Department of Finance (FI)
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Poulsen, Thomas Kjær (Frederiksberg, 2019)[More information][Less information]
Abstract: The first essay presents new empirical findings which are inconsistent with prominent theories on the investment premium. The investment premium is the positive stock return difierential between firms with low and high asset growth. Asset growth is the annual percentage change in total assets and is typically interpreted as the firm's investments. The investment premium is an integral part of recent factor models which are fundamental tools for both finance academics and practitioners. In the essay I present three new empirical findings. First, I show that firms with low asset growth on average have higher financial leverage. To the extent that firms with higher leverage have higher returns, cross-sectional difierences in leverage account for part of the investment premium. Second, I document that there is no investment premium among zero-leverage firms. Third, I nd that the investment premium increases with firms' refinancing intensities which are the ratio of short-term debt to total debt. These findings re ect firms' financing decisions and are inconsistent with prominent theories using firms' investment decisions to explain the investment premium. URI: http://hdl.handle.net/10398/9734 Files in this item: 1
Thomas Kjær Poulsen.pdf (1.938Mb) -
Regli, Frederik (Frederiksberg, 2019)[More information][Less information]
Abstract: This thesis is submitted in partial ful lment of the requirements for a PhD degree in Finance. Admittedly, the thesis is more closely related to the eld of maritime economics and focuses on crude oil tanker markets. This thesis studies freight rates, which have sparked the interest of maritime economists at least since the seminal work by Tinbergen (1931) and Koopmans (1939). This thesis has special emphasis on how freight rates evolve, how they are linked to oil prices through the oating storage arbitrage relationship, and how they re ect the relative bargaining power of shipowners and charterers. The thesis consists of three chapters, which can be read independently. URI: http://hdl.handle.net/10398/9721 Files in this item: 1
Frederik Regli.pdf (7.937Mb) -
Mølgaard, Pia (Frederiksberg, 2018)[More information][Less information]
Abstract: Classical asset pricing theory assumes \perfect markets" which means that nancial markets are frictionless. However, in the real world nancial frictions exists. Recently the nancial literature has focused more on these frictions and on how they a ect asset prices. This thesis contributes to the literature by providing evidence on how nancial frictions a ect pricing and trading of corporate loans. The rst chapter examines how managers of collateralized loan obligations (CLOs) trade leveraged loans and how their activity a ects the performance of the CLO. The second chapter examines how the performance of leveraged loans depends on the borrowers' relationship with its bank. The third chapter studies methodologies used to quantify how information ows between the corporate bond and the credit default swap market. URI: http://hdl.handle.net/10398/9674 Files in this item: 1
Pia Mølgaard.pdf (1.662Mb) -
Daetz, Stine Louise (Frederiksberg, 2018)[More information][Less information]
Abstract: The first essay shows that corporate bond issuers derive value from bond underwriter relationship capital. A strong underwriter relationship enables the underwriter to credibly certify the issuer on the bond market which is fundamental for firms when issuing new debt and refinancing maturing debt. In order to empirically verify this certification hypothesis we study corporate bond issuing firms' underwriter relations and analyze their value for the issuing firm. The second essay provides a detailed investigation of the implications of creditors' use of credit default swaps (CDSs) for the debt financing of related firms. CDSs are financial derivatives that protect the buyer against default of a given reference firm. The availability of CDS contracts has in general been outlined to improve bank lending by reducing financial frictions on the supply side of credit. Using unique and comprehensive CDS and credit registry data from Deutsche Bundesbank I explicitly study the CDS holdings of banks with a credit relationship to the reference firm and analyze the role of the variation in creditors use of CDSs for the borrower's debt financing. As outlined in the data creditors typically hold multiple CDSs written on the same firm and are often also net sellers of CDS contracts written on their own borrowers. The third essay investigates whether unconventional monetary interventions by central banks can stimulate corporate investment and, thus, afiect the real economy. Specifically, we address this question by analyzing ECB's three-year Longer-term Refinancing Operations (LTROs) as of 2011-2012. The LTROs were large liquidity injections that were implemented to support the real economic recovery after the European Sovereign Debt Crisis and provided cheap funding to Eurozone banks. For the empirical investigation of the impact of such liquidity interventions, we make use of comprehensive data on banks' use of the LTRO funds and Eurozone non-financial corporations' investment policies around the LTRO implementation. URI: http://hdl.handle.net/10398/9654 Files in this item: 1
Stine Louise Daetz.pdf (1.996Mb) -
Jensen, Christian Skov (Frederiksberg, 2018)[More information][Less information]
Abstract: The central formula in asset pricing relates the price of an Arrow-Debreu security to an investor's preferences and beliefs: Price of an Arrow-Debreu security = Preferences Beliefs. We observe the prices of Arrow-Debreu securities in the option markets. But we do not directly observe the extent to which these prices are driven by preferences or beliefs. Decomposing and investigating preferences and beliefs is essential for understanding asset prices, and it is therefore the focus of this thesis. In chapter one, my co-authors and I develop a model in which we can disentangle the contribution in asset prices which is driven by preferences and beliefs. In chapter two, my co-author and I estimate investor beliefs and study how these beliefs vary over time. In chapter three, I estimate investor preferences and study how they co-vary with investor beliefs. URI: http://hdl.handle.net/10398/9653 Files in this item: 1
Christian Skov Jensen.pdf (2.214Mb)
