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Dynamic Corporate Finance - 2.5 ECTS Cancelled
Date and time
Tuesday 11 April 2023 at 09:00 to Friday 14 April 2023 at 16:00
Registration Deadline
Tuesday 28 March 2023 at 23:00
Location
Solbjerg Plads - room SP D4 Augustinus Fonden, (fourth floor - above canteen),
Solbjerg Plads 3,
2000 Frederiksberg
Solbjerg Plads - room SP D4 Augustinus Fonden, (fourth floor - above canteen)
Solbjerg Plads 3
2000 Frederiksberg
Dynamic Corporate Finance - 2.5 ECTS Cancelled
Course coordinator: Assistant Professor Thomas Geelen, Department of Finance (FI)
Prerequisites
Knowledge of mathematics and corporate finance at a M.Sc. level is expected. Otherwise, the course is designed as a first PhD course in theoretical corporate finance.
Knowledge of mathematics and corporate finance at a M.Sc. level is expected. Otherwise, the course is designed as a first PhD course in theoretical corporate finance.
The course is open for other participants with an adequate background
Computer Tools
Mathematica
Mathematica
Datasets
None
Aim
This course will provide students with a solid foundation to pursue their own theoretical corporate finance research or use the techniques developed in this course to study other questions in finance and economics.
This course will provide students with a solid foundation to pursue their own theoretical corporate finance research or use the techniques developed in this course to study other questions in finance and economics.
Course content
Recent advances in dynamic corporate finance. The aim of this course is two fold. First, it further develops understanding of stochastic calculus and dynamic optimization. Second, it examines how these tools are applied in state of the art theoretical corporate finance research. The course will cover several corporate finance topics: leverage and debt maturity choice; investment in innovation; due diligence, cash holdings, and debt runs
Recent advances in dynamic corporate finance. The aim of this course is two fold. First, it further develops understanding of stochastic calculus and dynamic optimization. Second, it examines how these tools are applied in state of the art theoretical corporate finance research. The course will cover several corporate finance topics: leverage and debt maturity choice; investment in innovation; due diligence, cash holdings, and debt runs
Teaching style
Lectures with exercises.
Lectures with exercises.
Lecture plan
This course is designed to provide a framework for understanding several determinants of firms’ corporate finance policies. We start by studying mathematical methods (stochastic calculus and dynamic optimization) and then we will apply them to: leverage and debt maturity choice; investment in innovation; due diligence, cash holdings, and debt runs.
All lectures and exercise sessions are thought by Thomas Geelen.
All lectures and exercise sessions are thought by Thomas Geelen.
Lecture 1 (4 hours): An introduction to stochastic calculus (stochastic processes, Ito’s Lemma, Feynman-Kac formula) and dynamic optimization (Bellman equations and optimal stopping problems). References: Harrison (2013) and Moreno-Bromberg and Rochet (2018).
• Exercise Session 1 (2 hours): Solving a problem set related to the material covered in lecture 1.
Lecture 2 (4 hours): Using the techniques developed in the first lecture to study the canonical dynamic capital structure model (Leland, 1994) and extensions related to
– Competition/industry equilibrium (Miao, 2005).
– Refinancing (Fischer et al., 1989; Goldstein et al., 2001).
– Macroeconomic fluctuations (Hackbarth et al., 2006).
– Debt maturity (Leland, 1998).
– Commitment (Dangl and Zechner, 2021; DeMarzo and He, 2021
– Refinancing (Fischer et al., 1989; Goldstein et al., 2001).
– Macroeconomic fluctuations (Hackbarth et al., 2006).
– Debt maturity (Leland, 1998).
– Commitment (Dangl and Zechner, 2021; DeMarzo and He, 2021
• Exercise Session 2 (2 hours): Preparing their group presentations.
Lecture 3 (5 hours): This lecture covers other corporate finance decisions. Students will present in groups the below mentioned papers:
– Cash holdings (D´ecamps et al., 2017).
– Innovation and growth (Geelen et al., 2021).
– Due diligence (Daley et al., 2021).
– Debt runs (He and Xiong, 2012).
– Innovation and growth (Geelen et al., 2021).
– Due diligence (Daley et al., 2021).
– Debt runs (He and Xiong, 2012).
Learning objectives
• Understand the methods used in stochastic calculus and dynamic optimization.
• Apply these methods to corporate finance decisions.
• Understand the state of the art in the dynamic corporate finance literature
• Understand the methods used in stochastic calculus and dynamic optimization.
• Apply these methods to corporate finance decisions.
• Understand the state of the art in the dynamic corporate finance literature
Exam
Course evaluation will be based on a final presentation.
Course evaluation will be based on a final presentation.
Other
The course is offered through The Nordic Finance Network, and the Department of Finance at CBS will cover the course fee for PhD students from other NFN associated universities.
The course is offered through The Nordic Finance Network, and the Department of Finance at CBS will cover the course fee for PhD students from other NFN associated universities.
Course Literature
• Daley, B., Geelen, T., and Green, B. (2021). Due diligence.
• Dangl, T. and Zechner, J. (2021). Debt maturity and the dynamics of leverage. The Review of Financial Studies, 34(12):5796–5840.
• Decamps, J.-P., Gryglewicz, S., Morellec, E., and Villeneuve, S. (2017). Corporate policies with permanent and transitory shocks. The Review of Financial Studies, 30:162–210.
• DeMarzo, P. M. and He, Z. (2021). Leverage dynamics without commitment. The Journal of Finance, 76(3):1195–1250.
• Fischer, E. O., Heinkel, R., and Zechner, J. (1989). Dynamic capital structure choice: Theory and tests. The Journal of Finance, 44(1):19–40.
• Geelen, T., Hajda, J., and Morellec, E. (2021). Can Corporate Debt Foster Innovation and Growth? The Review of Financial Studies.
• Goldstein, R., Ju, N., and Leland, H. (2001). An ebit-based model of dynamic capital structure. The Journal of Business, 74(4):483–512.
• Hackbarth, D., Miao, J., and Morellec, E. (2006). Capital structure, credit risk, and macroeconomic conditions. Journal of Financial Economics, 82(3):519–550.
• Harrison, M. J. (2013). Brownnian model of performance and control. Cambridge University press.
• He, Z. and Xiong, W. (2012). Dynamic debt runs. The Review of Financial Studies, 25(6):1799–1843.
• Leland, H. E. (1994). Corporate debt value, bond covenants, and optimal capital structure. The Journal of Finance, 49(4):1213–1252.
• Leland, H. E. (1998). Agency costs, risk management, and capital structure. The Journal of Finance, 53(4):1213–1243.
• Daley, B., Geelen, T., and Green, B. (2021). Due diligence.
• Dangl, T. and Zechner, J. (2021). Debt maturity and the dynamics of leverage. The Review of Financial Studies, 34(12):5796–5840.
• Decamps, J.-P., Gryglewicz, S., Morellec, E., and Villeneuve, S. (2017). Corporate policies with permanent and transitory shocks. The Review of Financial Studies, 30:162–210.
• DeMarzo, P. M. and He, Z. (2021). Leverage dynamics without commitment. The Journal of Finance, 76(3):1195–1250.
• Fischer, E. O., Heinkel, R., and Zechner, J. (1989). Dynamic capital structure choice: Theory and tests. The Journal of Finance, 44(1):19–40.
• Geelen, T., Hajda, J., and Morellec, E. (2021). Can Corporate Debt Foster Innovation and Growth? The Review of Financial Studies.
• Goldstein, R., Ju, N., and Leland, H. (2001). An ebit-based model of dynamic capital structure. The Journal of Business, 74(4):483–512.
• Hackbarth, D., Miao, J., and Morellec, E. (2006). Capital structure, credit risk, and macroeconomic conditions. Journal of Financial Economics, 82(3):519–550.
• Harrison, M. J. (2013). Brownnian model of performance and control. Cambridge University press.
• He, Z. and Xiong, W. (2012). Dynamic debt runs. The Review of Financial Studies, 25(6):1799–1843.
• Leland, H. E. (1994). Corporate debt value, bond covenants, and optimal capital structure. The Journal of Finance, 49(4):1213–1252.
• Leland, H. E. (1998). Agency costs, risk management, and capital structure. The Journal of Finance, 53(4):1213–1243.
• Miao, J. (2005). Optimal capital structure and industry dynamics. The Journal of Finance, 60(6):2621–2659.
• Moreno-Bromberg, S. and Rochet, J.-C. (2018). Continuous-time models in corporate finance, banking, and insurance. Princeton University Press.
• Moreno-Bromberg, S. and Rochet, J.-C. (2018). Continuous-time models in corporate finance, banking, and insurance. Princeton University Press.
Select payment methods:
CBS students: Choose CBS PhD students and the course fee will be deducted from your PhD budget.
Students from other Danish universities: Choose Danish Electronic Invoice (EAN). Fill in your EAN number, attention and possible purchase (project) order number. Do you not pay by EAN number please choose Invoice to pay via electronic bank payment (+71).
Students from foreign universities: Choose Payment Card. Are you not able to pay by credit card please choose Invoice International to pay via bank transfer.
Please note that your registration is binding after the registration deadline.
Event Location
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Organizer Contact Information
CBS PhD School
Bente Ramovic
Phone: +45 3815 3138
bsr.research@cbs.dk
Registration
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Organizer Contact Information
CBS PhD School
Bente Ramovic
Phone: +45 3815 3138
bsr.research@cbs.dk