Ruggiero, Francesco (2017) Essays on firms financing and sovereign debt pricing. [Tesi di dottorato]


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Item Type: Tesi di dottorato
Lingua: English
Title: Essays on firms financing and sovereign debt pricing
Date: October 2017
Number of Pages: 147
Institution: Università degli Studi di Napoli Federico II
Department: Scienze Economiche e Statistiche
Dottorato: Economia
Ciclo di dottorato: 29
Coordinatore del Corso di dottorato:
Graziano, Maria
Date: October 2017
Number of Pages: 147
Uncontrolled Keywords: Corporate Finance; Asset Pricing; Banking; Credit Cycle; Relationship Lending; Distress Puzzle; Sovereign CDS; Monetary Policy
Settori scientifico-disciplinari del MIUR: Area 13 - Scienze economiche e statistiche > SECS-P/02 - Politica economica
Area 13 - Scienze economiche e statistiche > SECS-P/05 - Econometria
Area 13 - Scienze economiche e statistiche > SECS-P/09 - Finanza aziendale
Date Deposited: 13 Oct 2017 13:32
Last Modified: 08 Mar 2018 10:45
DOI: 10.6093/UNINA/FEDOA/11882


This thesis aims to provide new insights on the functioning of financial markets. In particular, I focus on European markets with the final objective of uncovering important evidences for the implementation of policies aimed to improve the resiliency of the financial system to economic crises. In the thesis, I tackle two important issues present in the financial literature. In chapters II and III I study the effects of the credit cycle on firm's choice of debt structure whereas in Chapter IV I investigate the relative pricing of sovereign credit risk by studying the relationship between sovereign CDS spreads and sovereign yields, for European countries, during and after the sovereign debt crisis. Chapter II is dedicated to the study of firm's choice of funding and its relationship with the evolution of the credit cycle. Using a sample of U.S. and European firms, I document the existence of a credit substitution channel between loans and bonds that reduces the adverse effect of a shrink in credit supply. Moreover, I also report estimates on the degree of substitution. In particular, I investigate on the ability of firms to fully substitute between the two forms of debt, and I find that firms in Eurozone countries can only partially substitute bank debt with market debt. In Chapter III I extend the findings of the previous chapter providing evidences on the the existence of an asymmetric effect when including in the analysis also lenders' characteristics. Main lenders' financial soundness, and the practice of relationship lending, contribute to reduce the necessity for firms of modifying their debt structure when the credit cycle is at a through. In Chapter IV I document that a distress puzzle at the sovereign level emerges during the crisis period for the Eurozone countries, and I offer empirical evidence on the theoretical relationship between CDS spreads and bond yields, before and after the ECB intervention. I estimate a contingent claim model for sovereign credit risk, and shed light on the relationship between risk and return for sovereign securities. Further, I test the profitability of arbitrage strategies that exploit deviations from the equilibrium condition. Finally, I observe that after the launch of the Outright Monetary Transaction (OMT) Programme, by the European Central Bank, the relative mispricing of the sovereign credit risk has strongly reduced


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