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Three Essays in Financial Economics

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Director
Defense Thèse de doctorat : Univ. Genève, 2013 - SES 808 - 2013/07/01
Abstract 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.
Keywords FinanceCorporate FinanceCapital StructureEmpirical Asset Pricing
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URN: urn:nbn:ch:unige-290593
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Structures
Research group Geneva Finance Research Institute (GFRI)
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WESTERMANN, Ramona. Three Essays in Financial Economics. Université de Genève. Thèse, 2013. https://archive-ouverte.unige.ch/unige:29059

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Deposited on : 2013-08-07

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