Doctoral thesis

Three Essays in Financial Economics

ContributorsWestermann, Ramona
Defense date2013-07-01

The first manuscript investigates the effects of manager-shareholder agency conflicts in the presence of macroeconomic conditions. Fitting a structural model, parameter estimates imply higher agency costs for growth firms than for value firms (3.45% vs. 1.77%). Dynamic aggregate agency costs are strongly procyclical (on average, 2.31% in boom, 0.95% in recession). The second manuscript analyzes the implications of firms' heterogeneity in asset composition, taking into account macroeconomic risk. Using a structural model applied to a true cross-section of firms, the aggregate credit spread puzzle as well as a large part of the value premium and its countercyclicality are explained. The third manuscript studies the effects of overreaction corrections in stock prices. A cross-sectional analysis documents only weak predictability of the estimated overreaction correction parameter at the firm-level. At the aggregate level, the corresponding factor is a priced risk factor with a significant abnormal return of more than 6% per year.

  • Finance
  • Corporate Finance
  • Capital Structure
  • Empirical Asset Pricing
Citation (ISO format)
WESTERMANN, Ramona. Three Essays in Financial Economics. 2013. doi: 10.13097/archive-ouverte/unige:29059
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