesis en el contexto de la industria española de fondos de inversión. En concreto, analizamos cómo los fondos de inversión afiliados a un banco operan las acciones del banco matriz y mostramos que, consecuentemente con la hipótesis del sostenimiento de precios, los fondos de inversión filiales tienden a incrementar sus posiciones en las acciones del banco matriz después de una caída importante de su cotización.

This thesis investigates two economic policy dimensions in contemporary world economy. The first chapter focuses on the recent accumulation of international reserves by central banks in developing economies. I present a simple model of reserve management where a central bank accumulates reserves in order to avoid spikes in inflation during financial crises. This monetary perspective helps to account for the massive accumulation of reserves observed in the data. The second chapter turns to financial reform, with an emphasis on the role played by savings. I show how imperfect competition in the financial sector can internalize externalities and yield larger investment when domestic savings are low. Taking this view allows for a better understanding of the empirical relationship between financial reforms and economic growth.
Aquesta tesi investiga dues dimensions de la poltica econ´omica en l’economia mundial contempor`ania. El primer cap´ıtol es centra en la recent acumulaci´o de reserves internacionals per part dels bancs centrals en les economies en desenvolupament. Exposo un model senzill de gesti´o de reserves per part d’un banc central que acumula reserves amb l’objectiu d’evitar els augments pronunciats d’inflaci´o durant les crisis financeres. Aquesta perspectiva monet`aria ajuda a explicar l’acumulaci´o massiva de reserves que s’observa en les dades. El segon cap´ıtol es focalitza en la reforma financera, emfasitzant el paper de l’estalvi. Demostro com la compet`encia imperfecta en el sector financer pot internalitzar les externalitats i aix´ı generar m´es inversi ´o, concretament quan l’estalvi ´es baix. L’adopci´o d’aquest punt de vista permet entendre millor la relaci´o emp´ırica entre les reformes financeres i el creixement econ`omic.

Cette thèse comporte quatre essais en finance d'entreprise. Le premier chapitre porte sur le lien entre comportement de l'entreprise et structure de son actionnariat et de son management. L'attention est plus particulièrement portée sur les différents styles de management qu'implique la présence de la famille du fondateur de l'entreprise dans l'actionnariat ou dans l'équipe dirigeante. Nous montrons ensuite comment des mécanismes de gouvernance interne peuvent supplanter les dispositifs traditionnels de gouvernement de l'entreprise pour exercer une discipline efficace sur les dirigeants de l'entreprise. Cette étude empirique, menée sur un large panel d'entreprises américaines, est soutenue par une analyse théorique qui s'intéresse plus généralement au rôle de l' indépendance des préférences au sein des organisations. Le dernier chapitre de cette thèse vise a comprendre empiriquement les liens entre valeur du collatéral détenu par les entreprises et politique d'investissement. L'analyse se concentre particulièrement sur les actifs immobiliers que possèdent les grandes entreprises américaines.

This PhD dissertation research primarily aims to empirically investigate into two financial topics using annual and monthly data sets of market-capitalization based size portfolio returns from the US stock market for the period 1925 to 2012. Using size-based portfolio returns is a pioneering effort for both topics. The first empirical research using annual data is on short and long horizon stock return predictability using three widely selected ratios in terms of price-output, price-earnings and price-dividend. Using univariate and multivariate predictive regressions for horizons from one year to fifteen years for the full sample and three different sub-samples for comparison reasons with the previous research using aggregate stock market data, it is reported that both short and long horizon return predictability exists albeit with different predictive ability for different horizons. Among the three selected ratios, overall the price-output ratio is empirically favoured as a superior predictor of stock returns. The empirical findings refer to that this is robust across the three sub-samples investigated. It is empirically shown that size significantly matters in terms of return predictability. The second empirical research using monthly data is on the analysis of impact of macroeconomic volatility in terms of inflation and industrial production growth on asymmetric time-varying volatility of stock returns. Using a two-stage econometric methodology, first, based on estimation of asymmetric conditional volatilities of stock returns and macroeconomic variables, and then employing a vector autoregression methodology; it is reported that volatility of size-based portfolio returns are, in general, not significantly dependent on macroeconomic volatility. It is also shown that stock return volatility is more responsive to its own previous shocks as shown by the variance decomposition. It is also found that size does not matter in this specific case.

In the first essay, I consider the impact of tort liability on firms capital structure. Tort litigation is not only a substantial risk facing firms worldwide, but is also a unique form of risk, in that it can be exacerbated or mitigated by how firms adjust their debt-equity mix. I examine how firms ought to adjust their capital structure when faced with litigation, and consider various extensions to basic model. These include the interaction between capital structure, tort liability and insurance, how the problem changes when several firms face tort risk and are jointly and severally liable, and the implications that arise from moving from a one period to a two period setting. In the second essay, we develop and test a theory of insurers' choice of the mix of equity and liabilities. The role of equity in insurance markets and in our model is to back insurers' promises to pay claims when there is aggregate uncertainty, or dependence among risks. Depending on the nature of this aggregate uncertainty, the equity held by firms in a competitive insurance market may increase with rising uncertainty, or it may initially increase then decrease. The ratio of equity to revenue unambiguously increases with uncertainty. We test the model, as well as implications of recent models of insurance market dynamics, on a cross-section of U.S. property-liability insurers. In the third essay, I examine optimal contracting with risk averse managers. I start from the following observations: (1) managers select projects and exert effort; (2) risk averse managers make distorted project selection decisions, and this problem is increasing in risk aversion; (3) managers with low risk aversion are attracted to high-power compensation packages. I develop a model where high-power incentive contracts act as screening devices, helping firms attract less risk averse managers who will then make less distorted project selection decisions. Optimal contracts trade off the screening and effort-inducing benefits of incentive contracts against the deviation from optimal risk sharing. The resulting equilibrium provides a new perspective on why some managerial contracts feature such high-powered incentives, as well predictions for the cross-sectional variation in the power of incentive contracts.
Business, Sauder School of
Graduate

China has been growing rapidly over the last decades. The private sector is the driving force of this growth. This thesis focuses on firm-level investment and cash holdings in China, and the chapters are structured around the following issues. 1. Why do private firms grow so fast when they are more financially constrained? In Chapter 3, we use a panel of over 600,000 firms of different ownership types from 1998 to 2007 to find the link between investment opportunities and financial constraints. The main finding indicates that private firms, which are more likely to be financially constrained, have high investment-investment opportunity sensitivity. Furthermore, this sensitivity is relatively lower for state-owned firms in China. This shows that constrained firms value investment opportunities more than unconstrained firms. To better measure investment opportunities, we attempt to improve the Q model by considering supply and demand sides simultaneously. When we capture q from the supply side and the demand side, we find that various types of firms respond differently towards different opportunity shocks. 2. In China, there are many firms whose cash flow is far greater than their fixed capital investment. Why is their investment still sensitive to cash flow? To explain this, in Chapter 4, we attempt to introduce a new channel to find how cash flow affects firm-level investment. We use a dynamic structural model and take uncertainty and ambiguity aversion into consideration. We find that uncertainty and ambiguity aversion will make investment less sensitive to investment opportunities. However, investment-cash flow sensitivity will increase when uncertainty is high. This suggests that investment cash flow sensitivities could still be high even when the firms are not financially constrained. 3. Why do firms in China hold so much cash? How can managers’ confidence affect corporate cash holdings? In Chapter 5, we analyse corporate cash holdings in China. Firms hold cash for precautionary reasons, to hedge frictions such as financing constraints and uncertainty. In addition, firms may act differently if they are confident or not. In order to determine how confidence shocks affect precautionary savings, we develop a dynamic model taking financing constraints, uncertainty, adjustment costs and confidence shocks into consideration. We find that without confidence shocks, firms will save money in bad times and invest in good times to maximise their value. However, if managers lose their confidence, they tend to save money in good times to use in bad times, to hedge risks and financing constraint problems. This can help explain why people find different results on the cash flow sensitivity of cash. Empirically, we use a panel of Chinese listed firms. The results show that firms in China save more money in good times, and the confidence shock channel can significantly affect firms’ cash holdings policy.

This thesis explores the determinants of tax evasion and their implications for tax policy, with a special focus on taxation in developing countries. Chapter 1 studies how the transition from self-employment to employee-jobs over the long run of development explains the rise of the modern tax system. I construct a new microdataset, covering 90 countries at all levels of development today and 140 years within the US between 1870 and 2010. Using these data, I provide new stylized facts: within country, the share of employees increases over the income distribution, and increases at all levels of income as a country develops; 2) the income tax exemption threshold moves down the income distribution as a country develops tracking employee growth. I provide a causal estimate of the impact of employee-share on the exemption threshold and on tax revenue, by studying a state-led development program which was implemented across US states in the 1950s-60s. I find that the exogenous increase in employee share is associated with a lower state income tax threshold and higher revenue. Chapter 2 studies individual and social motives in tax evasion. We build a dynamic model that incorporates these motives, their interactions, and where social motives underpin the role of norms. Our empirical analysis exploits the adoption in 1990 of a poll tax to fund local government in the UK, which led to widespread evasion, and a series of natural experiments due to narrow election outcomes, which induce shifts into single-majority local governments and lead to more vigorous enforcement of local taxes. The econometric results are consistent with the model’s main predictions on the dynamics of evasion. Chapter 3 studies the impact of access to formal finance and firm size on tax inspection and tax compliance. We use firm-level data on 108,000 firms across 79 countries in the World Bank Enterprise Surveys. We instrument for finance and firm size at the industry-level using an out of sample extrapolation strategy related. We find a large and positive effect of firm size on both tax inspection and sales tax compliance, but no overall significant impact of reliance on external finance.