HEC Liège – Management School of the University of Liège. Rue Louvrex 14, Liège
The course addresses some of the most fundamental corporate finance issues through the lens of contingent claims analysis (CCA). Pioneered by Black and Scholes (1973), the CCA has been successfully applied to analyze the dynamics of corporate finance problems. The course focuses on the continuous-time approach. It revisits the topics of corporate investment, capital structure and corporate control, by challenging both empirical evidence and results established in two-period models. The related body of literature has substantially grown over the last four decades and has been the subject of surveys such as Strebulaev and Whited (2011) or Sundaresan (2013), and of recent reference books such as Moreno-Bromberg and Rochet (2018) and Galai, Wiener and Crouhy (2019).
About the Instructor
Pascal François is professor of Finance at HEC Montreal, director of the Canadian Derivatives Institute, and co-editor of Finance, the academic journal of the French Finance Association. His research focuses on derivatives, credit risk, and contingent claims analysis applied to corporate finance. Pascal’s scientific contributions have been published in some of the top journals of the field, including the Journal of Business, the Journal of Financial and Quantitative Analysis, and the Journal of Banking and Finance. Pascal has also authored three textbooks in Finance. He holds a joint Ph.D. from Sorbonne University and ESSEC Business School.
Topic #1: Corporate investment (4 hours)
. Real options
. Option games
Material: Dixit and Pindyck (1988), chapters 5, 6 & 7, Smit and Trigeorgis (SMJ, 2017), Shackleton, Tsekrekos and Wojakowksi (JBF, 2014).
Topic #2: Capital structure (3 hours)
. Static trade-off
. Dynamic models
. Agency models
Material: Leland (JF, 1994), Leland (JF, 1998), Goldstein, Ju and Leland (JB, 2001), Morellec (JFE, 2004), Mauer and Sarkar (JBF, 2005), Strebulaev (JF, 2007), Lotfaliei (JBF, 2018).
Topic #3: Corporate control (3 hours)
. Takeovers and disinvestment
. Takeovers and financing policy
Material: Lambrecht (JFE, 2004), Lambrecht and Myers (JF 2007), Morellec and Zdhanov (JFE 2008), Spiegel and Tookes (JF, 2013), Hackbarth, Mathews and Robinson (MS, 2014).
Academic Year 2019-2020
The new dates will be September 10 & 11, 2020
The times and classroom number will be announced as soon as possible.