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Stochastic, option-based models and optimal decisions in corporate finance

  • This cumulative dissertation extends the literature strand on dynamic trade-off models in corporate finance. While Kane et al. (1984) and Fischer et al. (1989) have been probably first in developing dynamic trade-off models incorporating the effects of debt financing, it was Leland (1994) that really started the contingent claims revolution in corporate finance (Strebulaev and Whited, 2011, p. 25). Over the last 25 years, a whole strand of literature extended Leland's basic model to shed light on various financial decisions. To just provide some examples: Goldstein, Ju, and Leland (2001) based their model on a stochastic EBIT-process and allowed for an option to increase debt in order to understand the dynamic adjustment of capital structures. Strebulaev (2007) included external shocks into his capital structure models and gave indications on how capital structure tests shall be conducted. The contributions achieved in the essays of this dissertation focus on (i) more realistic conditions of default, (ii) an improved understanding of observed debt maturities and (iii) capital structures, (iv) the risk of applying the Equity IRR in financial decision making, as well as (v) the optimal choice between project financing and corporate financing.

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Document Type:Doctoral Thesis
Author:Maximilian SchreiterORCiD
Referee:Bernhard SchwetzlerORCiD, Alexander LahmannORCiD
Chairs and Professorships:Chair of Financial Management
Full text/ URN:urn:nbn:de:bsz:14-qucosa2-744924
Place of publication:Leipzig
Year of Completion:2019
Page Number:VII, 134
Date of final exam:2019/11/22
Tag:Corporate valuation; Default risk; Dynamic models; Optimal capital structure; Real options
Schreiter, Maximilian; Lahmann, Alexander; Schwetzler, Bernhard: Der Einfluss von Insolvenz, Kapitalstruktur und Fremdkapitalfälligkeit auf den Unternehmenswert. Schreiter, Maximilian; Kutzker, Tim: The optimal capital structure under risks of illiquidity and over-indebtedness in a double barrier option framework. Schreiter, Maximilian; Lahmann, Alexander; Schwetzler, Bernhard: Biased capital structure choices based on equity IRR. Schreiter, Maximilian: Project financing vs. corporate integration: Decision-making under operational and financial risks.
Licence (German):License LogoUrheberrechtlich geschützt