Firm value and risk management in credit agreements
Author(s)
Editor(s)
Date issued
2014
Subjects
Firm value interest rate risk management derivatives hedging agency conflicts systematic risk public debt private debt loan secondary market
Abstract
In this dissertation, I analyze the proxies used in literature as the determinants of firm value to identify the core variables in modeling firm value. Using these variables, I evaluate the impact of interest rate derivatives on firm value. More specifically, I find that interest rate derivatives imposed in credit agreements has a positive impact on firm value in contrast to those used voluntarily for which the motive behind the use of derivatives is not clear for equity holders. The impact of systematic risk in placement structure of debt is also studied. I show that the impact of systematic risk on cost of debt is higher for public debts compared to those for private credit agreements. However, the emergence of loan secondary market diminishes this difference.
Notes
Thèse de doctorat : Université de Neuchâtel, 2014 ; 2441
Publication type
doctoral thesis
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