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Doctoral Thesis
DOI
10.11606/T.12.2011.tde-27012012-202215
Document
Author
Full name
Alexandre Messa Peixoto da Silva
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2011
Supervisor
Committee
Yoshino, Joe Akira (President)
Aldrighi, Dante Mendes
Belitsky, Vladimir
Negri, João Alberto De
Silva, Marcos Eugenio da
Title in Portuguese
Contratos financeiros, desenho de títulos e estrutura de capital
Keywords in Portuguese
Contratos
Finanças das empresas
Governança corporativa
Abstract in Portuguese
Este trabalho considera uma relação de risco moral em que as ações correntes do agente exercem um efeito persistente sobre os lucros futuros da firma, e investiga as implicações desta persistência sobre o desenho de seus títulos financeiros e sua política de investimentos. A partir de um modelo agente-principal em tempo contínuo, o contrato ótimo é implementado por meio de uma estrutura de capital sob a qual o agente controla tanto a política de investimento, quanto a de dividendos. O processo de investimento resultante segue uma média dependente do marginal, mas apresenta desvios desta em função dos lucros inesperados. Com isso, os investimentos da firma se mostram sensíveis a seus fluxos de caixa, de tal forma a fazer com que esta sensibilidade revele ao principal a informação que o agente detém de forma assimétrica. Por sua vez, o cupom pago pelos títulos de dívida emitidos pela firma não depende, contemporaneamente, desta informação assimétrica, mas apenas de forma defasada, quando esta então já fora devidamente revelada aos investidores por meio das variações de tamanho da firma.
Title in English
Employer size wage effect: an analysis with panel data from establishments and their workers
Keywords in English
Econometrics
Employer
Wages
Workers
Abstract in English
This thesis considers a moral hazard relationship in which the agent current actions have a persistent effect on the future firm's profits, and investigates the implications of this persistence on the design of its financial securities and investment policy. From a principal-agent model in continuous time, the optimal contract is implemented through a capital structure under which the agent controls both the investment and dividends policy. The resulting investment process follows a mean dependent on the firm marginal , but shows deviations from that mean in function of the firm's unexpected profits. Thus, the firm's investments are sensitive to its cash flows, so to make this sensitivity reveals to the principal the information that the agent holds asymmetrically. In turn, the coupon paid by the firm debt does not depend, contemporaneously, on this asymmetric information but only so when it had been properly disclosed to investors by means of changes in firm size.
 
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Publishing Date
2012-04-18
 
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