Browsing by Issue Date, starting with "2020-10-16"
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- A modified version of the EGZ (2019) model for equity valuation : potentials and drawbacksPublication . Fontanesi, Bianca Maria; Silva, Nuno Ricardo Raimundo Rodrigues Marques daThis study investigates the performance of a modified version of the structural model for equity valuation of Eisdorfer, Goyal and Zhdanov (2019). The objective is understanding how the model performs in comparison with observed market values, whether it gives trading signals similar to those of the analysts and if some inputs might be misjudged or ignored by the model. This is achieved through the implementation of the adapted model on a cross-section of U.S. stocks from 2012 to 2019, retrieved from CRSP/Compustat Merged. The results obtained suggest that the model might be slightly overvaluing stocks on average, with a median and average Pricing Error on the entire time series of 3.15% and 10.84%. Moreover, the model’s median Root-Mean-Square Error and Absolute Pricing Error are respectively 41.34% and 36.96%, suggesting the presence of some outliers. In comparison with the analysts’ recommendations, this model conveys more mild signals, without a clear positive bias. This contrasts with analysts’ recommendations, which seem often too optimistic. The analysis of the main mispricing drivers indicates that some inputs, as the gross margin ratio, the dividend yield and leverage might not be properly taken into account, leading to overvaluation, while cash holdings, which is not considered in the model, may lead to undervaluation. Eventually two robustness checks are performed on the volatility input and on the model structure, confirming the model’s robustness.
- Can EBIT-based structural models explain U.S. companies’ capital structure?Publication . Coluccia, Giada; Silva, Nuno Ricardo Raimundo Rodrigues Marques daThis dissertation explores the EBIT-based structural model for capital structure developed by Goldstein, Ju and Leland (2001), along with a modified version that accounts for dividend taxation on debt issuance proceedings. Both models are applied to a cross-section of U.S. stocks from 2007 to 2019. The original model is implemented in its static version – that does not account for the option of issuing further debt in the future – and suggests optimal leverage ratios ranging from 72% to 80%. These results are broadly in line with what the literature has found for similar models. The values are nevertheless quite extreme, and in general very different from what is observed in reality. The introduction of dividend taxes results however in a marked reduction, aligning the predicted optimal coupon and leverage levels with the actual ones (on average). The framework’s ability to explain observed interest expenses and leverage ratios is then assessed by regressing the observed metrics against those suggested as optimal by the models. The resulting R-squared are relatively low, the highest value being 10.75%. The main identified reasons for such performance are the simplifying assumptions on which the model is based, together with the fact that observed capital structures do not necessarily correspond to the optimal ones, as firms might deviate from their gearing target.
- Service robots : a study of firm implementation and consumer acceptancePublication . Krinner, Caroline; Rajsingh, PeterArtificial intelligence (AI), automation, and machine learning have led to remarkable progress in the field of service robotics and represent an innovative opportunity for industries around the world. Autonomy and anthropomorphism are becoming significant factors in the design of service robots, enabling Human-Robot Interaction (HRI) in socially dynamic environments. Companies are increasingly adopting service robots and integrating them into their customer services. However, many customers remain uncertain about the adoption of service robots. This study investigates the opportunities and challenges associated with the integration of service robots into the customer experience from two perspectives: the firm and the customer. In the light of the current COVID-19 pandemic, this thesis also examines the potential impact of this crisis. We use expert interviews to develop an understanding of the development and implementation of service robots from a firm’s perspective and analyze acceptance and customer innovation adoption applying the Technology-Acceptance Model (TAM) from Davis et al. (1989) through a questionnaire. The results of the interviews revealed that successful adoption and implementation of service robots is highly dependent on the digital readiness of the firm and the level of consumer acceptance. The results of the survey indicated that consumer acceptance, in turn, is influenced by the anxiety level, attitude, and perceived ease of use and usefulness toward service robots. This study also gained relevant insights into the impact of the COVID-19 pandemic.
- Collateralized loan obligations (CLOs) : an analysis of CLO risk today compared to CDOs during the global financial crisisPublication . Fuchs, Leonhard Constantin Janis; Rajsingh, PeterSince the Global Financial Crisis (GFC), structured credit has attracted public notice. While the issuance of subprime mortgage CDOs has declined after the GFC, other forms of securitization have grown substantially – in particular, collateralized loan obligations (CLOs). Those instruments invest in leveraged loans, meaning bank loans to highly indebted companies. In 2018 and 2019, prominent public figures, institutions and the financial press voiced concerns over leveraged loans and CLOs and the way they bear upon financial stability. This dissertation compares the current CLO market with that of subprime CDOs during the GFC, examining the structure and function of both instruments. An analytical framework of factors that helped cause and/or accelerate the GFC is established and then applied to CLOs. The results of this study show that CLOs today are less complex than CDOs were in the run-up to the GFC and tend not to be leveraged by using short-term repo financing. However, similar to CDOs, the credit quality of the underlying assets in CLOs is deteriorating while credit rating agencies persist in misstating the underlying default probabilities. Overall, “irrational exuberance” in the CLO market seems less accentuated than in the CDO markets before the GFC. However, investors and policymakers should anticipate substantial losses in these markets caused by the current global recession.