Essays on search models of the capital market, and real investment options with financing constraints
Notice bibliographique
Résumé
My dissertation consists of three essays in financial economics. In the first essay, I develop a search model of credit markets with suspension penalties for default. It is shown that there exists a unique search equilibrium that achieves a constrained Pareto optimum under informational asymmetry and uncertainty if the opportunity cost of search is not too large. Greater investment availability makes borrowers choosier in accepting projects, thus increasing default risk and forcing banks to raise the interest rate in equilibrium. Moreover, the suspension penalty has a favorable impact on the borrower's investment choice when the optimal interest rate is low and an unfavorable effect when the interest rate is high. The policy implication is that the bank should tighten penalty severity in the former case and loosen it in the latter so as to enhance loan repayments. In the second essay, I utilize a search model to examine how joint liability lending enhances loan repayments compared with unsecured individual liability lending. Joint liability serves as a substitute for collateral in curbing default risk, where the effective cost of borrowing is positively related to group risk type, and where a safe group is more willing than its risky counterpart to trade joint liability commitments for lower interest rates. The efficiency gain under group lending results from a risky borrower's choice of less risky investment due to the joint responsibility for default risk, and from more prudent actions taken by safe borrowers since the effective interest reduction that they obtain outweighs the effective “collateral” imposed on them by joint liability. Moreover, joint liability has a favorable incentive effect if the loan rate is low and an adverse incentive effect otherwise; moral hazard is less severe for joint liability than for loan rates if the group size is not too large. All this makes it possible for joint liability to improve efficiency by lowering loan rates. The third essay is a joint paper with Varouj Aivazian. In this essay, we examine the impact of financing constraints on the dynamics of the firm's investment choices under uncertainty. It analyzes interactions between investment and financing decisions when the firm faces demand uncertainty and has the option of adjusting its capital stock to the resolution of uncertainty. Investment options enable the firm to better tailor investment to future demand and, at the same time, they affect firm's expected tax obligations and potential bankruptcy status. In addition to allowing the firm to better adjust its capital stock to the resolution of uncertainty, these options enable the firm to realize greater tax shields from debt and reduce the potential impact of financial leverage on bankruptcy. The paper demonstrates that financing considerations can have a significant impact on these option values complicating the relationship between economic fundamentals and the dynamics of investment.
Récupéré en direct depuis OpenAlex et désinversé. Les résumés ne sont pas conservés dans cette base de données : les index inversés représentent 8,6 Go des 9,3 Go de texte de la base, et le serveur dispose de 13 Go libres.
Comment cette classification a été obtenuedéplier
Prédiction distillée sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Apprise à partir de 10 348 étiquettes directes de Codex et de 10 348 étiquettes directes de Gemma. Le mode candidate est l'union des têtes enseignantes seuillées; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont ni des étiquettes humaines ni des étiquettes directes de modèles de pointe.
Scores Codex et Gemma par catégorie
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,001 | 0,000 |
| Méta-épidémiologie (sens strict) | 0,000 | 0,000 |
| Méta-épidémiologie (sens large) | 0,001 | 0,000 |
| Bibliométrie | 0,000 | 0,001 |
| Études des sciences et des technologies | 0,001 | 0,001 |
| Communication savante | 0,000 | 0,000 |
| Science ouverte | 0,000 | 0,000 |
| Intégrité de la recherche | 0,000 | 0,001 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,000 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découleClassification
machine, non validéePrédiction automatique; un appel candidat d’une seule tête enseignante, pas un consensus.
Le détail, modèle par modèle et score par score, se trouve en fin de page sous « Comment cette classification a été obtenue ».