Term structure of psychological interest rates: A behavioural test.

Many empirical and behavioral studies underline the idea of a non-flat term structure of subjective interest rates with a decreasing slope. Using an empirical test, this paper aims at identifying in individual behaviors whether agents see their psychological value of time decreasing or not. We show that the subjective interest rate follows a negatively sloped term structure. It can be parameterized using two variables, one specifying the instantaneous time preference, the other characterizing the slope of the term structure. A trade-off law called “balancing pressure law” is identified between these two parameters. We show that the term structure of psychological rates depends strongly on gender, but appears not to be linked with life expectancy. We also question the cross relationship between risk aversion and time preference. From a theoretical point of view, these two variables stand as two different and independent dimensions of choice. However, empirically, both time preference attitude and slope seem directly influenced by risk attitude.psychological time value; behavioural economics; time preference; risk aversion; hyperbolic discounting;

Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The driving force behind the model is the looking at the ex ante term premium. Nominal term premiums depend on the volatility processes of real consumption and inflation. When calibrated to US data on interest rates, consumption and inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients around 6 are evidenced. The hypothesis of non-constant subjective discount rates is envisaged but successfully validated.C-CAPM, term structure of interest rates, term premium, risk aversion, subjective discount factor

Perspectives nouvelles en Théorie des organisations : Jacques Rojot vs. Hayek ?

Dans son ouvrage magistral Théorie des Organisations, J. Rojot avance deux noms d'auteurs qui ouvrent chacun une piste d'avancée vers ce qu'il appelle « l'individualisme méthodologique complexe » : J.P. Dupuy et I. Giddens . Est-ce à dire que l'individualisme méthodologique complexe est la voie privilégié d'interrogation pour le chercheur en organisations et au-delà en Sciences de Gestion ? Il ne s'agit pas ici de vouloir analyser les écrits ou les apports de Dupuy et de Giddens, ni de critiquer l'ouverture importante que constitue la voie de l'individualisme méthodologique complexe, mais plutôt de la poursuivre en la complétant par les apports d'un troisième auteur bien connu en économie et moins en sciences de gestion : Friedrich Von Hayek.rationalité, information

Corporate acquisistion process: is there an optimal cash-equity payment mix?

This paper examines the combination of cash and share payments proposed in the corporate acquisition process. Particularly, it analyzes the conditions of an optimal mixed payment in the context of an asymmetry of information. Using a model, we highlight that setting the conditions of payment is an endogenous part of a takeover agreement between the acquirer and the target. Our contribution is to show how, in the acquisition process, the setting of the cash percentage is a key element for conveying private information on the gains of synergy and the gains that result from the transaction. In our model, we internalize asymmetries of information and possible exaggeration biases. Both will influence the joint setting of a mixed payment scheme.mergers and acquisitions, information asymmetry, means of payment, contractual approach, synergy gains

Term structure of psychological interest rates: A behavioral test

A lot of empirical and behavioral studies underline the idea of a non-flat term structure of subjective interest rates with a decreasing slope. Using an empirical test, this paper aims at identifying in individual behaviors whether agents see their psychological value of time decreasing or not. We show that the subjective interest rate follows a negatively sloped term structure. It can be parameterized using two variables, one specifying the instantaneous time preference, the other characterizing the slope of the term structure. A trade-off law called “balancing pressure law” is identified between these two parameters. We show that the term structure of psychological rates depends strongly on gender, but appears not to be linked with life expectancy. We also question the cross relationship between risk aversion and time preference. From a theoretical point of view, these two variables stand as two different and independent dimensions of choice. However, empirically, both time preference attitude and slope seem directly influenced by risk attitude.hyperbolic discounting, time preference, behavioral economics, psychological time value, risk aversion

Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The driving force behind the model is the looking at the ex ante term premium. Nominal term premiums depend on the volatility processes of real consumption and inflation. When calibrated to US data on interest rates, consumption and inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients around 6 are evidenced. The hypothesis of non-constant subjective discount rates is envisaged but successfully validated

Voluntary financial disclosure, the introduction of IFRS and long-term communication policy: An empirical test on French firms

The purpose of this study is to determine if the process of filtering out financial information voluntary disclosed by firms was modified by the introduction of the IFRS. Voluntary information disclosed by French firms during the 2003-2008 period is compiled. This original dataset includes several years both before and after the introduction of the IFRS in the European Union in 2005. We use regression analysis to identify the determinants of the communications policies of listed firms followed in this study. We show that publication score, for some firms, indicates how much useful qualitative information is brought to the market. Particularly, we show that highly communicative firms reduce the information asymmetry as measured by the dispersion of analysts' earning forecasts. The voluntary disclosure of information and earnings forecasts by analysts are endogenous and exhibit a complex two-way relationship. Voluntary communication policies did not change with the introduction of the IFRS

La valeur psychologique du temps : Une synthèse de la littérature

International audienceCet article procède à une synthèse de la littérature sur la question de la valeur psychologique du temps. Il discute des différents déterminants du taux d'actualisation et la possibilité d'avoir une fonction d'escompte de type hyperbolique. L'approche historique permet de retracer les origines du concept de valeur psychologique du temps. Ce concept est ensuite rediscuter dans le cadre de la théorie des perspectives, en considérant que l'utilité ressentie de l'agent vient modifier la structure de leur valeur psychologique du temps. L'analyse des résultats empiriques et des méthodologies d'identification permet de mettre en évidence que motifs individuels et psychologiques conditionnent le caractère intertemporel des choix

Ownership Structure and Debt Leverage: Empirical Test of a Trade-Off Hypothesis on French Firms

Debt may help to manage type II corporate agency conflicts because it is easier for controlling shareholders to modify the leverage ratio than to modify their share of capital. A sample of 112 firms listed on the French stock market over the period 1998-2009 is empirically tested. It supports an inverted U-shape relationship between shareholders' ownership and leverage. At low levels of ownership, controlling shareholders use more debt in order to inflate their stake in capital and to resist unfriendly takeovers attempts. When ownership reaches a certain point, controlling shareholders' objectives further converge with those of outside shareholders. Moreover, financial distress will prompt controlling shareholders to reduce the firm's leverage ratio. Empirically, it is shown that the inflection point where the sign of the relationship between ownership and debt changes is around 40%. Debts may help in curbing private appropriation and appears also as a governance variable.Corporate Governance, Private Benefits, Controlling Shareholders, Debt Leverage

The consequences of issuing convertible bonds: Dilution and/or financial restructuring?

Historically, most convertible bond (CB) issues have been converted to equity sooner or later. The announcement of a CB issue will bring about a future dilution of the firm's capital, and is often followed by a drop in share price. However, a CB issue by itself creates future value for the shareholders if it enables the firm to make profitable investments. It can also issue a positive signal regarding the restructuring of the firm's financial liabilities and its attempts to optimise its financial structure. These positive effects, if they occur, will develop gradually after the issue, and cannot be identified by a simple short-term event analysis of a CB issue announcement. In this paper, we test the significance of the dilution effect, coupled with a possible value creation effect, using data from the French stock market. We introduce a comparison between dilutive convertibles and non-dilutive exchangeable bonds. By integrating different corrections and by selecting a window of analysis over a longer period after the announcement of the issue, we show that the negative cumulative average abnormal returns generally observed in previous studies become non-significant. This absence of global incidence is indicative of large differences in individual behaviour by issuers of CBs, and leads us to take into account the strategic choices linked to the issue of a CB. Two goals, often described as 'investment financing' or 'financial restructuring', may exist when issuing, and may appear to explain the size of the abnormal returns.convertible bonds, debt leverage, corporate financing decision, stock market efficiency, event studies