Concept

Capital structure

Related publications (75)

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On the debt capacity of growth options

Erwan Morellec

We relate the value of growth options in the firm's investment opportunity set to the level of debt in the firm's capital structure. Underinestment costs of debt increase and free cash flow benefits fall with additional growth options. Thus, if debt capaci ...

2006

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

Irreversible investment with regime shifts

Erwan Morellec, Xin Guo

Under the real options approach to investment under uncertainty, agents formulate optimal policies under the assumption that firms’ growth prospects do not vary over time. This paper proposes and solves a model of investment decisions in which the growth r ...

2005

Capital structure and asset prices: Some effects of bankruptcy procedures

Erwan Morellec

We examine the impact of the U.S. bankruptcy procedure on the valuation of corporate securities and capital structure decisions. We provide closed-form solutions for corporate debt and equity values when defaulting firms can either liquidate their assets o ...

2004

Capital Structure, Investment, and Private Benefits of Control

Erwan Morellec

The recent law and finance literature following Shleifer and Vishny (1997) and La Porta, Lopez-de Silanes, and Shleifer (1998) argues that the expropriation of minority shareholders by controlling shareholders is at the core of agency conflicts in most cou ...

2004

Can managerial discretion explain observed leverage ratios

Erwan Morellec

This article analyzes the impact of managerial discretion and corporate control mechanisms on leverage and firm value within a contingent claims model where the manager derives perquisites from investment. Optimal capital structure reflects both the tax ad ...

Oxford University Press2004

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Damir Filipovic

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein{Uhlenbeck (OU) s ...

Wiley-Blackwell2004

Molecular dynamics simulations of structural changes during procaspase 3 activation

Ursula Röthlisberger

Mol. dynamics simulations (MDS) of the structural rearrangements on the pathway leading to procaspase 3 (I) activation are presented. A retrostructural approach was used to build I from mature caspase 3 (II). The peptide bond that was cleaved during enzyme ...

2004

Accurate Face Models from Uncalibrated and Ill-Lit Video Sequences

Pascal Fua, Slobodan Ilic, Miodrag Dimitrijevic

In this paper, we propose a face reconstruction technique that produces models that not only look good when texture mapped, but are also metrically accurate. Our method is designed to work with short uncalibrated video or movie sequences, even when the lig ...

2004

Finanzielle Entwicklung junger Wachstumsunternehmen

Marc Gruber

One of the biggest difficulties for founders of new ventures is to raise capital for their entrepreneurial endeavors. Based on a discussion of several models of firm development, this paper analyses the financing requirements of young growth companies and ...

2003