Franklin

An investigation of expected financial distress costs / Yuval Dan Bar-Or.

Author/Creator:
Bar-Or, Yuval Dan.
Publication:
2000.
Format/Description:
Microformat
ix, 85 p. : ill. ; 29 cm.
Status/Location:
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Local subjects:
Penn dissertations -- Finance. (search)
Finance -- Penn dissertations. (search)
Penn dissertations -- Managerial science and applied economics. (search)
Managerial science and applied economics -- Penn dissertations. (search)
Summary:
This paper finds evidence supporting the existence of significant expected financial distress costs. Expected financial distress costs are estimated for a large sample of going-concern firms using a discounted cash flow valuation technique, with an emphasis on characterizing their sensitivity to leverage. I find that under CAPM the sum of direct and indirect expected financial distress costs for a typical mid-cap firm amounts to approximately 8% of operating value. Under the Fama-French three-factor model framework, it is approximately 5%. Very large firms exhibit minimal expected financial distress costs. Analysis may also have some implications for an industry-specific upper bound on optimal capital structure.
Notes:
Supervisor: Jeffrey Jaffe.
Thesis (Ph.D. in Finance) -- University of Pennsylvania, 2000.
Includes bibliographical references.
Local notes:
University Microfilms order no.: 99-65440.
Contributor:
Jaffe, Jeffrey, advisor.
University of Pennsylvania.
ISBN:
9780599700550
OCLC:
244970711