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Measuring idiosyncratic risks in leveraged buyout transactions

Author

Listed:
  • Gottschalg, Oliver

    ()

  • Groh, Alexander Peter

    ()

  • Baule, Rainer

    ()

Abstract

The authors use a contingent claims analysis model to calculate the idiosyncratic risks in Leveraged Buyout transactions.

Suggested Citation

  • Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer, 2008. "Measuring idiosyncratic risks in leveraged buyout transactions," Les Cahiers de Recherche 894, HEC Paris.
  • Handle: RePEc:ebg:heccah:0894
    as

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    File URL: http://www.hec.fr/var/fre/storage/original/application/83c04a3a5ff154a61a8ad341414dbfbd.pdf
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    References listed on IDEAS

    as
    1. Richard Harris & Donald S. Siegel & Mike Wright, 2005. "Assessing the Impact of Management Buyouts on Economic Efficiency: Plant-Level Evidence from the United Kingdom," The Review of Economics and Statistics, MIT Press, pages 148-153.
    2. Lichtenberg, Frank R. & Siegel, Donald, 1990. "The effects of leveraged buyouts on productivity and related aspects of firm behavior," Journal of Financial Economics, Elsevier, vol. 27(1), pages 165-194, September.
    3. Baker, George P, 1992. " Beatrice: A Study in the Creation and Destruction of Value," Journal of Finance, American Finance Association, vol. 47(3), pages 1081-1119, July.
    4. Richard Harris & Donald S. Siegel & Mike Wright, 2003. "Assessing the Impact of Management Buyouts on Economic Efficiency: Plant-Level Evidence from the United Kingdom," Rensselaer Working Papers in Economics 0304, Rensselaer Polytechnic Institute, Department of Economics.
    5. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2004. "Social Interaction and Stock-Market Participation," Journal of Finance, American Finance Association, vol. 59(1), pages 137-163, February.
    6. Jensen, Michael C, 1986. "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, American Economic Association, pages 323-329.
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    Cited by:

    1. Braun, Reiner & Engel, Nico & Hieber, Peter & Zagst, Rudi, 2011. "The risk appetite of private equity sponsors," Journal of Empirical Finance, Elsevier, pages 815-832.
    2. Groh, Alexander Peter & Gottschalg, Oliver, 2011. "The effect of leverage on the cost of capital of US buyouts," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2099-2110, August.

    More about this item

    Keywords

    Idiosyncratic Risk; LBO; Private Equity; Benchmarking; CCA;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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