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Publikováno v:
In Journal of Business Research December 2016 69(12):6012-6020
This paper integrates ambiguity into a contingent claim model for convertible debt. We study how convertible debt valuation is affected by the ambiguity biases of equity holders and debt holders and provide sensitivity analysis of the bond value to c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ba646ce923628b0aca4c57f11933de4e
http://hdl.handle.net/11585/519602
http://hdl.handle.net/11585/519602
Autor:
Ghatak, Subrata, Spanjers, Willem
This paper discusses the potential benefits of monetary policy rules for transition economies [TEs]. It is argued that the nominal interest rate may fail to be the appropriate instrument in such rules. One reason is the amount of non-calculable polit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::411410c33bd7154a0f260934c3b3af49
http://eprints.kingston.ac.uk/6579/1/Ghatak-S-6579.pdf
http://eprints.kingston.ac.uk/6579/1/Ghatak-S-6579.pdf
Autor:
Liu, Wei, Spanjers, Willem
This paper considers problems arising from contract enforcement and the atten- dant possibility of voluntary default. Loan contracts in the informal sector are rarely explicitly recorded and enforced by formal legal institutions. Repayments may be in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::dcebeb59482e14af0795b8fc4495ed50
http://eprints.kingston.ac.uk/876/1/Spanjers-W-876.pdf
http://eprints.kingston.ac.uk/876/1/Spanjers-W-876.pdf
Autor:
Spanjers, Willem
Loss of confidence is interpreted as an increase in the ambiguity experienced by investors who maximize Choquet Expected Utility. Currency crises are modelled to resemble bankruns. Using countries having fragile financial systems, a model of twin cri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::892646ef9cdbf61f8bfc9ca77bb34a3e
http://eprints.kingston.ac.uk/1943/1/Spanjers-w-1943.pdf
http://eprints.kingston.ac.uk/1943/1/Spanjers-w-1943.pdf
Autor:
Eichberger, Jürgen, Spanjers, Willem
We study the impact of ambiguity on financial intermediation in an economy where agents have random liquidity needs. The ambiguity the agents face is modeled by the degree of confidence in their additive beliefs. We compare an optimal liquidity alloc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::2e023c76c8404e7fbd9a8e44ce125dbd
http://staffnet.kingston.ac.uk/~ku33681/RePEc/kin/papers/2003_011.pdf
http://staffnet.kingston.ac.uk/~ku33681/RePEc/kin/papers/2003_011.pdf
Autor:
Spanjers, Willem
Publikováno v:
Does not apply
In a setting similar to Allen and Gale (1998), the optimal liquidity provision is analyzed for illiquid assets subjected to incalculable risk (i.e. ambiguity).\ud We consider the ex-ante second best liquidity allocation, an ad interim asset market, a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::782a74fbcd4fc779f808cf5e164999c0
https://eprints.kingston.ac.uk/id/eprint/21878/8/RCEA_wp10_11.pdf
https://eprints.kingston.ac.uk/id/eprint/21878/8/RCEA_wp10_11.pdf
This paper addresses the following unresolved questions from the perspective of ambiguity theory: Why do some firms issue equity instead of debt? Why did most firms retain their cash holdings instead of distributing them as dividends in recent times?
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69c87b13d0775c1fae39525a7c7caec6
http://hdl.handle.net/11585/554031
http://hdl.handle.net/11585/554031