2024-03-29T12:13:48Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:157
2019-09-26T08:18:07Z
7374617475733D756E707562
7375626A656374733D47:4732:473238
7375626A656374733D47:4732:473231
7375626A656374733D46:4633:463337
7375626A656374733D46:4633:463334
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/157/
How Law Affects Lending
Haselmann, Rainer
Pistor, Katharina
Vig, Vikrant
G28 - Government Policy and Regulation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
F37 - International Finance Forecasting and Simulation: Models and Applications
F34 - International Lending and Debt Problems
G33 - Bankruptcy ; Liquidation
A voluminous literature seeks to explore the relation between law and finance, but offers little insights into dynamic relation between legal change and behavioral outcomes or about the distributive effects of law on different market participants. The current paper disentangles the law-finance relation by using disaggregate data on banks’ lending patterns in 12 transition countries over a 8 year period. This allows us to control for country level heterogeneity and differentiate between different types of lenders. Employing a differences-in-differences methodology in an exclusive ”laboratory” setting as well as unique hand collected datasets on legal change as well as changes in
bank ownership, we find that lending volume responds positively to legal change. However,
not all legal change is equally effective. The introduction of a legal regime that
enhances each lender’s individual prospects of enforcing her claims (collateral law) results in greater increases in lending volume than changes in bankruptcy law, the essence of which is to provide an orderly liquidation or reorganization process in the presence of multiple creditors. Finally, we find that banks that newly enter the market respond more strongly to legal change than do incumbents. In particular, foreign-owned banks extend their lending volume substantially more than domestic banks.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/157/1/MPRA_paper_157.pdf
Haselmann, Rainer and Pistor, Katharina and Vig, Vikrant (2006): How Law Affects Lending.
en
oai:mpra.ub.uni-muenchen.de:453
2019-09-28T12:43:19Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473332
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/453/
Using Option Theory and Fundamentals to Assessing Default Risk of Listed Firms
Papanastasopoulos, George
G33 - Bankruptcy ; Liquidation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
M41 - Accounting
In this paper, we use option based measures of financial performance that utilize market information in a binary probit regression to examine their informational context and properties as distress indicators and to estimate default probabilities for listed firms. Then, we enrich them with fundamentals that utilize accounting information. The results suggest that by adding accounting information from financial statements to market information from equity prices we can improve both in sample fitting and out of sample predictability of defaults. Therefore, option theory does not generate sufficient statistics of the actual default frequency. Our main conclusion is that while market information can be extremely valuable, it is most useful when coupled with accounting information in assessing default risk of listed firms.
2005-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/453/1/MPRA_paper_453.pdf
Papanastasopoulos, George (2005): Using Option Theory and Fundamentals to Assessing Default Risk of Listed Firms.
en
oai:mpra.ub.uni-muenchen.de:578
2019-09-28T09:24:30Z
7374617475733D707562
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/578/
Estructura de financiamiento: ¿cuánta deuda debería incorporar en mi empresa?
Rubio, Fernando
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Structure of financing: How much debt should I incorporate in my firm? The article studies some aspects related to the structure of financing. Particularly, it analyzes if is good to be gotten into debt and, in case that it be, in which conditions a business should incorporate debt. As a framework, the contribution of Modigliani and Miller is utilized. Then, a statistical analysis of businesses is carried out for the U.S. market in order to contrast empirically the proposals. The conclusion to the questioning is: "It depends on the business in which your firm is, your preference for risk and your preference for sharing prominence".
2006-01-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/578/1/MPRA_paper_578.pdf
Rubio, Fernando (2006): Estructura de financiamiento: ¿cuánta deuda debería incorporar en mi empresa? Published in: Trend Management No. Edicion Especial Mayo 2006 (May 2006): pp. 62-69.
es
oai:mpra.ub.uni-muenchen.de:1283
2019-09-28T04:37:23Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473234
7375626A656374733D44:4439:443932
7375626A656374733D44:4438:443832
7375626A656374733D43:4337:433733
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1283/
Debt-equity choice as a signal of profit profile over time
Miglo, Anton
G33 - Bankruptcy ; Liquidation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
D92 - Intertemporal Firm Choice, Investment, Capacity, and Financing
D82 - Asymmetric and Private Information ; Mechanism Design
C73 - Stochastic and Dynamic Games ; Evolutionary Games ; Repeated Games
This paper analyzes debt-equity choice for financing a two-stage investment when a firm’s insiders have private information about the firm’s expected earnings. When private information is one-dimensional (for example when short-term earnings are common knowledge while long-term earnings are private information) a separating equilibrium does not exist. When private information is two-dimensional a separating equilibrium may exist where firms with a higher rate of earnings growth issue debt and firms with a low rate of earnings growth issue equity. This provides new insights into the issue of different kinds of securities by different types of firms under asymmetric information as well as the link between debt-equity choice and operating performance.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1283/1/MPRA_paper_1283.pdf
Miglo, Anton (2006): Debt-equity choice as a signal of profit profile over time.
en
oai:mpra.ub.uni-muenchen.de:2414
2019-09-28T11:44:04Z
7374617475733D707562
7375626A656374733D47:4733:473338
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2414/
Economic capital allocation under liquidity constraints
Mierzejewski, Fernando
G38 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
Since the capital structure affects the performance of financial institutions confronted to liquidity constraints, the Economic Capital is determined by the maximisation of value.
Allowing economic decisions to be characterised by a distorted probability distribution, so assessing the attitude towards risk as well as information and knowledge,
the optimal surplus is expressed as a Value-at-Risk, as recommended by the Basel
Committee. Thus, demanding more capital than regulatory requirements accounts for
different expectations about risks. The optimal surplus is allocated to the lines of
business of a conglomerate according to the borne risk and the type of divisional
managers. Full-allocation is assured and no covariances are required. Further, a
mechanism is provided, which allows for the distribution of equity in a decentralised
organisation.
2006-04-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2414/1/MPRA_paper_2414.pdf
Mierzejewski, Fernando (2006): Economic capital allocation under liquidity constraints. Published in: Proceedings of the 4th Actuarial and Financial Mathematics Day (2006): pp. 107-116.
en
oai:mpra.ub.uni-muenchen.de:2672
2019-10-10T21:09:00Z
7374617475733D707562
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2672/
El riesgo de responsabilidad del órgano de administración de las cooperativas en situaciones de insolvencia, y de pérdidas patrimoniales
Sacristán Bergia, Fernando
G33 - Bankruptcy ; Liquidation
The current paper covers the aspect of the cooperative company´s directors legal responsability in situations of patrimonial losses and insolvency. The Study tries to present wich is the current Law, for what truns out to be necesary bear in mind the different treatment on the different cooperative autonomic laws. The study takes in consideration the jurisprudential treatment, wich allows us to value the practical transcendency of the interpretation which is the Court to the recentt reforms. The responsability in the Insolvency Law is an object of tratment differentiated in the last paragraph
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2672/1/MPRA_paper_2672.pdf
Sacristán Bergia, Fernando (2006): El riesgo de responsabilidad del órgano de administración de las cooperativas en situaciones de insolvencia, y de pérdidas patrimoniales. Published in: REVESCO , Vol. 89, (2006): pp. 139-166.
es
oai:mpra.ub.uni-muenchen.de:2968
2019-09-26T19:58:44Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473338
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2968/
Simulation based approach for measuring concentration risk
Kim, Joocheol
Lee, Duyeol
G33 - Bankruptcy ; Liquidation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G38 - Government Policy and Regulation
Asymptotic Single Risk Factor (ASRF) model is used to derive the regulatory capital formula of Internal Ratings-Based approach in the new Basel accord (Basel II). One of the important assumptions in ASRF model for credit risk is that the given portfolio is well diversified so that one can easily calculate the required capital level by focusing only on systematic risk. In real world, however, idiosyncratic risk of a portfolio cannot be fully diversified away, causing the so called concentration risk problem. In this paper we suggest simulation based approach for measuring concentration risk using bank capital dynamic model. This approach is especially suitable for a portfolio with relatively small to medium number of obligors and relatively large sized loans
2007-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2968/1/MPRA_paper_2968.pdf
Kim, Joocheol and Lee, Duyeol (2007): Simulation based approach for measuring concentration risk.
en
oai:mpra.ub.uni-muenchen.de:3582
2019-09-27T02:50:55Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D43:4335:433533
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3582/
Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling
Cipollini, Andrea
Missaglia, Giuseppe
G33 - Bankruptcy ; Liquidation
C53 - Forecasting and Prediction Methods ; Simulation Methods
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macro-variables for Italy. Multi step ahead density and probability forecasts are obtained by employing both the direct and indirect method of prediction together with stochastic simulation of the DF model. We, first, find that the direct method is the best performer regarding the out of sample projection of financial distressful events. In a second stage of the analysis, the direct method of forecasting through principal components is shown to provide the least sensitive measures of Portfolio Credit Risk to various multifactor model specifications. Finally, the simulation results suggest that the benefits in terms of credit risk diversification tend to diminish with an increasing number of factors, especially when using the indirect method of forecasting.
2007-05-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3582/1/MPRA_paper_3582.pdf
Cipollini, Andrea and Missaglia, Giuseppe (2007): Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling.
en
oai:mpra.ub.uni-muenchen.de:5548
2019-09-28T22:13:04Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473130
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5548/
Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision
Schoeneborn, Torsten
Schied, Alexander
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G10 - General
G33 - Bankruptcy ; Liquidation
We consider a multi-player situation in an illiquid market in which one player tries to liquidate a large portfolio in a short time span, while some competitors know of the seller's intention and try to make a pro¯t by trading in this market over a longer time horizon. We show that the liquidity characteristics, the number of competitors in the market and their trading time horizons determine the optimal strategy for the competitors: they either provide liquidity to the seller, or they prey on her by simultaneous selling. Depending on the expected competitor behavior, it might be sensible for the seller to pre-announce a trading intention (\sunshine trading") or to keep it secret (\stealth
trading").
2007-11-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5548/1/MPRA_paper_5548.pdf
Schoeneborn, Torsten and Schied, Alexander (2007): Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision.
en
oai:mpra.ub.uni-muenchen.de:7105
2019-09-27T20:49:45Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473234
7375626A656374733D47:4731:473130
7375626A656374733D47:4732:473230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7105/
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander
Schoeneborn, Torsten
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G33 - Bankruptcy ; Liquidation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G10 - General
G20 - General
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic partial differential equations. We furthermore analyze the sensitivities of the value function and the optimal strategy with respect to the various model parameters. In particular, we find that the optimal strategy is aggressive or passive in-the-money, respectively, if and only if the utility function displays increasing or decreasing risk aversion. Surprisingly, only few further monotonicity relations exist with respect to the other parameters. We point out in particular that the speed by which the remaining asset position is sold can be decreasing in the size of the position but increasing in the liquidity price impact.
2008-02-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7105/1/MPRA_paper_7105.pdf
Schied, Alexander and Schoeneborn, Torsten (2008): Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.
en
oai:mpra.ub.uni-muenchen.de:9758
2019-10-05T17:37:09Z
7374617475733D707562
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9758/
Resolving Non-performing Assets of the Indian Banking System
He, Dong
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
This paper reviews the nature of non-performing assets in the Indian banking system and discusses the key design features that would be important for the Asset Reconstruction Companies to play an effective role in resolving such non-performing assets.
2002-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9758/1/MPRA_paper_9758.pdf
He, Dong (2002): Resolving Non-performing Assets of the Indian Banking System. Published in: India: Selected Issues and Statistical Appendix No. IMF Country Report No. 02/193 (September 2002)
en
oai:mpra.ub.uni-muenchen.de:10845
2019-09-26T09:33:20Z
7374617475733D756E707562
7375626A656374733D47:4732:473232
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10845/
The financial leverage of Insurers subject to price regulation: evidence from Canada
Strauss, Jason David
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
The variation in the degree of price regulation in the property-liability insurance market in Canada varies across time and space, creating an opportunity to test a recurring theory in regulatory economics: that price regulated firms have higher levels of financial leverage. Using an instrumental variable for the stringency of price-regulation, this paper utilizes a panel data set of Canadian property-liability insurers over ten years of time, 1997-2006. The results support the theory but do not conclude on whether the increase in financial leverage is a strategic decision or a natural reaction to worsening business conditions brought-on by price-regulation.
2008-09-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10845/3/MPRA_paper_10845.pdf
Strauss, Jason David (2008): The financial leverage of Insurers subject to price regulation: evidence from Canada.
en
oai:mpra.ub.uni-muenchen.de:11015
2019-09-29T22:42:33Z
7374617475733D756E707562
7375626A656374733D47:4732:473232
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11015/
Equilibrium in the Insurance Industry: Price and Probability of Insolvency
Strauss, Jason
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G33 - Bankruptcy ; Liquidation
The goal of this essay is to show an insurance market equilibrium defined by an insurance product price and a probability of insolvency for the insurer(s).
2007-05-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11015/1/MPRA_paper_11015.pdf
Strauss, Jason (2007): Equilibrium in the Insurance Industry: Price and Probability of Insolvency.
en
oai:mpra.ub.uni-muenchen.de:11212
2019-09-28T16:39:46Z
7374617475733D756E707562
7375626A656374733D47:4732:473232
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11212/
Price Regulation, Market Exit, and Financial Leverage of Canadian Property-Liability Insurers
Strauss, Jason
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
This paper investigates strategic brinksmanship between regulated property-liability insurance firms and their regulators. Prior research suggests that firms increase their financial leverage, and thus their probability of bankruptcy and expected bankruptcy costs, in order to mitigate the severity of binding price ceilings. Although financial leverage can be altered by changing capital structure, it can also be altered by increasing other liabilities, as analyzed in this paper. This paper uses an instrumental variable for price regulation with a maximum-likelihood Heckman estimation method over panel data for Canadian property-liability insurers to extract the impact that price regulation has on the financial leverage of insurers as well as the probability of bankruptcy, the non-selection probability.
2007-12-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11212/2/MPRA_paper_11212.pdf
Strauss, Jason (2007): Price Regulation, Market Exit, and Financial Leverage of Canadian Property-Liability Insurers.
en
oai:mpra.ub.uni-muenchen.de:11232
2019-10-06T04:23:50Z
7374617475733D707562
7375626A656374733D47:4733:473331
7375626A656374733D45:4536:453635
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11232/
Studiu de caz privind arieratele si inlesnirile la plata obligatiilor bugetare aprobate la nivelul judetului Gorj
Ecobici, Nicolae
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
E65 - Studies of Particular Policy Episodes
G33 - Bankruptcy ; Liquidation
This paper try to study the arrears and the facility of payment’s overdue debts in Gorj county. The study points out the dramatic evolution in Gorj county of arrears. The conclusion is that even the Gorj county belongs into the few other counties in Romania which have little debtors and many companies in liquidation, this is not a very good thing because the county is at the portal of the bankruptcy with an unfunctionally market economy.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11232/1/MPRA_paper_11232.pdf
Ecobici, Nicolae (2005): Studiu de caz privind arieratele si inlesnirile la plata obligatiilor bugetare aprobate la nivelul judetului Gorj. Published in: Economy magazine , Vol. 1, (2005)
ro
oai:mpra.ub.uni-muenchen.de:13341
2019-09-28T18:23:10Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4733:473334
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13341/
The Undervaluation of Distressed Company's Equity
Schmidt, Frederik
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In a simple firm value model we consider the impact of the insolvency probability on the valuation of equity and debt, which are assumed to be not publicly traded. For the case of a distressed company, which usually has high debt
and low equity, we can show that the impact becomes increasingly important. Disregarding this yields an overvaluation of debt and an undervaluation of equity. We calculate the sensitivity of equity with regard to debt, which is isomorphic to the sensitivity of a call option with regard to the strike price, and show that this sensitivity rises with increasing debt. Furthermore, we
provide a numerical example of this effect.
2009-02-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13341/1/MPRA_paper_13341.pdf
Schmidt, Frederik (2009): The Undervaluation of Distressed Company's Equity.
en
oai:mpra.ub.uni-muenchen.de:13377
2019-09-26T19:25:32Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4733:473334
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13377/
The Undervaluation of Distressed Company's Equity
Schmidt, Frederik
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In a simple firm value model we consider the impact of the insolvency probability on the valuation of equity and debt, which are assumed to be not publicly traded. For the case of a distressed company, which usually has high debt
and low equity, we can show that the impact becomes increasingly important. Disregarding this yields an overvaluation of debt and an undervaluation of equity. We calculate the sensitivity of equity with regard to debt, which is isomorphic to the sensitivity of a call option with regard to the strike price, and show that this sensitivity rises with increasing debt. Furthermore, we
provide a numerical example of this effect.
2009-02-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13377/1/MPRA_paper_13377.pdf
Schmidt, Frederik (2009): The Undervaluation of Distressed Company's Equity.
en
oai:mpra.ub.uni-muenchen.de:14366
2019-09-28T11:53:38Z
7374617475733D756E707562
7375626A656374733D4B:4B32
7375626A656374733D4B:4B33
7375626A656374733D47:4732:473238
7375626A656374733D4B:4B31
7375626A656374733D47:4733:473333
7375626A656374733D47:4730
7375626A656374733D44:4431:443134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14366/
Défaut de paiement stratégique et loi sur les défaillances d'entreprises
Chopard, Bertrand
Langlais, Eric
K2 - Regulation and Business Law
K3 - Other Substantive Areas of Law
G28 - Government Policy and Regulation
K1 - Basic Areas of Law
G33 - Bankruptcy ; Liquidation
G0 - General
D14 - Household Saving; Personal Finance
We compare the influence of bankruptcy law on the risk of default and the rate of liquidation by banks. We show that it depends on whether it is pro-creditors or pro-debtors oriented, and on the intensity of competition between banks. Then , we analyse the various tools at the disposal of public authority in order to accomdate the transition from a pro-creditors regime to a pro-debtors one. In a sense, our results suggest that there may exist a kind of consistency between the aims assigned to law, the orientation of bankruptcy law and the level of competition in the banking system.
2009-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14366/1/MPRA_paper_14366.pdf
Chopard, Bertrand and Langlais, Eric (2009): Défaut de paiement stratégique et loi sur les défaillances d'entreprises.
fr
oai:mpra.ub.uni-muenchen.de:15003
2019-09-26T15:03:35Z
7374617475733D707562
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4731:473130
7375626A656374733D4F:4F34:4F3430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15003/
Economic Factors Influencing Corporate Capital Structure in Three Asian Countries: Evidence from Japan, Malaysia and Pakistan
Mahmud, Muhammad
Herani, Gobind M.
Rajar, A.W.
Farooqi, Wahid
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G10 - General
O40 - General
This study is an attempt to determine the factors that influence a firm’s choice of capital structure in three Asian countries: Japan, Malaysia and Pakistan. The specific objective is to investigate if country’s economic factors play a significant role in determining capital structure between markets. These countries are chosen in order to represent three different stages of economic development. Literature review reveals that considerable research has been made in the industrialized countries on the similar topic. Capital structure is one of the most complex areas of strategic financial decision making due to its interrelationship with macroeconomic variables. This study reveals that per capita GNP growth for Japan and Malaysia is significantly related to capital structure of firm and higher economic growth tends to cause to use more long term debt. These results for Pakistan are different from those other two countries. This also shows that inefficiencies coupled with high leverage may entangle Pakistani firms in debt trap. The indicator of prime lending rate is the most decisive factor affecting demand for credit for Japan and Malaysia. It is evident from the analysis that financial liberalization provides major support in the development of capital structure and overall corporate sector in all the three countries.
2009-04-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15003/1/MPRA_paper_15003.pdf
Mahmud, Muhammad and Herani, Gobind M. and Rajar, A.W. and Farooqi, Wahid (2009): Economic Factors Influencing Corporate Capital Structure in Three Asian Countries: Evidence from Japan, Malaysia and Pakistan. Published in: Indus Journal of Management & Social Sciences No. 3(1) (20 April 2009): pp. 9-17.
en
oai:mpra.ub.uni-muenchen.de:15496
2019-09-27T18:42:08Z
7374617475733D756E707562
7375626A656374733D47:4733:473338
7375626A656374733D44:4431:443130
7375626A656374733D47:4731:473130
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15496/
How does Investors' Legal Protection affect Productivity and Growth?
Berdugo, Binyamin
Hadad, Sharon
G38 - Government Policy and Regulation
D10 - General
G10 - General
G33 - Bankruptcy ; Liquidation
This paper analyzes the implications of investors' legal protection on aggregate productivity and growth. We have two main results. First, that better investors' legal protection can mitigate agency problems between investors and innovators and therefore expand the range of high-tech projects that can be financed by non-bank investors. Second, investors' legal protection shifts investment resources from less productive (medium-tech) to highly productive (high-tech) projects and therefore enhances economic growth. These results stem from two forces. On one hand, private investors' moral hazard problems (in which entrepreneurs shift investors' resources to their own benefit), and on the other hand innovators' risk of project termination by banks due to wrong signals about projects' probability of success. Our results are consistent with recent empirical studies that show a high correlation between legal investors' protection and the structure of the financial system as well as the economic performance at industry and macroeconomic levels.
2009-05-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15496/1/MPRA_paper_15496.pdf
Berdugo, Binyamin and Hadad, Sharon (2009): How does Investors' Legal Protection affect Productivity and Growth?
en
oai:mpra.ub.uni-muenchen.de:16748
2019-09-27T16:23:14Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D45:4534:453433
7375626A656374733D46:4633:463334
7375626A656374733D45:4533:453331
7375626A656374733D4F:4F35:4F3533
7375626A656374733D45:4534:453434
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463333
7375626A656374733D4F:4F31:4F3131
7375626A656374733D46:4633:463332
7375626A656374733D45:4535:453538
7375626A656374733D45:4534:453432
7375626A656374733D4F:4F31:4F3136
7375626A656374733D45:4535:453532
7375626A656374733D45:4536:453635
7375626A656374733D46:4634:463431
7375626A656374733D46:4633:463331
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/16748/
Multiple Reserve Requirements, Exchange Rates, Sudden Stops and Equilibrium Dynamics in a Small Open Economy
Hernandez-Verme, Paula
Wang, Wen-Yao
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E43 - Interest Rates: Determination, Term Structure, and Effects
F34 - International Lending and Debt Problems
E31 - Price Level ; Inflation ; Deflation
O53 - Asia including Middle East
E44 - Financial Markets and the Macroeconomy
G33 - Bankruptcy ; Liquidation
F33 - International Monetary Arrangements and Institutions
O11 - Macroeconomic Analyses of Economic Development
F32 - Current Account Adjustment ; Short-Term Capital Movements
E58 - Central Banks and Their Policies
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
E52 - Monetary Policy
E65 - Studies of Particular Policy Episodes
F41 - Open Economy Macroeconomics
F31 - Foreign Exchange
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
We model a typical Asian-crisis-economy using dynamic general equilibrium tech-niques. Exchange rates obtain from nontrivial fiat-currencies demands. Sudden stops/bank-panics are possible, and key for evaluating the merits of alternative ex-change rate regimes. Strategic complementarities contribute to the severe indetermi-nacy of the continuum of equilibria. The scope for existence and indeterminacy of equilibria and dynamic properties are associated with the underlying policy regime. Binding multiple reserve requirements promote stability under floating but increase the scope for panic equilibria under both regimes. Backing the money supply acts as a stabilizer only in fixed regimes, but reduces financial fragility under both regimes.
2009-03-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/16748/1/MPRA_paper_16748.pdf
Hernandez-Verme, Paula and Wang, Wen-Yao (2009): Multiple Reserve Requirements, Exchange Rates, Sudden Stops and Equilibrium Dynamics in a Small Open Economy.
en
oai:mpra.ub.uni-muenchen.de:17521
2019-09-28T07:46:48Z
7374617475733D756E707562
7375626A656374733D45:4533:453332
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/17521/
Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants
Zhang, Zhipeng
E32 - Business Fluctuations ; Cycles
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
For U.S. firms from 1988 to 2007, firms with stricter loan covenants had higher firm-level default recovery rates. Covenants were stricter, moreover, when set during downturns in the business cycle. This implies a negative dependence of recovery rates on lagged macroeconomic conditions. That is, bank loan contracts established in economic recessions have tight covenants, leading later to higher recovery rates. My empirical evidence suggests that private creditors have significant influence on firms' bankruptcy decisions through the channel of covenants in debt contracts.
2009-09-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/17521/1/MPRA_paper_17521.pdf
Zhang, Zhipeng (2009): Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants.
en
oai:mpra.ub.uni-muenchen.de:17676
2019-09-26T21:46:48Z
7374617475733D756E707562
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/17676/
Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions
Zhang, Zhipeng
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
We offer a model and evidence on firms' optimal bankruptcy decisions. In the model, both the borrower and bank lenders can trigger a bankruptcy filing. We show that debt composition has significant influence on corporate bankruptcy decisions. For example, firms with a small share of bank debt as a fraction of total debt tend to voluntarily file for bankruptcy. When a firm depends heavily on bank debt, the bankruptcy boundary is more likely to be determined by the bank. Our results highlight the control rights of large private creditors in distressed firms.
2009-06-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/17676/1/MPRA_paper_17676.pdf
Zhang, Zhipeng (2009): Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions.
en
oai:mpra.ub.uni-muenchen.de:18166
2019-09-27T23:27:18Z
7374617475733D756E707562
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/18166/
Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions
Zhang, Zhipeng
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
We offer a model and evidence on firms' optimal bankruptcy decisions. In the model, both the borrower and bank lenders can trigger a bankruptcy filing. We show that debt composition has significant influence on corporate bankruptcy decisions. For example, firms with a small share of bank debt as a fraction of total debt tend to voluntarily file for bankruptcy. When a firm depends heavily on bank debt, the bankruptcy boundary is more likely to be determined by the bank. Our results highlight the control rights of large private creditors in distressed firms.
2009-06-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/18166/1/MPRA_paper_18166.pdf
Zhang, Zhipeng (2009): Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions.
en
oai:mpra.ub.uni-muenchen.de:19267
2019-09-28T14:19:12Z
7374617475733D696E7072657373
7375626A656374733D46:4633:463337
7375626A656374733D47:4733:473332
7375626A656374733D45:4534:453434
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/19267/
Tamaño y Riesgo en los Mercados Financieros
Estrada, Fernando
F37 - International Finance Forecasting and Simulation: Models and Applications
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
E44 - Financial Markets and the Macroeconomy
G33 - Bankruptcy ; Liquidation
F36 - Financial Aspects of Economic Integration
This paper examines relationships between size and risk in financial markets. Based on the work
of Makridakis / Taleb [2009] and Taleb / Tapiero [2009], presents the problems of excessive
risk and imbalances caused by the size of firms. Markets mixed on firm growth traps
externalities can influence risk, high-cost for the commons. A policy of regulation and control in
markets, while necessary, are still insufficient in economies with little institutional support.
Externalities of risk and firm size categories are fundamental to understanding the present
financial crisis since the economies of scale.
2009-12-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/19267/1/MPRA_paper_19267.pdf
Estrada, Fernando (2009): Tamaño y Riesgo en los Mercados Financieros. Forthcoming in: Cuadernos CIPE
es
oai:mpra.ub.uni-muenchen.de:21346
2019-09-28T00:21:24Z
7374617475733D707562
7375626A656374733D4B:4B33:4B3335
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473234
7375626A656374733D4D:4D31:4D3133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/21346/
The impact of insolvency laws on venture capital
Bhatia, Jai
K35 - Personal Bankruptcy Law
G33 - Bankruptcy ; Liquidation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
M13 - New Firms ; Startups
The venture capital (VC) industry supports innovation in an economy, and has seen much success over the last few years. However, with the inherent risk in any start-up business, the venture capitalist is bound to see some failures. This paper explores the effects of corporate and personal insolvency laws on financially distressed VC funded firms. It also compares the contract driven bankruptcy system to the court driven system, and their implications for failed VC funded firms. This paper relies upon qualitative analysis and draws upon interviews with academic experts, industry practitioners and secondary data.
In the light of corporate insolvency, the research concludes that entrepreneurial firms are often ‘wound up’ rather than put into the bankruptcy system for liquidation/ reorganization because the realized value from the small firms often do not cover the cost of the bankruptcy process. Consequently, it is difficult to ascertain the impact of corporate insolvency laws on small businesses. On the contrary, it has been observed that the severity of the personal insolvency law does not affect venture capital financed entrepreneurs. The venture capitalists provide equity finance and the entrepreneurs do not need to risk their personal assets for collateral to acquire bank finance. The comparison between the US and UK systems of bankruptcy revealed that for small entrepreneurial firms, both systems are convergent to a greater degree than they are for larger firms i.e., the smaller the firm the more similar both the systems seem in relation to efficiency and the ability to salvage value from financially distressed firms.
2009-09-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/21346/1/MPRA_paper_21346.pdf
Bhatia, Jai (2009): The impact of insolvency laws on venture capital. Published in: Social Science Research Network (2009)
en
oai:mpra.ub.uni-muenchen.de:21595
2019-09-27T19:00:25Z
7374617475733D756E707562
7375626A656374733D43:4336:433639
7375626A656374733D43:4336:433633
7375626A656374733D43:4338:433838
7375626A656374733D43:4338:433831
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/21595/
Voting Features based Classifier with Feature Construction and its Application to Predicting Financial Distress
Guvenir, H. Altay
Cakir, Murat
C69 - Other
C63 - Computational Techniques ; Simulation Modeling
C88 - Other Computer Software
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
Voting features based classifiers, shortly VFC, have been shown to perform well on most real-world data sets. They are robust to irrelevant features and missing feature values. In this paper, we introduce an extension to VFC, called voting features based classifier with feature construction, VFCC for short, and show its application to the problem of predicting if a bank will encounter financial distress, by analyzing current financial statements. The previously developed VFC learn a set of rules that contain a single condition based on a single feature in their antecedent. The VFCC algorithm proposed in this work, on the other hand, constructs rules whose antecedents may contain conjuncts based on several features. Experimental results on recent financial ratios of banks in Turkey show that the VFCC algorithm achieves better accuracy than other well-known rule learning classification algorithms.
2009
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/21595/1/MPRA_paper_21595.pdf
Guvenir, H. Altay and Cakir, Murat (2009): Voting Features based Classifier with Feature Construction and its Application to Predicting Financial Distress.
en
oai:mpra.ub.uni-muenchen.de:22171
2019-10-02T16:47:38Z
7374617475733D756E707562
7375626A656374733D41:4131
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
7375626A656374733D44:4438:443834
7375626A656374733D44:4437:443730
7375626A656374733D44:4438
7375626A656374733D43:4337:433732
7375626A656374733D42:4235
7375626A656374733D44:4438:443831
7375626A656374733D42:4235:423530
7375626A656374733D44:4438:443832
7375626A656374733D43:4337:433730
7375626A656374733D43:4337
7375626A656374733D47:4730:473031
7375626A656374733D44:4430
7375626A656374733D44:4430:443033
7375626A656374733D44:4437
7375626A656374733D41:4131:413133
7375626A656374733D41:4131:413132
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/22171/
Fragments on black swan: money, credit and finance in The Arcades Project of Walter Benjamin
Estrada, Fernando
A1 - General Economics
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
D84 - Expectations ; Speculations
D70 - General
D8 - Information, Knowledge, and Uncertainty
C72 - Noncooperative Games
B5 - Current Heterodox Approaches
D81 - Criteria for Decision-Making under Risk and Uncertainty
B50 - General
D82 - Asymmetric and Private Information ; Mechanism Design
C70 - General
C7 - Game Theory and Bargaining Theory
G01 - Financial Crises
D0 - General
D03 - Behavioral Microeconomics: Underlying Principles
D7 - Analysis of Collective Decision-Making
A13 - Relation of Economics to Social Values
A12 - Relation of Economics to Other Disciplines
G0 - General
The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems appropriate at a time when the financial crisis should be taught as a deeper crisis. Walter Benjamin is placed beyond its time, with a powerful sense of observation worthy of emulation analytical.
2010-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/22171/1/MPRA_paper_22171.pdf
Estrada, Fernando (2010): Fragments on black swan: money, credit and finance in The Arcades Project of Walter Benjamin.
en
oai:mpra.ub.uni-muenchen.de:22182
2019-09-27T02:47:14Z
7374617475733D756E707562
7375626A656374733D41:4131
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
7375626A656374733D44:4438:443834
7375626A656374733D44:4437:443730
7375626A656374733D44:4438
7375626A656374733D43:4337:433732
7375626A656374733D42:4235
7375626A656374733D44:4438:443831
7375626A656374733D42:4235:423530
7375626A656374733D44:4438:443832
7375626A656374733D43:4337:433730
7375626A656374733D43:4337
7375626A656374733D47:4730:473031
7375626A656374733D44:4430
7375626A656374733D44:4430:443033
7375626A656374733D44:4437
7375626A656374733D41:4131:413133
7375626A656374733D41:4131:413132
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/22182/
Fragments on the black swan: money, credit and finance in The Arcades Project of Walter Benjamin
Estrada, Fernando
A1 - General Economics
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
D84 - Expectations ; Speculations
D70 - General
D8 - Information, Knowledge, and Uncertainty
C72 - Noncooperative Games
B5 - Current Heterodox Approaches
D81 - Criteria for Decision-Making under Risk and Uncertainty
B50 - General
D82 - Asymmetric and Private Information ; Mechanism Design
C70 - General
C7 - Game Theory and Bargaining Theory
G01 - Financial Crises
D0 - General
D03 - Behavioral Microeconomics: Underlying Principles
D7 - Analysis of Collective Decision-Making
A13 - Relation of Economics to Social Values
A12 - Relation of Economics to Other Disciplines
G0 - General
The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems appropriate at a time when the financial crisis should be taught as a deeper crisis. Walter Benjamin is placed beyond its time, with a powerful sense of observation worthy of emulation analytical.
2010-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/22182/1/MPRA_paper_22182.pdf
Estrada, Fernando (2010): Fragments on the black swan: money, credit and finance in The Arcades Project of Walter Benjamin.
en
oai:mpra.ub.uni-muenchen.de:24692
2019-09-28T07:23:07Z
7374617475733D756E707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/24692/
The role of commercial real estate investments in the banking crisis of 1985-92
Cole, Rebel A.
Fenn, George W.
G18 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
This article examines the role of commercial real estate investments in the banking crisis of 1985-92, an unprecedented period during which more than 1,300 banks failed. Bank failures are fundamentally important because of the unique role played by financial institutions in the provision of business credit. We discover three striking features of banks failing during this period. First, commercial real estate was only a factor in the bank failures of 1988-92. Second, construction loans played a much larger role in bank failures than permanent loans, and the relationship is strongest with construction loans booked during 1983-1985. Third, other ex ante risk measures are systematically related to banking failure throughout the sample period. These results suggest that risk-seeking banks brought about their own demise and commercial real estate, especially construction lending, was one of the vehicles.
1996-08-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/24692/1/MPRA_paper_24692.pdf
Cole, Rebel A. and Fenn, George W. (1996): The role of commercial real estate investments in the banking crisis of 1985-92.
en
oai:mpra.ub.uni-muenchen.de:24693
2019-09-26T11:07:35Z
7374617475733D756E707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/24693/
A CAMEL rating's shelf life
Cole, Rebel A.
Gunther, Jeffery W.
G18 - Government Policy and Regulation
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
How quickly do the CAMEL ratings regulators assign to banks during on-site examinations
become "stale"? One measure of the information content of CAMEL ratings is their ability to
discriminate between banks that will fail and those that will survive. To assess the accuracy of
CAMEL ratings in predicting failure, Rebel Cole and Jeffery Gunther use as a benchmark an offsite
monitoring system based on publicly available accounting data. Their findings suggest that,
if a bank has not been examined for more than two quarters, off-site monitoring systems usually
provide a more accurate indication of survivability than its CAMEL rating. The lower predictive
accuracy for CAMEL ratings “older” than two quarters causes the overall accuracy of CAMEL
ratings to fall substantially below that of off-site monitoring systems. The higher predictive
accuracy of off-site systems derives from both their timeliness—an updated off-site rating is
available for every bank in every quarter—and the accuracy of the financial data on which they
are based. Cole and Gunther conclude that off-site monitoring systems should continue to play a
prominent role in the supervisory process, as a complement to on-site examinations.
1995-11-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/24693/1/MPRA_paper_24693.pdf
Cole, Rebel A. and Gunther, Jeffery W. (1995): A CAMEL rating's shelf life.
en
oai:mpra.ub.uni-muenchen.de:28161
2019-09-28T15:04:46Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/28161/
Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan
Abbas, Qaiser
Rashid, Abdul
G33 - Bankruptcy ; Liquidation
This paper aims to identify the financial ratios that are most significant in bankruptcy prediction for the non-financial sector of Pakistan based on a sample of companies which became bankrupt over the 1996-2006 period. Twenty four financial ratios covering four important financial attributes namely profitability, liquidity, leverage, and turnover ratios) were examined for a five-year period prior bankruptcy. The discriminant analysis produced a parsimonious model of three variables viz. sales to total assets, EBIT to current liabilities, and cash flow ratio. Our estimates provide evidence that the firms having Z value below zero fall into the “bankrupt” whereas the firms with Z value above zero fall into the “non-bankrupt” category. The model achieved 76.9% prediction accuracy when it is applied to forecast bankruptcies on the underlying sample.
2011-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/28161/1/MPRA_paper_28161.pdf
Abbas, Qaiser and Rashid, Abdul (2011): Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan.
en
oai:mpra.ub.uni-muenchen.de:29585
2019-10-06T07:13:53Z
7374617475733D756E707562
7375626A656374733D4D:4D34:4D3431
7375626A656374733D4F:4F31:4F3136
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/29585/
The Liquidation - based on Evaluation and Accounting Information
Goagara, Daniel
Giurca Vasilescu, Laura
M41 - Accounting
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
From a juridical point of view, an entity is considered in difficulty in the situation of payments’ ceasing that occurs when it can not face its due debts with the available funds. In the case of a financial depreciation, the short term liabilities are superior to the assets. The negative net treasury will put the entity in the situation to come up against the payment incidents, this leading to the degradation of its image for the business partners. Despite this, before closing the synthesis financial statements there are some „alarm signals” which can be highlighted especially through a correct and efficient evaluation. These signals can be analyzed at the level of the main activities from the entity. These reasons determine the analysis of degradation’ stages on the economic-financial situation as an important criterion in choosing the methods of diagnosis for the entities in difficulty, but also for the strategic orientation.
2011-03-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/29585/1/MPRA_paper_29585.pdf
Goagara, Daniel and Giurca Vasilescu, Laura (2011): The Liquidation - based on Evaluation and Accounting Information.
ro
oai:mpra.ub.uni-muenchen.de:30020
2019-09-27T05:25:28Z
7374617475733D707562
7375626A656374733D44:4438:443832
7375626A656374733D48:4832
7375626A656374733D47:4733:473333
7375626A656374733D47:4730:473031
7375626A656374733D44:4438:443834
7375626A656374733D46:4633
7375626A656374733D47:4730
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/30020/
Сучасні моделі фінансових криз
Petrushchak, Bohdan
D82 - Asymmetric and Private Information ; Mechanism Design
H2 - Taxation, Subsidies, and Revenue
G33 - Bankruptcy ; Liquidation
G01 - Financial Crises
D84 - Expectations ; Speculations
F3 - International Finance
G0 - General
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The theoretical aspects of three generation of financial crisis’ models are analyzed. On the basis of retrospective analysis of these models are determined the main causes than make the economic misbalance more profound and than cause a crisis.
Проаналізовано теоретичні аспекти трьох генерацій моделей фінансових криз. На основі ретроспективного аналізу моделей виникнення, розвитку і перебігу фінансових криз визначено основні фактори ризику, наявність яких сприяє поглибленню економічних дисбалансів, а відтак і зародженню фінансової кризи.
2010
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/30020/1/MPRA_paper_30020.pdf
Petrushchak, Bohdan (2010): Сучасні моделі фінансових криз. Published in: Вісник Львівського національного університету імені Івана Франка , Vol. 44, No. Серія економічна (May 2010): pp. 70-80.
uk
oai:mpra.ub.uni-muenchen.de:34608
2019-09-27T03:20:29Z
7374617475733D756E707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
7375626A656374733D47:4730:473031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/34608/
Predicting failure in the commercial banking industry
Tatom, John
G18 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G01 - Financial Crises
The ability to predict bank failure has become much more important since the mortgage foreclosure crisis began in 2007. The model proposed in this study uses proxies for the regulatory standards embodied in the so-called CAMELS rating system, as well as several local or national economic variables to produce a model that is robust enough to forecast bank failure for the entire commercial bank industry in the United States. This model is able to predict failure (survival) accurately for commercial banks during both the Savings and Loan crisis and the mortgage foreclosure crisis. Other important results include the insignificance of several factors proposed in the literature, including total assets, real price of energy, currency ratio and the interest rate spread.
2011-08-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/34608/1/MPRA_paper_34608.pdf
Tatom, John (2011): Predicting failure in the commercial banking industry.
en
oai:mpra.ub.uni-muenchen.de:35174
2019-10-06T01:19:12Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D4B:4B32:4B3232
7375626A656374733D45:4534:453434
7375626A656374733D46:4632:463231
7375626A656374733D47:4733:473333
7375626A656374733D4E:4E32:4E3236
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/35174/
Mexico's retrogression: implications of a bankruptcy reorganization gone wrong
Porzecanski, Arturo C.
F34 - International Lending and Debt Problems
K22 - Business and Securities Law
E44 - Financial Markets and the Macroeconomy
F21 - International Investment ; Long-Term Capital Movements
G33 - Bankruptcy ; Liquidation
N26 - Latin America ; Caribbean
Mexico is retrogressing, becoming an unpredictable and risky jurisdiction for the adjudication of legitimate claims involving domestic and international lenders and investors. This conclusion follows from an analysis of the precedent-setting corporate workout involving a major Mexican multinational (Vitro) now winding its way through the Mexican courts. It raises serious doubts about the capacity of that country’s insolvency regime to deliver an outcome viewed as fair and consistent with prevailing norms and practices in the United States and other reputable jurisdictions. The case may well have a chilling effect on the easy access to foreign financing that Mexican corporations have enjoyed during recent years. The Vitro case has the potential to complicate even U.S.-Mexico diplomatic relations.
2011-11-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/35174/1/MPRA_paper_35174.pdf
Porzecanski, Arturo C. (2011): Mexico's retrogression: implications of a bankruptcy reorganization gone wrong.
en
oai:mpra.ub.uni-muenchen.de:35430
2019-09-27T23:28:37Z
7374617475733D756E707562
7375626A656374733D44:4432:443231
7375626A656374733D47:4733:473331
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/35430/
Asset sales by manufacturing firms in India
Gautam, Vikash
D21 - Firm Behavior: Theory
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In this paper we study 325 large scale asset sale transactions by Indian manufacturing firms in the period 1996 to 2008. We find that the likelihood of asset sales increases with the firm’s low capacity of debt utilisation and decreases with size, profitability, operating performance and solvency. We also find that the performance of firms after they sell assets do not improve in profitability, solvency or operations. The only difference the episodes of asset sales make is some reduction in leverage. We contrast with the existing episodes of asset sales in developed countries as the performance of firms there, after they sell assets, improves in all parameters.
2009-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/35430/1/MPRA_paper_35430.pdf
Gautam, Vikash (2009): Asset sales by manufacturing firms in India.
en
oai:mpra.ub.uni-muenchen.de:36788
2019-10-04T04:37:09Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/36788/
Approximating correlated defaults
Rosenthal, Dale W.R.
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
G33 - Bankruptcy ; Liquidation
Modeling defaults is critical to risk management as well as pricing debt portfolios and portfolio derivatives. In the recent financial crisis, multi-billion-dollar losses resulted from correlated defaults that were improperly modeled. This paper proposes statistical approximations which are more general than those used previously, follow from an intensity-based risk-factor model, and allow consistent parameter esti- mation. The parameters imply an approximating portfolio of independent, identical-credit loans and characterize both average credit quality and default-relative diversification (aka the “diversity score”). Unlike previous approaches, these metrics are derived jointly from theory. The approach addresses weaknesses in the typical diversity score-based methods by allowing for fatter tails as well as loans differing in size and credit quality. The approximations may also be used to model complete portfolio default and help set capital adequacy requirements. An example shows how to estimate the approximating portfolio.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/36788/1/MPRA_paper_36788.pdf
Rosenthal, Dale W.R. (2008): Approximating correlated defaults.
en
oai:mpra.ub.uni-muenchen.de:36937
2019-10-02T08:08:39Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/36937/
Approximating correlated defaults
Rosenthal, Dale W.R.
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
G33 - Bankruptcy ; Liquidation
Modeling defaults is critical to risk management as well as pricing debt portfolios and portfolio derivatives. In the recent financial crisis, multi-billion-dollar losses resulted from correlated defaults that were improperly modeled. This paper proposes statistical approximations which are more general than those used previously, follow from an intensity-based risk-factor model, and allow consistent parameter esti- mation. The parameters imply an approximating portfolio of independent, identical-credit loans and characterize both average credit quality and default-relative diversification (aka the “diversity score”). Unlike previous approaches, these metrics are derived jointly from theory. The approach addresses weaknesses in the typical diversity score-based methods by allowing for fatter tails as well as loans differing in size and credit quality. The approximations may also be used to model complete portfolio default and help set capital adequacy requirements. An example shows how to estimate the approximating portfolio.
2012-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/36937/1/MPRA_paper_36937.pdf
Rosenthal, Dale W.R. (2012): Approximating correlated defaults.
en
oai:mpra.ub.uni-muenchen.de:37283
2019-10-01T14:00:38Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473133
7375626A656374733D45:4534:453430
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/37283/
Long run credit risk diversification: empirical decomposition of corporate bond spreads
Sun, David
Lin, William T.
Nieh, Chien-Chung
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G13 - Contingent Pricing ; Futures Pricing
E40 - General
G33 - Bankruptcy ; Liquidation
Following the reduced-form models of Duffee (1999) and Jarrow, Lando and Yu (2003), this study investigates the risk diversification issue of corporate bond portfolios. Considering especially long run market behavior, our empirical decomposition of corporate bond yield spreads indicates that the idiosyncratic component serves as a good vehicle for risk diversification. Moreover, the diosyncratic
spread provides significant inferences about observed conditional corporate bond default rate, while full spread does not. Applying an affine model from Duffie and Singleton (1999), we find that the idiosyncratic credit spreads do not respond empirically to Treasury yields, unlike what is suggested in the structural model of Longstaff and Schwartz (1995) and literatures that follow. Systematic credit
spreads are however positively related to Treasury yields in the long-run, but negatively so in the short run, suggesting the validity of both the tax and the option hypotheses. A long-run and optimal decomposition scheme yields an idiosyncratic credit spread measure at a median of 60 b.p. for the Baa index and is specifically compatible with Duffee’s model. It is insensitive to interest rate in the
short-run, but would rise slightly with a positive shock in the long run at a rate of one to a hundred. Our findings in the study contribute to the risk practice of bond portfolio diversification.
2007-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/37283/1/MPRA_paper_37283.pdf
Sun, David and Lin, William T. and Nieh, Chien-Chung (2007): Long run credit risk diversification: empirical decomposition of corporate bond spreads. Published in: Review of Securities and Futures Markets , Vol. 2, No. 20 (July 2008): pp. 135-187.
en
oai:mpra.ub.uni-muenchen.de:37288
2019-10-03T18:05:30Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473133
7375626A656374733D45:4534:453430
7375626A656374733D45:4532:453231
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/37288/
Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
Lin, William
Sun, David
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G13 - Contingent Pricing ; Futures Pricing
E40 - General
E21 - Consumption ; Saving ; Wealth
G33 - Bankruptcy ; Liquidation
Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads. Specifically we adopt the robust econometric method of ARDL-based Pooled Mean Group cointegration analysis on panels of corporate bond data which yields results with rich economic implications for fixed income portfolio management. Empirical decomposition of yield spreads indicates, on the individual corporate bond level, that the idiosyncratic component serves as a good vehicle for risk diversification while considering long run market behavior. In the long run systematic credit spreads are found to be consistent with the agency hypothesis where higher interest rate raises endogenous default risk and it is particularly meaningful for the Taiwanese capital market. Option hypothesis of the structural approach is still valid in the short run in predicting yield spreads to be inversely related to interest rate. Our findings contribute in general to the risk practice of bond portfolio diversification. In particular, the pooled estimation we conducted proves to be superior in working with individual corporate bond data panels and helps related studies in the area.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/37288/1/MPRA_paper_37288.pdf
Lin, William and Sun, David (2006): Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels. Published in: Taiwan Banking and Finance Quarterly , Vol. 2, No. 8 (June 2007): pp. 1-24.
en
oai:mpra.ub.uni-muenchen.de:38631
2019-09-26T23:22:43Z
7374617475733D756E707562
7375626A656374733D4C:4C39:4C3933
7375626A656374733D4B:4B32
7375626A656374733D4C:4C31:4C3133
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/38631/
Are the bankrupt skies the friendliest?
Ciliberto, Federico
Schenone, Carola
L93 - Air Transportation
K2 - Regulation and Business Law
L13 - Oligopoly and Other Imperfect Markets
G33 - Bankruptcy ; Liquidation
We use data from the US airline industry to investigate whether firms that are under bankruptcy protection, as well as these firm’s product market rivals, change the quality
of the products they offer. We measure the quality of the services offered by a carrier using flight cancellations and delays, and the age of the aircraft used by the carrier. We find that delays and cancelations are less frequent during bankruptcy filings but return to their pre-bankruptcy levels once the bankrupt firm emerges from bankruptcy. We also find that firms use Chapter 11 filings to permanently reduce the age of their fleet. We do not find evidence of statistically and economically significant changes by the airline’s
competitors along any of the dimensions above.
2012-02-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/38631/1/MPRA_paper_38631.pdf
Ciliberto, Federico and Schenone, Carola (2012): Are the bankrupt skies the friendliest?
en
oai:mpra.ub.uni-muenchen.de:39047
2019-09-28T19:23:37Z
7374617475733D707562
7375626A656374733D4B:4B32:4B3232
7375626A656374733D47:4733:473334
7375626A656374733D4F:4F31:4F3136
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/39047/
An end to consensus? the selective impact of corporate law reform on financial development
Deakin, Simon
Sarkar, Prabirjit
Singh, Ajit
K22 - Business and Securities Law
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
Legal origins theory suggests that law reform,strengthening shareholder and creditor rights, should enhance financial development. We use recently created datasets measuring legal change over time in a sample of 25 developing,
developed and transition countries to test this claim. We find that increases in shareholder protection contribute to stock market growth in the common law world and in developing countries, but not in the civil law world. We also find evidence of reverse causation, with financial development triggering legal changes in the developing world. We consider a number of reasons for the
selective impact of law reform, focusing on the endogeneity of the legal system to its economic context, and on resulting complementarities between legal and
financial institutions.
JEL Codes: G33, G34, K22, O16.
2011-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/39047/1/MPRA_paper_39047.pdf
Deakin, Simon and Sarkar, Prabirjit and Singh, Ajit (2011): An end to consensus? the selective impact of corporate law reform on financial development. Published in: Centre for Business Research Working Paper Series No. WP423 (June 2011)
en
oai:mpra.ub.uni-muenchen.de:39196
2019-10-12T04:10:05Z
7374617475733D756E707562
7375626A656374733D49:4931:493131
7375626A656374733D47:4732:473232
7375626A656374733D44:4435:443532
7375626A656374733D45:4532:453231
7375626A656374733D47:4733:473333
7375626A656374733D44:4436:443630
7375626A656374733D45:4536:453630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/39196/
Health insurance reform and bankruptcy
Kuklik, Michal
I11 - Analysis of Health Care Markets
G22 - Insurance ; Insurance Companies ; Actuarial Studies
D52 - Incomplete Markets
E21 - Consumption ; Saving ; Wealth
G33 - Bankruptcy ; Liquidation
D60 - General
E60 - General
Abstract Medical bankruptcy was at the heart of the health care reform debate. According to Himmelstein et al. (2009), 62.1 percent of bankruptcies in the United States in 2007 were due to medical reasons. At the same time over 15 percent of Americans had no health insurance. The 2010 health care reform was designed to address the lack of health coverage and medical bankruptcies. In this paper, we employ a dynamic stochastic general equilibrium overlapping generations model with incomplete markets to quantitatively evaluate the impact of the health care reform on the health insurance market and the bankruptcy rate. We find that (i) the reform fails to address the bankruptcy problem as it cuts the bankruptcy rate by only 0.06 percentage point to 0.94 percent and the medical bankruptcy rate by 0.07 percentage point to 0.70 percent; (ii) the reform succeeds in providing almost universal insurance coverage with only 4.1 percent remaining uninsured; (iii) the average tax rate has to increase by 1.1 percent to finance the reform; (iv) the reform increases welfare by 5.2 percent; (v) the redistribution component of the reform drives the welfare gain by 5.8 percent, and the insurance market restructuring decreases welfare by 1.6 percent.
2010
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/39196/3/MPRA_paper_39196.pdf
Kuklik, Michal (2010): Health insurance reform and bankruptcy.
en
oai:mpra.ub.uni-muenchen.de:39670
2019-09-26T23:09:01Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D4B:4B32:4B3232
7375626A656374733D45:4534:453434
7375626A656374733D46:4632:463231
7375626A656374733D47:4733:473333
7375626A656374733D4E:4E32:4E3236
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/39670/
Mexico's retrogression: implications of a bankruptcy reorganization gone wrong
Porzecanski, Arturo C.
F34 - International Lending and Debt Problems
K22 - Business and Securities Law
E44 - Financial Markets and the Macroeconomy
F21 - International Investment ; Long-Term Capital Movements
G33 - Bankruptcy ; Liquidation
N26 - Latin America ; Caribbean
Mexico is retrogressing, becoming an unpredictable and risky jurisdiction for the adjudication of legitimate claims involving domestic and international lenders and investors. This conclusion follows from an analysis of the precedent-setting corporate workout involving a major Mexican multinational (Vitro) now winding its way through the Mexican courts. It raises serious doubts about the capacity of that country’s insolvency regime to deliver an outcome viewed as fair and consistent with prevailing norms and practices in the United States and other reputable jurisdictions. The case may well have a chilling effect on the easy access to foreign financing that Mexican corporations have enjoyed during recent years. The Vitro case has the potential to complicate even U.S.-Mexico diplomatic relations.
2011-11-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/39670/1/MPRA_paper_39670.pdf
Porzecanski, Arturo C. (2011): Mexico's retrogression: implications of a bankruptcy reorganization gone wrong.
en
oai:mpra.ub.uni-muenchen.de:39935
2019-09-28T14:31:00Z
7374617475733D707562
7375626A656374733D43:4334:433434
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/39935/
Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time
du Jardin, Philippe
Severin, Eric
C44 - Operations Research ; Statistical Decision Theory
G33 - Bankruptcy ; Liquidation
This study attempts to show how a Kohonen map can be used to improve the temporal stability of the accuracy of a financial failure model. Most models lose a significant part of their ability to generalize when data used for estimation and prediction purposes are collected over different time periods. As their lifespan is fairly short, it becomes a real problem if a model is still in use when re-estimation appears to be necessary. To overcome this drawback, we introduce a new way of using a Kohonen map as a prediction model. The results of our experiments show that the generalization error achieved with a map remains more stable over time than that achieved with conventional methods used to design failure models (discriminant analysis, logistic regression, Cox’s method, and neural networks). They also show that type-I error, the economically costliest error, is the greatest beneficiary of this gain in stability.
2011-06-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/39935/1/MPRA_paper_39935.pdf
du Jardin, Philippe and Severin, Eric (2011): Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time. Published in: European Journal of Operational Research , Vol. 221, No. 2 (13 April 2012): pp. 378-396.
en
oai:mpra.ub.uni-muenchen.de:40345
2019-10-08T04:44:23Z
7374617475733D707562
7375626A656374733D48:4837:483734
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/40345/
Risks of the indebtedness of the Hungarian local government sector from a financial stability point of view
Aczél, Ákos
Homolya, Dániel
H74 - State and Local Borrowing
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
Our paper explores the risks that arise due to indebtedness of Hungarian local governments. Our analysis relies on interviews conducted with the heads of the local government business branches of the credit institutions most important in terms of local government financing and on the related data collections, as well as on data from the Hungarian State Treasury regarding the financial management of local governments and on data from banks. Until 2011, the repayment of the bonds issued during the bond issue boom experienced in the local government sector in 2007–2008 started only in the case of one third of the bonds outstanding. However, by the end of 2011 year nearly 50 per cent and by end-2013 90 per cent of total bonds outstanding will reach the principal repayment period. Due to the considerable foreign exchange exposure of total loans and bonds outstanding (60 per cent, 80 per cent of which is Swiss franc exposure) as well as to the declining revenues of local governments and the deteriorating economic prospects, it is doubtful that local governments will be able to repay their debts to the banking sector in line with the original maturities. Therefore local governments financing may have an effect not only on the fiscal position but on the whole financial system as well. Nevertheless, our partial analysis establishes that the risks related to the debt of the local government sector have increased significantly in the recent period, but these risks could be managed by the banks. The comprehensive restructuring of the local government system as a whole and a further changing of debt settlement procedures by the government may influence the financial position of the local government system. In parallel with the regrouping of tasks, transferring of a portion of local government debt (primarily from the county local governments) to the central budget may result in a clear picture.
2012
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/40345/1/MPRA_paper_40345.pdf
Aczél, Ákos and Homolya, Dániel (2012): Risks of the indebtedness of the Hungarian local government sector from a financial stability point of view. Published in: Crisis Aftermath: Economic policy changes in the EU and its Member States, Conference Proceedings, Szeged, University of Szeged , Vol. ISBN 9, (2012): pp. 157-169.
en
oai:mpra.ub.uni-muenchen.de:41507
2019-10-01T19:48:57Z
7374617475733D756E707562
7375626A656374733D43:4335:433530
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/41507/
What factors drive the Russian banks license withdrawal
Peresetsky, A. A.
C50 - General
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G20 - General
The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency and money laundering. Analysis of data for the period 2005.2–2008.4 for accurate prediction of a bank’s financial insolvency, which is the focus of interest for the Russian Deposit Insurance Agency, demonstrates that the multinomial model doesn’t outperform the binary model.
2011
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/41507/1/MPRA_paper_41507.pdf
Peresetsky, A. A. (2011): What factors drive the Russian banks license withdrawal.
en
oai:mpra.ub.uni-muenchen.de:42432
2019-09-28T06:41:01Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D46:4633:463330
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/42432/
Behind the Greek default and restructuring of 2012
Porzecanski, Arturo C.
F34 - International Lending and Debt Problems
F30 - General
G33 - Bankruptcy ; Liquidation
F33 - International Monetary Arrangements and Institutions
The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a long time and failed to carry out needed structural reforms that could have improved economic growth prospects and enhanced the country’s creditworthiness. Therefore, a default and debt restructuring were inevitable sooner or later—and certainly so once the financial markets were informed, as happened in October 2009, that prior governments had underestimated their budget deficit and public debt figures. The prosaic tale of the supposed inevitability of the Greek tragedy has been endorsed, for example, by a prominent economic historian: “Since independence in the 1830s, Greece has been in a state of default about 50 percent of the time. Does that tell you something?” In reality, Greece’s road to default and debt restructuring in 2012 was not at all straightforward—and there was no historical inevitability about it, either.
2012-09-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/42432/1/MPRA_paper_42432.pdf
Porzecanski, Arturo C. (2012): Behind the Greek default and restructuring of 2012.
en
oai:mpra.ub.uni-muenchen.de:42832
2019-10-06T04:26:55Z
7374617475733D756E707562
7375626A656374733D47:4733:473334
7375626A656374733D47:4733:473333
7375626A656374733D4D:4D32:4D3231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/42832/
Sold below value? Why some targets accept very low and even negative takeover premiums.
Weitzel, Utz
Kling, Gerhard
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G33 - Bankruptcy ; Liquidation
M21 - Business Economics
In our sample of 1,937 US mergers (1995 to 2011), 8.4 percent of all targets received oers with negative premiums where the initial bid undercuts the pre-announcement market price. We theoretically show that target overvaluation, market liquidity and `hidden earnouts', where target shareholders participate in the bidder's share of joint synergies, can explain negative premiums. Empirical tests provide substantial support for overvaluation and hidden earnouts, but only weak support for market liquidity. Moreover, we show that the theory for negative premiums generalizes to positive premiums and predicts lower values for most premiums below the median.
2012-11-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/42832/1/MPRA_paper_42832.pdf
Weitzel, Utz and Kling, Gerhard (2012): Sold below value? Why some targets accept very low and even negative takeover premiums.
en
oai:mpra.ub.uni-muenchen.de:43002
2019-09-26T09:05:14Z
7374617475733D756E707562
7375626A656374733D47:4733:473334
7375626A656374733D47:4733:473333
7375626A656374733D4D:4D32:4D3231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/43002/
Sold below value? Why some targets accept very low and even negative takeover premiums.
Weitzel, Utz
Kling, Gerhard
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G33 - Bankruptcy ; Liquidation
M21 - Business Economics
Although many studies acknowledge negative premiums, there exists no theoretical or dedicated empirical analysis of the phenomenon. In our sample of 1,937 US mergers (1995 to 2011), 8.4 percent of all targets received offers with negative premiums where the initial bid undercuts the pre-announcement market price. We theoretically show that target overvaluation, market liquidity and ‘hidden earnouts’, where target shareholders participate in the bidder’s share of joint synergies, can explain negative premiums. The theory for negative premiums also generalizes to very low premiums (VLPs), which include positive premiums. Empirical tests provide substantial support for explanations pertaining to overvaluation and hidden earnouts. As discriminating hypotheses we predict and confirm that target shareholders' market reaction to negative premiums with hidden earnouts (with overvaluation) is positive (negative). Relative size and method of payment play an important role. When a big target is paid with stock, a combination of hidden earnouts and VLPs can be the only way for the bidder to prevent loss of control. Our explanations for VLPs predict lower values for most premiums below the median and thus apply to a significant proportion of the takeover market.
2012-11-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/43002/3/MPRA_paper_43002.pdf
Weitzel, Utz and Kling, Gerhard (2012): Sold below value? Why some targets accept very low and even negative takeover premiums.
en
oai:mpra.ub.uni-muenchen.de:44166
2019-09-26T19:07:23Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D46:4633:463330
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44166/
Behind the Greek default and restructuring of 2012
Porzecanski, Arturo C.
F34 - International Lending and Debt Problems
F30 - General
G33 - Bankruptcy ; Liquidation
F33 - International Monetary Arrangements and Institutions
The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a long time and failed to carry out needed structural reforms that could have improved economic growth prospects and enhanced the country’s creditworthiness. Therefore, a default and debt restructuring were inevitable sooner or later—and certainly so once the financial markets were informed, as happened in October 2009, that prior governments had underestimated their budget deficit and public debt figures. The prosaic tale of the supposed inevitability of the Greek tragedy has been endorsed, for example, by a prominent economic historian: “Since independence in the 1830s, Greece has been in a state of default about 50 percent of the time. Does that tell you something?” In reality, Greece’s road to default and debt restructuring in 2012 was not at all straightforward—and there was no historical inevitability about it, either.
2012-09-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44166/1/MPRA_paper_44166.pdf
Porzecanski, Arturo C. (2012): Behind the Greek default and restructuring of 2012.
en
oai:mpra.ub.uni-muenchen.de:44178
2019-09-26T12:31:41Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D46:4633:463330
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44178/
Behind the Greek default and restructuring of 2012
Porzecanski, Arturo C.
F34 - International Lending and Debt Problems
F30 - General
G33 - Bankruptcy ; Liquidation
F33 - International Monetary Arrangements and Institutions
The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a long time and failed to carry out needed structural reforms that could have improved economic growth prospects and enhanced the country’s creditworthiness. Therefore, a default and debt restructuring were inevitable sooner or later—and certainly so once the financial markets were informed, as happened in October 2009, that prior governments had underestimated their budget deficit and public debt figures. The prosaic tale of the supposed inevitability of the Greek tragedy has been endorsed, for example, by a prominent economic historian: “Since independence in the 1830s, Greece has been in a state of default about 50 percent of the time. Does that tell you something?” In reality, Greece’s road to default and debt restructuring in 2012 was not at all straightforward—and there was no historical inevitability about it, either.
2012-09-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44178/1/MPRA_paper_44178.pdf
Porzecanski, Arturo C. (2012): Behind the Greek default and restructuring of 2012.
en
oai:mpra.ub.uni-muenchen.de:44208
2019-09-26T08:32:19Z
7374617475733D696E7072657373
7375626A656374733D45:4533:453332
7375626A656374733D44:4432:443232
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44208/
PKB a upadłość
Staszkiewicz, Piotr W.
E32 - Business Fluctuations ; Cycles
D22 - Firm Behavior: Empirical Analysis
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
F36 - Financial Aspects of Economic Integration
The correlation analysis was conducted on dynamic of GDP and company failure rate for Poland, Europe and USA for the period 2003-2011; it was found a negative correlation. An analysis was undertaken for the relation between the rate of corporate failure in Poland and the rate of change of overall company’s net turnover profitability - no statistically significant correlation was observed. An alternative significant variable was pointed out for a linear regression model. Results of others authors were partly confirmed. A proposal for further research was outlined.
2013-01-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44208/1/MPRA_paper_44208.pdf
Staszkiewicz, Piotr W. (2013): PKB a upadłość. Forthcoming in:
pl
oai:mpra.ub.uni-muenchen.de:44210
2019-09-27T06:03:39Z
7374617475733D696E7072657373
7375626A656374733D4C:4C31:4C3134
7375626A656374733D4D:4D34:4D3431
7375626A656374733D4F:4F31:4F3136
7375626A656374733D4B:4B32:4B3233
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4732:473234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44210/
Veryfication of the disclosure lemma for Polish broker-dealer market
Staszkiewicz, Piotr W.
L14 - Transactional Relationships ; Contracts and Reputation ; Networks
M41 - Accounting
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
K23 - Regulated Industries and Administrative Law
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
The paper presents the approach for the verification of the lemma used for the model for reputation risk for subsidiaries of non-public group with reciprocal shareholding as proposed by the author in priory works. For all entities with the absolute value of the reputation risk greater than the entity’s materiality the reputation risk management system should be in place . The entire population of the Polish broker-dealers market was investigated. Based on the accounting assessment of the materiality, market value of the consolidated equity for listed groups and BASEL II disclosure a verification procedure was designed. Based on the procedure, the lemma was confirmed.
2012-10-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44210/1/MPRA_paper_44210.pdf
Staszkiewicz, Piotr W. (2012): Veryfication of the disclosure lemma for Polish broker-dealer market. Forthcoming in:
en
oai:mpra.ub.uni-muenchen.de:44262
2019-09-29T21:04:35Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44262/
Predicting corporate bankruptcy using a self-organizing map: An empirical study to improve the forecasting horizon of a financial failure model
du Jardin, Philippe
Séverin, Eric
C51 - Model Construction and Estimation
G33 - Bankruptcy ; Liquidation
The aim of this study is to show how a Kohonen map can be used to increase the forecasting horizon of a financial failure model. Indeed, most prediction models fail to forecast accurately the occurrence of failure beyond one year, and their accuracy tends to fall as the prediction horizon recedes. So we propose a new way of using a Kohonen map to improve model reliability. Our results demonstrate that the generalization error achieved with a Kohonen map remains stable over the period studied, unlike that of other methods, such as discriminant analysis, logistic regression, neural networks and survival analysis, traditionally used for this kind of task.
2011
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44262/1/MPRA_paper_44262.pdf
du Jardin, Philippe and Séverin, Eric (2011): Predicting corporate bankruptcy using a self-organizing map: An empirical study to improve the forecasting horizon of a financial failure model. Published in: Decision Support Systems , Vol. 51, No. 3 (2011): pp. 701-711.
en
oai:mpra.ub.uni-muenchen.de:44290
2019-10-02T16:53:27Z
7374617475733D756E707562
7375626A656374733D4B:4B32
7375626A656374733D4D:4D34:4D3431
7375626A656374733D4D:4D34:4D3432
7375626A656374733D47:4733
7375626A656374733D47:4732:473234
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44290/
Mechanizm wczesnego ostrzegania firm inwestycyjnych
Staszkiewicz, Piotr W.
K2 - Regulation and Business Law
M41 - Accounting
M42 - Auditing
G3 - Corporate Finance and Governance
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G33 - Bankruptcy ; Liquidation
The entire market of Polish financial broker-dealer was examined. The research was conducted on the first year of implementation of the capital requirements disclosure. There was identified a relation between accounting and supervisory disclosure requirements. A relation between audit opinions in 2009 and 2010, as well SREP results and audit opinions 2010 was detected. There was a relation identified between type of audit opinion and SREP ranking. The relation of SREP rating and breach of capital requirement was described.. A supervisory early warning mechanism for capital deficiency was identified. A financial statement disclosure mechanism has been reconciled to the supervisory one. A further research ideas were outlined.
2013-02-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44290/1/MPRA_paper_44290.pdf
Staszkiewicz, Piotr W. (2013): Mechanizm wczesnego ostrzegania firm inwestycyjnych.
pl
oai:mpra.ub.uni-muenchen.de:44375
2019-09-27T07:28:53Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4335:433531
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44375/
Predicting bankruptcy using neural networks and other classification methods: the influence of variable selection techniques on model accuracy
du Jardin, Philippe
C45 - Neural Networks and Related Topics
C51 - Model Construction and Estimation
G33 - Bankruptcy ; Liquidation
We evaluate the prediction accuracy of models designed using different classification methods depending on the technique used to select variables, and we study the relationship between the structure of the models and their ability to correctly predict financial failure. We show that a neural network based model using a set of variables selected with a criterion that it is adapted to the network leads to better results than a set chosen with criteria used in the financial literature. We also show that the way in which a set of variables may represent the financial profiles of healthy companies plays a role in Type I error reduction.
2010
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44375/1/MPRA_paper_44375.pdf
du Jardin, Philippe (2010): Predicting bankruptcy using neural networks and other classification methods: the influence of variable selection techniques on model accuracy. Published in: Neurocomputing , Vol. 73, No. 10-12 (2010): pp. 2047-2060.
en
oai:mpra.ub.uni-muenchen.de:44379
2019-09-27T10:11:44Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44379/
Dynamic analysis of the business failure process: A study of bankruptcy trajectories
du Jardin, Philippe
Séverin, Eric
C45 - Neural Networks and Related Topics
G33 - Bankruptcy ; Liquidation
This study examines a method of analyzing the dynamics of financial failure. Using a large amount of data and a Kohonen map, we show how to depict company trajectories of behavior and movement to terminal failure We also show how to analyze these trajectories to describe and understand the dynamics of bankruptcy and how to use them as a diagnostic tool.
2010-07-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44379/1/MPRA_paper_44379.pdf
du Jardin, Philippe and Séverin, Eric (2010): Dynamic analysis of the business failure process: A study of bankruptcy trajectories. Published in: Proceedings of the 6th Portuguese Finance Network Conference, Ponta Delgada, Azores , Vol. 2010, (1 July 2010)
en
oai:mpra.ub.uni-muenchen.de:44380
2019-09-26T09:48:12Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4335:433533
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44380/
Bankruptcy prediction models: How to choose the most relevant variables?
du Jardin, Philippe
C45 - Neural Networks and Related Topics
C53 - Forecasting and Prediction Methods ; Simulation Methods
G33 - Bankruptcy ; Liquidation
This paper is a critical review of the variable selection methods used to build empirical bankruptcy prediction models. Recent decades have seen many papers on modeling techniques, but very few about the variable selection methods that should be used jointly or about their fit. This issue is of concern because it determines the parsimony and economy of the models and thus the accuracy of the predictions. We first analyze those variables that are considered the best bankruptcy predictors, then present variable selection and review the main variable selection techniques used to design financial failure models. Finally, we discuss the way these techniques are commonly used, and we highlight the problems that may occur with some non-linear methods.
2009-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44380/1/MPRA_paper_44380.pdf
du Jardin, Philippe (2009): Bankruptcy prediction models: How to choose the most relevant variables? Published in: Bankers, Markets & Investors No. 98 (January 2009): pp. 39-46.
en
oai:mpra.ub.uni-muenchen.de:44383
2019-09-28T13:37:34Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4335:433533
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44383/
The influence of variable selection methods on the accuracy of bankruptcy prediction models
du Jardin, Philippe
C45 - Neural Networks and Related Topics
C53 - Forecasting and Prediction Methods ; Simulation Methods
G33 - Bankruptcy ; Liquidation
Over the last four decades, bankruptcy prediction has given rise to an extensive body of literature, the aim of which was to assess the conditions under which forecasting models perform effectively. Of all the parameters that may influence model accuracy, one has rarely been discussed: the influence of the variable selection method. The aim of our research is to evaluate the prediction accuracy of models designed with various classification techniques and variables selection methods. As a result, we demonstrate that a search strategy cannot be designed without considering the characteristics of the modeling technique and that the fit between the variable selection method and the technique used to design models is a key factor in performance.
2012-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44383/1/MPRA_paper_44383.pdf
du Jardin, Philippe (2012): The influence of variable selection methods on the accuracy of bankruptcy prediction models. Published in: Bankers, Markets & Investors No. 116 (January 2012): pp. 20-39.
en
oai:mpra.ub.uni-muenchen.de:44384
2019-09-28T14:48:42Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4335:433533
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44384/
Bankruptcy prediction and neural networks: The contribution of variable selection methods
du Jardin, Philippe
C45 - Neural Networks and Related Topics
C53 - Forecasting and Prediction Methods ; Simulation Methods
G33 - Bankruptcy ; Liquidation
Of the methods used to build bankruptcy prediction models in the last twenty years, neural networks are among the most challenging. Despite the characteristics of neural networks, most of the research done until now has not taken them into consideration for building financial failure models, nor for selecting the variables to be included in the models. The aim of our research is to establish that to improve the prediction accuracy of the models, variable selection techniques developed specifically for neural networks may well offer a useful alternative to conventional methods.
2008-09-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44384/1/MPRA_paper_44384.pdf
du Jardin, Philippe (2008): Bankruptcy prediction and neural networks: The contribution of variable selection methods. Published in: Proceedings of the Second European Symposium on Time Series Prediction (Estsp 2008), Helsinki University of Technology, Porvoo, Finland, (2008): pp. 271-284.
en
oai:mpra.ub.uni-muenchen.de:47104
2019-09-26T19:29:08Z
7374617475733D756E707562
7375626A656374733D45:4534:453434
7375626A656374733D47:4731:473132
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47104/
An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
Xiao, Tim
E44 - Financial Markets and the Macroeconomy
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
This paper presents a new framework for credit value adjustment (CVA) that is a relatively new area of financial derivative modeling and trading. In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself, as the default time is usually inaccessible. As such, the model can achieve a high order of accuracy with a relatively easy implementation. We find that the prices of risky contracts are normally determined via backward induction when their payoffs could be positive or negative. Moreover, the model can naturally capture wrong or right way risk.
2013-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47104/1/MPRA_paper_47104.pdf
Xiao, Tim (2013): An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk.
en
oai:mpra.ub.uni-muenchen.de:47105
2019-10-06T20:24:00Z
7374617475733D756E707562
7375626A656374733D45:4534:453434
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473234
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47105/
An Economic Examination of Collateralization in Different Financial Markets
Xiao, Tim
E44 - Financial Markets and the Macroeconomy
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G18 - Government Policy and Regulation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G28 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean decomposition of prices into their credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts. We also analyze the difference between cleared and OTC markets.
2012-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47105/1/MPRA_paper_47105.pdf
Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.
en
oai:mpra.ub.uni-muenchen.de:47136
2019-09-27T02:24:54Z
7374617475733D756E707562
7375626A656374733D45:4534:453434
7375626A656374733D47:4731:473132
7375626A656374733D47:4732:473231
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47136/
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim
E44 - Financial Markets and the Macroeconomy
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G33 - Bankruptcy ; Liquidation
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some well-known risky valuation models in the markets can be viewed as special cases of this framework. We introduce the concept of comvariance (or comrelation) into the area of credit risk modeling to capture the default relationship among three or more parties. Accounting for default correlations and comrelations becomes important, especially during the credit crisis. Moreover, we find that collateralization works well for financial instruments subject to bilateral credit risk, but fails for ones subject to multilateral credit risk.
2013-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47136/1/MPRA_paper_47136.pdf
Xiao, Tim (2013): The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling.
en
oai:mpra.ub.uni-muenchen.de:47371
2019-10-06T20:24:05Z
7374617475733D756E707562
7375626A656374733D45:4534:453434
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473234
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47371/
An Economic Examination of Collateralization in Different Financial Markets
Xiao, Tim
E44 - Financial Markets and the Macroeconomy
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G18 - Government Policy and Regulation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G28 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Tim Xiao: This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean decomposition of prices into their credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts. We also analyze the difference between cleared and OTC markets.
2012-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47371/1/MPRA_paper_47371.pdf
Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.
en
oai:mpra.ub.uni-muenchen.de:47429
2019-09-28T23:50:46Z
7374617475733D707562
7375626A656374733D45:4534:453432
7375626A656374733D45:4535
7375626A656374733D45:4535:453538
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4732:473239
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47429/
CPSS Core Principles for Payment Systems.
Heinrich, Gregor
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E58 - Central Banks and Their Policies
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G29 - Other
G33 - Bankruptcy ; Liquidation
There are a number of international initiatives that have the goal of improving or maintaining financial stability by strengthening financial infrastructure. The Committee on Payment and Settlement Systems (CPSS) contributed to this process through its work on developing Core Principles for systemically important payment systems (Core Principles).
The paper outlines the rationale for the Core Principles, describes the process that led to their publication, describes the scope of the Principles, and offers some thoughts on their implementation.
(article taken from a conference volume. The papers published in this volume are based on an IMF seminar held in 2000 that covered a broad range of topics on monetary and financial law, such as the liberalization of capital movements, data dissemination, responsibilities of central banks, and the IMF’s goals in financial surveillance and architecture)
2003-10-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47429/1/MPRA_paper_47429.pdf
Heinrich, Gregor (2003): CPSS Core Principles for Payment Systems. Published in: Current Developments in Monetary and Financial Law , Vol. 2, (30 October 2003): pp. 691-722.
en
oai:mpra.ub.uni-muenchen.de:47442
2019-09-29T10:17:22Z
7374617475733D756E707562
7375626A656374733D47:4730:473031
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473338
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47442/
Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model
Sinha, Pankaj
Sharma, Sakshi
Sondhi, Kriti
G01 - Financial Crises
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
G38 - Government Policy and Regulation
The most pernicious effect of the global financial crisis is that it triggers a sequence of unpleasant consequences for the banking sector and for the entire economy as a whole. The recent financial crisis has compelled regulators to focus on the necessity of resilience of banks towards risks and sudden financial shocks. The riskiness of banks assets and its equity are two important factors for valuation of banks. These risks can be incorporated in market valuation only through Black-Scholes-Merton Model. This paper uses Black-Scholes-Merton option valuation approach for calculation of the market value and volatility of bank’s assets for a random sample of 13 Public and 8 Private sector banks in India over the period from March 2003 to March 2012. Further, it calculates yearly Z-score for each bank, allowing for capital adequacy as per the Basel II and III norms, for the periods before and after 2008 financial crisis. The obtained Z-scores suggest that the Indian banks are far from default and the impact of global recession of 2008 on the banks solvency was insignificant. All the Indian banks have market value to enterprise value ratio typically in the range of 93 to 99 per cent, suggesting that market value of bank’s assets obtained from Black-Scholes-Merton is characteristically below its enterprise value since market value considers the riskiness of the equity and assets both. It is found that the volatility of banks assets is significantly different for public and private sector banks over the period of study. Investigation of NPA to Total Assets reveals that presently NPA levels of the public sector banks are increasing whereas it is declining for the private sector banks.
2013-06-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47442/1/MPRA_paper_47442.pdf
Sinha, Pankaj and Sharma, Sakshi and Sondhi, Kriti (2013): Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model.
en
oai:mpra.ub.uni-muenchen.de:47444
2019-10-02T21:32:19Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473232
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/47444/
El seguro de depósito dentro de la red de seguridad financiera.
Heinrich, Gregor
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
The text explores generally whether recommendations relating to deposit insurance are international guidleines or mandatory rules, explores the role of deposit insurance as one of several elements in the financial safety net, and
offers an outlook to a future with more research and cross-border cooperation and coordination.
(The text was prepared for the 4th Conference and Annual Meeting of the Latin America Regional Committee of IADI, “Retos y Experiencias Recientes de los Sistemas de Seguro de Depósitos de la Región”, San Salvador, República de El Salvador, 23-24 August de 2007, and made available via the website of the IGD.)
2007-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/47444/1/MPRA_paper_47444.pdf
Heinrich, Gregor (2007): El seguro de depósito dentro de la red de seguridad financiera.
es
oai:mpra.ub.uni-muenchen.de:48376
2019-09-28T21:52:22Z
7374617475733D756E707562
7375626A656374733D43:4331:433132
7375626A656374733D43:4332:433232
7375626A656374733D43:4332:433235
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48376/
Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy
Sant'Anna, Pedro H. C.
C12 - Hypothesis Testing: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
This article proposes a new diagnostic test for dynamic count models, which is well suited for risk management. Our test proposal is of the Portmanteau-type test for lack of residual autocorrelation. Unlike previous proposals, the resulting test statistic is asymptotically pivotal when innovations are uncorrelated, but not necessarily iid nor a martingale difference. Moreover, the proposed test is able to detect local alternatives converging to the null at the parametric rate T^{1/2}, with T the sample size.The finite sample performance of the test statistic is examined by means of a Monte Carlo experiment. Finally, using a dataset on U.S. corporate bankruptcies, we apply our test proposal to check if common risk models are correctly specified.
2013-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48376/1/MPRA_paper_48376.pdf
Sant'Anna, Pedro H. C. (2013): Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy.
en
oai:mpra.ub.uni-muenchen.de:48429
2019-10-05T05:45:10Z
7374617475733D756E707562
7375626A656374733D43:4331:433132
7375626A656374733D43:4332:433232
7375626A656374733D43:4332:433235
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48429/
Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy
Sant'Anna, Pedro H. C.
C12 - Hypothesis Testing: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
This article proposes a new diagnostic test for dynamic count models, which is well suited for risk management. Our test proposal is of the Portmanteau-type test for lack of residual autocorrelation. Unlike previous proposals, the resulting test statistic is asymptotically pivotal when innovations are uncorrelated, but not necessarily iid nor a martingale difference. Moreover, the proposed test is able to detect local alternatives converging to the null at the parametric rate T^{1/2}, with T the sample size.The finite sample performance of the test statistic is examined by means of a Monte Carlo experiment. Finally, using a dataset on U.S. corporate bankruptcies, we apply our test proposal to check if common risk models are correctly specified.
2013-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48429/8/MPRA_paper_48429.pdf
Sant'Anna, Pedro H. C. (2013): Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy.
en
oai:mpra.ub.uni-muenchen.de:49121
2019-09-27T13:28:56Z
7374617475733D696E7072657373
7375626A656374733D43:4335:433533
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/49121/
CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm
Bławat, Bogusław
C53 - Forecasting and Prediction Methods ; Simulation Methods
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In the presented paper, the author tried to introduce a new initiative in risk assessment of companies' financial difficulties, which arise in the RMI CRI in Singapore under the guidance of prof. Jin-Chuan Duan. This initiative and proposed based on Poisson process theoretical model is available on a public good principle, and its updated daily results published on the RMI website.
The work consists of two parts, in which after the discussion of the main existing theoretical models, the assumptions, parameter estimation, calibration and selection of input data for the CRI RMI model is presented in detail.
2012-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/49121/1/MPRA_paper_49121.pdf
Bławat, Bogusław (2012): CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm. Forthcoming in:
pl
oai:mpra.ub.uni-muenchen.de:51109
2019-09-26T10:59:34Z
7374617475733D707562
7375626A656374733D47:4730:473030
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473338
7375626A656374733D4B:4B32
7375626A656374733D4B:4B32:4B3232
7375626A656374733D4B:4B32:4B3233
7375626A656374733D4B:4B34:4B3430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51109/
The Impact of the Dodd-Frank Act on Small Banks
Alqatawni, Tahsen
G00 - General
G33 - Bankruptcy ; Liquidation
G38 - Government Policy and Regulation
K2 - Regulation and Business Law
K22 - Business and Securities Law
K23 - Regulated Industries and Administrative Law
K40 - General
The Dodd-Frank Act is single longest bill ever passed by the U.S… The Dodd-Frank Act passed in reply to the latest financial meltdown, which applies to prevent further fraud and abuse in the markets, also geared toward protecting consumers with regulations like keeping borrowers from abusive lending conditions and mortgage practices by lenders. Dodd-Frank regulatory requirements set too many restrictions on local lenders and appraisers and that the Act created for large banks "too-big-to-fail”. However, the small banks, which do not fit neatly into standardized financial modeling, will face unintended consequences, as increased operations costs, which lead to reduced income and limited potential growth. The Act created enormous difficulties on small banks, which has little to do with the financial crisis.
2013-10-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51109/1/MPRA_paper_51109.pdf
Alqatawni, Tahsen (2013): The Impact of the Dodd-Frank Act on Small Banks. Published in: Social Science Research Network , Vol. 10, No. 2347812 (30 October 2013): pp. 1-10.
en
oai:mpra.ub.uni-muenchen.de:53373
2019-09-28T06:21:09Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473135
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53373/
Pricing Default Risk: The Good, The Bad, and The Anomaly
Ferreira Filipe, Sara
Grammatikos, Theoharry
Michala, Dimitra
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G15 - International Financial Markets
G33 - Bankruptcy ; Liquidation
While the empirical literature has often documented a “default anomaly”, i.e. a negative relation between default risk and stock returns, standard theory suggests that default risk should be priced in the cross-section. In this paper, we provide an explanation for this apparent puzzle using a new approach. First we calculate monthly physical probabilities of default (PDs) for a large sample of European firms. Second we decompose these estimated PDs into systematic and idiosyncratic components; we measure the systematic part as the sensitivity of the physical PD to an aggregate measure of default risk. While sorting stocks based on physical PDs confirms a possible default anomaly, we find that the relation between the systematic default risk and stock returns is in fact positive. Our results therefore suggest that risker stocks, as measured by the physical PDs, will tend to underperform because they have on average lower exposures to aggregate default risk. Their riskiness is mostly idiosyncratic and can be diversified away.
2014-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53373/1/MPRA_paper_53373.pdf
Ferreira Filipe, Sara and Grammatikos, Theoharry and Michala, Dimitra (2014): Pricing Default Risk: The Good, The Bad, and The Anomaly.
en
oai:mpra.ub.uni-muenchen.de:53572
2019-09-29T11:07:09Z
7374617475733D756E707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4334:433431
7375626A656374733D43:4335:433533
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53572/
Forecasting Distress in European SME Portfolios
Ferreira Filipe, Sara
Grammatikos, Theoharry
Michala, Dimitra
C13 - Estimation: General
C41 - Duration Analysis ; Optimal Timing Strategies
C53 - Forecasting and Prediction Methods ; Simulation Methods
G33 - Bankruptcy ; Liquidation
In the European Union, small and medium sized enterprises (SMEs) represent 99% of all businesses and contribute to more than half of the total value-added. In this paper, we develop distress prediction models for SMEs using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that the first discriminate between healthy and distressed firms based on their relative level of risk, whereas the second move the overall distress rates. Moreover, SMEs across Europe are vulnerable to the same idiosyncratic factors but systematic factors vary in different regions. Also, micro SMEs are more vulnerable to these systematic factors compared to larger SMEs.
The paper contributes to the literature in several ways. First, using a sample with many micro companies, it offers unique insights into the European small business sector. Second, it is the first paper to explore distress in a multi-country setting, allowing for regional comparisons and uncovering regional vulnerabilities. Third, by incorporating systematic dependencies, the models can capture changes in overall distress rates and comovements during economic cycles.
2014-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53572/1/MPRA_paper_53572.pdf
Ferreira Filipe, Sara and Grammatikos, Theoharry and Michala, Dimitra (2014): Forecasting Distress in European SME Portfolios.
en
oai:mpra.ub.uni-muenchen.de:53869
2019-10-04T06:43:19Z
7374617475733D756E707562
7375626A656374733D43:4338:433830
7375626A656374733D43:4338:433831
7375626A656374733D43:4338:433832
7375626A656374733D43:4338:433839
7375626A656374733D44:4438
7375626A656374733D44:4438:443835
7375626A656374733D45:4530:453031
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D59:5931
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53869/
National Data Centre and Financial Statistics Office: A Conceptual Design for Public Data Management
Cakir, Murat
C80 - General
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
C89 - Other
D8 - Information, Knowledge, and Uncertainty
D85 - Network Formation and Analysis: Theory
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Y1 - Data: Tables and Charts
Data processes run by states, governments and the like have been a great deal and as old as the modern human history. Data had always been important. Tons were collected and siloed, but never in the past had its importance been felt as much as it had been when the last crisis broke out in 2008. Because these tons of data either, as some were redundant and occupying large spaces with huge storage costs, were not useful given the processing power and due to outdated mind-sets, or were not even the tiniest portion of the data necessary to do analysis , the experts realised. With the advances in the digital world dealing with data has become easier. Combined with the urgent needs and demands from the bottom up and top down there now is more enlightened and educated perception of data and whatever its extensions are, and its / their potential use, though a little bit late. In the late 90s, however, things were not as computerised and DataeXve was not as Big as it is today, and manual operations dominated the automated ones. There were definitely inefficiencies in DataeXve. Still, even then, there were efforts to improve these processes. This work focuses on one of those early efforts.
2014-01-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53869/1/MPRA_paper_53869.pdf
Cakir, Murat (2014): National Data Centre and Financial Statistics Office: A Conceptual Design for Public Data Management.
en
oai:mpra.ub.uni-muenchen.de:53885
2019-10-05T14:14:32Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
7375626A656374733D47:4731:473134
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53885/
Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz
Yildizhan, Celim
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G33 - Bankruptcy ; Liquidation
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike previously used measures that proxy for a firm’s physical probability of default, credit spreads proxy for a risk-adjusted default
probability and thereby explicitly account for the non-diversifiable component of distress risk. In contrast to prior findings in the literature, we find that stocks that have higher credit risk premia, that is stocks with higher systematic default risk exposures, have higher expected equity returns which are largely explained by the market factor. We confirm the robustness of these results by using an alternative systematic default risk factor for firms that do not have bonds outstanding. Consistent with the theoretical result in George and Hwang (2010), we also show that firms react to increases in their systematic default risk exposures by reducing their leverage, leading to lower physical probabilities of distress. Our results show no evidence of firms with high systematic default risk exposure delivering anomalously low returns.
2009-09-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53885/1/MPRA_paper_53885.pdf
Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.
en
oai:mpra.ub.uni-muenchen.de:53886
2019-09-26T23:03:55Z
7374617475733D756E707562
7375626A656374733D47:4733:473331
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C32:4C3235
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53886/
Customer-base concentration, profitability and distress across the corporate life cycle
Irvine, Paul
Park, Shawn Saeyeul
Yildizhan, Celim
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G33 - Bankruptcy ; Liquidation
L25 - Firm Performance: Size, Diversification, and Scope
M41 - Accounting
Using a recently expanded data set on supplier-customer links, we examine how customer concentration affects firm profitability. We find that the relation between customer concentration and firm profitability is more complex than recent literature suggests. We confirm that customer concentration promotes operating efficiencies for profitable firms. However, we find a different result for younger, less profitable firms where customer concentration impairs firm profitability and significantly increases distress risk. Thus, the relation between customer-base concentration and profitability is non-linear; it is significantly negative in the early years of a firm’s public life, turning positive as the relationship matures. The reason for this dynamic relation is that firms who serve a few major customers make customer-specific investments that result in larger fixed costs and greater operating leverage. These relatively high fixed costs mean that customer concentration is risky for young firms, but can significantly benefit the firm if the relationship survives.
2013-10-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53886/1/MPRA_paper_53886.pdf
Irvine, Paul and Park, Shawn Saeyeul and Yildizhan, Celim (2013): Customer-base concentration, profitability and distress across the corporate life cycle.
en
oai:mpra.ub.uni-muenchen.de:53940
2019-09-26T18:22:09Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
7375626A656374733D47:4731:473134
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53940/
Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz
Yildizhan, Celim
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G33 - Bankruptcy ; Liquidation
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike previously used measures that proxy for a firm’s physical probability of default, credit spreads proxy for a risk-adjusted default
probability and thereby explicitly account for the non-diversifiable component of distress risk. In contrast to prior findings in the literature, we find that stocks that have higher credit risk premia, that is stocks with higher systematic default risk exposures, have higher expected equity returns which are largely explained by the market factor. We confirm the robustness of these results by using an alternative systematic default risk factor for firms that do not have bonds outstanding. Consistent with the theoretical result in George and Hwang (2010), we also show that firms react to increases in their systematic default risk exposures by reducing their leverage, leading to lower physical probabilities of distress. Our results show no evidence of firms with high systematic default risk exposure delivering anomalously low returns.
2009-09-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53940/1/MPRA_paper_53885.pdf
Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.
en
oai:mpra.ub.uni-muenchen.de:53941
2019-09-26T11:15:55Z
7374617475733D756E707562
7375626A656374733D47:4733:473331
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C32:4C3235
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53941/
Customer-base concentration, profitability and distress across the corporate life cycle
Irvine, Paul
Park, Shawn Saeyeul
Yildizhan, Celim
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G33 - Bankruptcy ; Liquidation
L25 - Firm Performance: Size, Diversification, and Scope
M41 - Accounting
Using a recently expanded data set on supplier-customer links, we examine how customer concentration affects firm profitability. We find that the relation between customer concentration and firm profitability is more complex than recent literature suggests. We confirm that customer concentration promotes operating efficiencies for profitable firms. However, we find a different result for younger, less profitable firms where customer concentration impairs firm profitability and significantly increases distress risk. Thus, the relation between customer-base concentration and profitability is non-linear; it is significantly negative in the early years of a firm’s public life, turning positive as the relationship matures. The reason for this dynamic relation is that firms who serve a few major customers make customer-specific investments that result in larger fixed costs and greater operating leverage. These relatively high fixed costs mean that customer concentration is risky for young firms, but can significantly benefit the firm if the relationship survives.
2013-10-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53941/1/MPRA_paper_53886.pdf
Irvine, Paul and Park, Shawn Saeyeul and Yildizhan, Celim (2013): Customer-base concentration, profitability and distress across the corporate life cycle.
en
oai:mpra.ub.uni-muenchen.de:54109
2019-09-27T07:52:11Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D4B:4B32:4B3232
7375626A656374733D50:5033:503337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/54109/
Corporate Bankruptcies in Czech Republic, Slovakia, Croatia and Serbia
Janda, Karel
Rakicova, Anna
G33 - Bankruptcy ; Liquidation
K22 - Business and Securities Law
P37 - Legal Institutions ; Illegal Behavior
The corporate bankruptcies legal frameworks and their economic implications are compared for two pairs of post-communist countries (Czech Republic and Slovakia and Croatia and Serbia) originating from common federative republics. Their process of gradual divergence from the common legal and economic framework is shown. All four countries are identified as creditor friendly (Czech Republic, Croatia, Serbia) or neutral countries (Slovakia). The possibilities of further development of bankruptcy proceeding in these countries are outlined.
2014-03-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/54109/1/MPRA_paper_54109.pdf
Janda, Karel and Rakicova, Anna (2014): Corporate Bankruptcies in Czech Republic, Slovakia, Croatia and Serbia.
en
oai:mpra.ub.uni-muenchen.de:55024
2019-09-30T00:02:13Z
7374617475733D756E707562
7375626A656374733D43:4334:433431
7375626A656374733D47:4731:473137
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/55024/
Forecasting Bankruptcy with Incomplete Information
Xu, Xin
C41 - Duration Analysis ; Optimal Timing Strategies
G17 - Financial Forecasting and Simulation
G33 - Bankruptcy ; Liquidation
We propose new specifications that explicitly account for information noise in the input data of bankruptcy hazard models. The specifications are motivated by a theory of modeling credit risk with incomplete information (Duffie and
Lando [2001]). Based on over 2 million firm-months of data during 1979-2012, we demonstrate that our proposed specifications significantly improve both in-sample
model fit and out-of-sample forecasting accuracy. The improvements in forecasting accuracy are persistent throughout the 10-year holdout periods. The improvements are also robust to empirical setup, and are more
substantial in cases where information quality is a more serious problem. Our findings provide strong empirical support for using our proposed hazard specifications
in credit risk research and industry applications. They also reconcile conflicting empirical results in the literature.
2013-05-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/55024/1/MPRA_paper_55024.pdf
Xu, Xin (2013): Forecasting Bankruptcy with Incomplete Information.
en
oai:mpra.ub.uni-muenchen.de:55602
2019-09-28T01:06:43Z
7374617475733D756E707562
7375626A656374733D47:4730:473031
7375626A656374733D47:4730:473032
7375626A656374733D47:4731
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473137
7375626A656374733D47:4731:473138
7375626A656374733D47:4732
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4733
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/55602/
Systemic Liquidity Crisis with Dynamic Haircuts
Sever, Can
G01 - Financial Crises
G02 - Behavioral Finance: Underlying Principles
G1 - General Financial Markets
G15 - International Financial Markets
G17 - Financial Forecasting and Simulation
G18 - Government Policy and Regulation
G2 - Financial Institutions and Services
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G3 - Corporate Finance and Governance
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market
in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity
crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from 2007-09 crisis
for increasing haircuts with banking panic. In the benchmark model, I endogenize and update haircuts
dynamically during the period of stress. The results significantly differ from static haircut case. I show
that the gap in the impacts of haircut shocks between dynamic and static haircuts is persistent for
different experiments. I analyse the effects of connectivity, balance sheet and network positions of banks,
and liquidity level and distribution on crisis. As well as aggregate and idiosyncratic shocks, by considering
possible correlations on the asset sides of banks, I also introduce a shock hitting several banks at the
same time. This study may be useful for policy makers to predict the consequences of liquidity shocks
more accurately. The findings are also related to microprudential regulation on liquidity surcharge for
systemically important financial institutions (SIFI's) and produce policy recommendations on minimum
liquidity requirements.
2014-04-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/55602/1/MPRA_paper_55602.pdf
Sever, Can (2014): Systemic Liquidity Crisis with Dynamic Haircuts.
en
oai:mpra.ub.uni-muenchen.de:55975
2019-09-27T20:41:37Z
7374617475733D756E707562
7375626A656374733D43:4331:433130
7375626A656374733D43:4331:433133
7375626A656374733D43:4334:433435
7375626A656374733D43:4334:433436
7375626A656374733D43:4335:433538
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433639
7375626A656374733D43:4338:433831
7375626A656374733D43:4338:433838
7375626A656374733D43:4339:433930
7375626A656374733D44:4432:443231
7375626A656374733D44:4432:443232
7375626A656374733D44:4438:443831
7375626A656374733D44:4438:443832
7375626A656374733D47:4730:473031
7375626A656374733D47:4732:473231
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473339
7375626A656374733D4D:4D31:4D3139
7375626A656374733D4D:4D34:4D3431
7375626A656374733D4D:4D34:4D3439
7375626A656374733D59:5934:593430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/55975/
Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
Cakir, Murat
C10 - General
C13 - Estimation: General
C45 - Neural Networks and Related Topics
C46 - Specific Distributions ; Specific Statistics
C58 - Financial Econometrics
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C63 - Computational Techniques ; Simulation Modeling
C69 - Other
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
C88 - Other Computer Software
C90 - General
D21 - Firm Behavior: Theory
D22 - Firm Behavior: Empirical Analysis
D81 - Criteria for Decision-Making under Risk and Uncertainty
D82 - Asymmetric and Private Information ; Mechanism Design
G01 - Financial Crises
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G33 - Bankruptcy ; Liquidation
G39 - Other
M19 - Other
M41 - Accounting
M49 - Other
Y40 - Dissertations (unclassified)
Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the necessity for banks to employ internal rating systems among BASEL II criteria. Thus, risk assessment and internal rating systems criteria would be made operational by the individual European Union banking systems, by the end of 2007, and January 2008 in Turkey, at the latest.
Financial and operational information of the firms, makes up the input to the risk analysis. This information can be aggregated to portray the sectoral trends, and/or focused upon on a firm basis to understand firms’ financial behaviours. Finance theory summarizes firms’ risks under financial distress and firm failure. There have been a myriad of works under these two headings, particularly in the United States, after the Great Depression. While early studies have focused upon the differences in the financial ratios of financially sound and failed firms, especially with the advances in computing capacity, the last two decades have witnessed an increasing use of machine learning methods in the failure prediction. Therefore, machine learning methods can be considered as having great potential in failure prediction and being good candidates as decision aids for policy-making.
This study considers financial distress and firm failure on theoretical grounds, gives a compact but elaborate explanation of machine learning schemes, and analyzes the results of these schemes run with data obtained from the database of Real Sector Data Division of the Central Bank. Cost sensitive learning was given special attention in the analysis.
2005-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/55975/1/MPRA_paper_55975.pdf
Cakir, Murat (2005): Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz.
tr
oai:mpra.ub.uni-muenchen.de:56220
2019-10-05T04:56:38Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D4B:4B32:4B3232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/56220/
Défaut de paiement,Achat de consentement et efficience économique
Tarbalouti, Mr
G33 - Bankruptcy ; Liquidation
K22 - Business and Securities Law
The theoretical literature on the modes of the default and its implications on the rate of the default distinguishes two rules: the rule of the discharge allowing to exempt the debtor in case of failure and the rule of obligation of repayment of the debts by the debtor. Several theoretical arguments are divided as for the efficiency of these rules. This article shows that the purchase of consent, understood here as mode of resolution of the default, can reduce the rate of the default. We present then the consequences on of maximization of the value of the company.
2010
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/56220/1/MPRA_paper_56220.pdf
Tarbalouti, Mr (2010): Défaut de paiement,Achat de consentement et efficience économique.
fr
oai:mpra.ub.uni-muenchen.de:56257
2019-10-05T00:22:43Z
7374617475733D756E707562
7375626A656374733D47:4733:473333
7375626A656374733D4B:4B32:4B3232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/56257/
Les déterminants théoriques de la faillite de l’entrepreneur et l’efficience de l’allocation du risque juridique : un survol de littérature
Tarbalouti, Essaid
G33 - Bankruptcy ; Liquidation
K22 - Business and Securities Law
In this article, we develop the various theories which explain the determinants of the bankruptcy of the entrepreneur and the justifications of law to allocate this risk. We distinguish the theories from impulsive behavior or irrationality, the bad luck and the capacity to evaluate the risk of bankruptcy of the entrepreneur. We wonder on the economic bases of these determinants and about the impact of the corrections made by the rules of the law on economic efficiency.
2010-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/56257/1/MPRA_paper_56257.pdf
Tarbalouti, Essaid (2010): Les déterminants théoriques de la faillite de l’entrepreneur et l’efficience de l’allocation du risque juridique : un survol de littérature.
fr
oai:mpra.ub.uni-muenchen.de:56631
2019-10-16T07:50:02Z
7374617475733D756E707562
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
7375626A656374733D4B:4B34
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/56631/
DEFAUT DE PAIEMENT, COMPORTEMENT DE SAUVE-QUI-PEUT ET TRAITEMENT DES CREANCIERS
Tarbalouti, Essaid
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
K4 - Legal Procedure, the Legal System, and Illegal Behavior
This article analyzes the economic effeciency of legal rules of bankruptcy. It aims to answer the following question : do the legal rules of bankruptcy allow an efficient solution to the problem of sauve-qui-peut or opportunistic behavior inherent in bankruptcy firm ? I adopt a model of games theory between two creditors. I define the condition of strategic behavior emergency and demonstrate who bears the cost. I analyze the impact of legal rules on the reduction of the strategic behavior. I demonstrate none of these rules of law is adequate to solve the problem of bankruptcy efficiently. I provide a new rule of contrat, and show how my analysis of the contrat infuence the strategic behavior.
2013
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/56631/1/MPRA_paper_56631.pdf
Tarbalouti, Essaid (2013): DEFAUT DE PAIEMENT, COMPORTEMENT DE SAUVE-QUI-PEUT ET TRAITEMENT DES CREANCIERS.
fr
oai:mpra.ub.uni-muenchen.de:58435
2019-09-27T04:11:08Z
7374617475733D756E707562
7375626A656374733D47:4733:473331
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C32:4C3235
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58435/
Customer-base concentration, profitability and distress across the corporate life cycle
Irvine, Paul
Park, Shawn Saeyeul
Yildizhan, Celim
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G33 - Bankruptcy ; Liquidation
L25 - Firm Performance: Size, Diversification, and Scope
M41 - Accounting
Using a recently expanded data set on supplier-customer links, we examine how customer concentration affects firm profitability. We find that the relation between customer concentration and firm profitability is more complex than recent literature suggests. We confirm that customer concentration promotes operating efficiencies for profitable firms. However, we �find a different result for younger, less profitable �firms where customer concentration impairs firm profitability and can increase distress risk. We explain these differences by introducing a relationship life-cycle hypothesis wherein the relation between customer-base concentration and profitability is time-varying; being significantly negative in the early years of the relationship, and turning positive as the relationship matures. The key driver of this dynamic is the customer-specific investments the relationship entails. These investments result in larger �fixed costs and greater operating leverage early in the relationship, but can significantly benefit the firm as the relationship matures.
2013-10-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58435/1/MPRA_paper_58435.pdf
Irvine, Paul and Park, Shawn Saeyeul and Yildizhan, Celim (2013): Customer-base concentration, profitability and distress across the corporate life cycle.
en
oai:mpra.ub.uni-muenchen.de:58483
2019-09-27T13:20:32Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D47:4730:473031
7375626A656374733D47:4730:473032
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473137
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58483/
Financial crisis in The Arcades Project of Walter Benjamin
Estrada, Fernando
G0 - General
G01 - Financial Crises
G02 - Behavioral Finance: Underlying Principles
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G17 - Financial Forecasting and Simulation
G28 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems appropriate at a time when the financial crisis should be taught as a deeper crisis. Walter Benjamin is placed beyond its time, with a powerful sense of observation worthy of emulation analytical.
2014
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58483/1/MPRA_paper_58483.pdf
Estrada, Fernando (2014): Financial crisis in The Arcades Project of Walter Benjamin.
en
oai:mpra.ub.uni-muenchen.de:58803
2019-10-02T07:06:04Z
7374617475733D756E707562
7375626A656374733D41:4131:413130
7375626A656374733D43:4330:433031
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433538
7375626A656374733D47:4731:473133
7375626A656374733D47:4732:473231
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58803/
Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
Karkowska, Renata
A10 - General
C01 - Econometrics
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C58 - Financial Econometrics
G13 - Contingent Pricing ; Futures Pricing
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Systemic risk is a very important but very complex notion in banking and how to measure it
adequately is challenging. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure models credit risk of banks as a put option on bank assets, a tradition that originated with Merton. We conceive of an individual bank’s systemic risk as its contribution to the potential sector-wide net. In this regard, the analysis of public commercial banks operating in 7 countries from Central and Eastern Europe, shows potential risk which could threaten all the financial system. The paper shows how risk management tools can be applied in new ways to measure and analyze systemic risk in European banking system. The research results is a systemic risk map for the CEE banking systems. The study finds also instability of systemic risk determinants.
2014-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58803/1/MPRA_paper_58803.pdf
Karkowska, Renata (2014): Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis.
en
oai:mpra.ub.uni-muenchen.de:58819
2019-09-27T15:57:15Z
7374617475733D707562
7375626A656374733D43:4331
7375626A656374733D46:4633:463336
7375626A656374733D46:4636:463635
7375626A656374733D47:4732:473231
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58819/
The analytical framework for identifying and benchmarking systemically important financial institutions in Europe
Karkowska, Renata
C1 - Econometric and Statistical Methods and Methodology: General
F36 - Financial Aspects of Economic Integration
F65 - Finance
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
The aim of this article is to identify systemically important banks on a European scale, in accordance with the criteria proposed by the supervisory authorities. In this study we discuss the analytical framework for identifying and benchmarking systemically important financial institutions. An attempt to define systemically important institutions is specified their characteristics under the existing and proposed regulations. In a selected group of the largest banks in Europe the following indicators ie.: leverage, liquidity, capital ratio, asset quality and profitability are analyzed as a source of systemic risk. These figures will be confronted with the average value obtained in the whole group of commercial banks in Europe. It should help finding the answer to the question, whether the size of the institution generates higher systemic risk? The survey will be conducted on the basis of the financial statements of commercial banks in 2007 and 2010 with the available statistical tools, which should reveal the variability of risk indicators over time. We find that the largest European banks were characterized by relative safety and without excessive risk in their activities. Therefore, a fundamental feature of increased regulatory limiting systemic risk should understand the nature and sources of instability, and mobilizing financial institutions (large and small) to change their risk profile and business models in a way that reduces the instability of the financial system globally.
2014-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58819/1/MPRA_paper_58819.pdf
Karkowska, Renata (2014): The analytical framework for identifying and benchmarking systemically important financial institutions in Europe. Published in: Faculty of Management Working Paper Series No. 4/2014 (September 2014): pp. 1-19.
en
oai:mpra.ub.uni-muenchen.de:58848
2019-09-26T19:23:54Z
7374617475733D756E707562
7375626A656374733D47:4730:473030
7375626A656374733D47:4730:473031
7375626A656374733D47:4730:473032
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473137
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D47:4733:473338
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58848/
Rescate y costos del riesgo financiero
Estrada, Fernando
G00 - General
G01 - Financial Crises
G02 - Behavioral Finance: Underlying Principles
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G17 - Financial Forecasting and Simulation
G18 - Government Policy and Regulation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
G38 - Government Policy and Regulation
First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we accept-so conservatively that the risk exposure of a company is limited by its capital, while -ocasionales- external losses may adversely affect the general public, have placed to explain how and why the big break companies; or better understand why the big break also. In particular, considering the conditions to contain the risk foreseeable losses with positive externalities, then, what can happen with negative derivatives risk capital. Following Taleb / Tapiero, hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how failures occur in markets for the case of large firms, corporations or companies, and what are the criteria for regulation and rescue available to governments, institutions and citizens to control them.
2014
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58848/1/MPRA_paper_58848.pdf
Estrada, Fernando (2014): Rescate y costos del riesgo financiero.
es
oai:mpra.ub.uni-muenchen.de:59066
2019-09-27T05:03:35Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D43:4334:433436
7375626A656374733D43:4335:433538
7375626A656374733D43:4337:433732
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/59066/
Rescue costs and financial risk
Estrada, Fernando
C44 - Operations Research ; Statistical Decision Theory
C46 - Specific Distributions ; Specific Statistics
C58 - Financial Econometrics
C72 - Noncooperative Games
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G18 - Government Policy and Regulation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Following Taleb/Tapiero (2009) , the hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how failures occur in markets in the case of large firms, corporations or companies, and what are the criteria for regulation and rescue available to governments, institutions and citizens to control them.
2014
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/59066/1/MPRA_paper_59066.pdf
Estrada, Fernando (2014): Rescue costs and financial risk.
en
oai:mpra.ub.uni-muenchen.de:60787
2019-09-26T18:17:48Z
7374617475733D707562
7375626A656374733D47:4731
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/60787/
Assessing the Financial Failure Using Z-Score and Current Ratio: A Case of Sugar Sector Listed Companies of Karachi Stock Exchange
Ijaz, Muhammad Shahzad
Hunjra, Ahmed Imran
Hameed, Zahid
Maqbool, Adnan
Azam, Rauf i
G1 - General Financial Markets
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
Since 1968, after the development of multivariate model, financial health of the corporate sector to
predict their financial failure is heavily studied. Altman Z-Score is the most efficient model to judge the
financial failure of the companies. This study uses Altman’s Z-Score and current ratio to assess the financial status of sugar sector companies listed at Karachi stock exchange. Sugar sector is the second largest slice among all sectors listed at Karachi stock exchange. Total population sampling technique was used in this
study and all thirty five sugar sector listed companies at KSE were included in this study to get the deep
insights of the issue. State bank’s balance sheet analysis and companies’ financial reports were used to
compile the data for the years 2009 and 2010. The results of the study showed that current ratio and Altman’s
Z-Score are the reliable tool of assessing financial health of sugar sector listed companies of Karachi stock
exchange. This study further explores that there are financially distressed companies among sugar sector
listed companies.
2013-06-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/60787/1/MPRA_paper_60787.pdf
Ijaz, Muhammad Shahzad and Hunjra, Ahmed Imran and Hameed, Zahid and Maqbool, Adnan and Azam, Rauf i (2013): Assessing the Financial Failure Using Z-Score and Current Ratio: A Case of Sugar Sector Listed Companies of Karachi Stock Exchange. Published in: World Applied Sciences Journal , Vol. 23, No. 6 : pp. 863-870.
en
oai:mpra.ub.uni-muenchen.de:62751
2019-09-26T12:45:26Z
7374617475733D756E707562
7375626A656374733D47:4732:473230
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473232
7375626A656374733D47:4733:473330
7375626A656374733D47:4733:473331
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/62751/
Economic and legal advantages to business financing through the issuance of bonds
Sojeva, Diamanta
G20 - General
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G30 - General
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
In this paper we treat economic and legal advantages to firms in business financing through the issuance of bonds. Besides theoretical analysis paper includes the empirical analysis, a survey conducted in 50 businesses, including individual businesses and corporations, about the types of financing they use. The objective was to obtain necessary information regarding the form of business financing in our country. The research shows that the majority of businesses surveyed stated that they started businesses with the bank loans due to lack of own capital. Most of the businesses surveyed feel the need for new sources of funding. The majority of surveyed businesses have no knowledge on how capital markets work in practice. The use of alternative financing methods in Kosovo hinders the lack of adequate markets for the trading of financial instruments. There is not yet a legal infrastructure that regulates the functioning of the capital market, especially the issue of bonds as funding conduit of great importance for large companies. Through hypotheses testing is proved that the development of the capital market would give the firms the opportunity of issuance of bonds as a funding source.
2015-01-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/62751/1/MPRA_paper_62751.pdf
Sojeva, Diamanta (2015): Economic and legal advantages to business financing through the issuance of bonds.
en
oai:mpra.ub.uni-muenchen.de:64965
2019-09-26T18:34:37Z
7374617475733D756E707562
7375626A656374733D44:4438:443832
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473134
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C31:4C3134
7375626A656374733D4D:4D34
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/64965/
Firm Reputation and Cost of Debt Capital
Anginer, Deniz
Mansi, Sattar
Warburton, A. Joseph
Yildizhan, Celim
D82 - Asymmetric and Private Information ; Mechanism Design
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
L14 - Transactional Relationships ; Contracts and Reputation ; Networks
M4 - Accounting and Auditing
We examine the relation between firm reputation and the cost of debt financing. We posit that corporate reputation represents “soft information” not captured by balance sheet variables, which is nonetheless valuable to lenders. Using Fortune magazine’s survey of company reputation, we find an inverse relation between a company’s reputation and its bond credit spreads. We also find that firms with high reputation face less stringent covenants and are less likely to be the target of SEC fraud investigations. Further testing shows that bad reputation is a good ex ante predictor of corporate failure. Our study provides evidence that firm reputation is an important consideration in the pricing of corporate public debt.
2011-06-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/64965/1/MPRA_paper_64965.pdf
Anginer, Deniz and Mansi, Sattar and Warburton, A. Joseph and Yildizhan, Celim (2011): Firm Reputation and Cost of Debt Capital.
en
oai:mpra.ub.uni-muenchen.de:65679
2019-09-28T04:01:26Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433232
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D45:4533:453332
7375626A656374733D45:4533:453337
7375626A656374733D47:4733:473333
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/65679/
Endogenous derivation and forecast of lifetime PDs
Perederiy, Volodymyr
C11 - Bayesian Analysis: General
C13 - Estimation: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
E32 - Business Fluctuations ; Cycles
E37 - Forecasting and Simulation: Models and Applications
G33 - Bankruptcy ; Liquidation
M41 - Accounting
This paper proposes a simple technical approach for the derivation of future (forward) point-in-time PD forecasts, with minimal data requirements. The inputs required are the current and future through-the-cycle PDs of the obligors, their last known default rates, and a measure for the systematic dependence of the obligors. Technically, the forecasts are made from within a classical asset-based credit portfolio model, just with the assumption of a suitable autoregressive process for the systematic factor. The paper discusses in detail the practical issues of implementation, in particular the parametrization alternatives.
The paper also shows how the approach can be naturally extended to low-default portfolios with volatile default rates, using Bayesian methodology. Furthermore, the expert judgments about the current macroeconomic state, although not necessary for the forecasts, can be embedded using the Bayesian technique.
The presented forward PDs can be used for the derivation of lifetime credit losses required by the new accounting standard IFRS 9. In doing so, the presented approach is endogenous, as it does not require any exogenous macroeconomic forecasts which are notoriously unreliable and often subjective.
2015-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/65679/1/MPRA_paper_65679.pdf
Perederiy, Volodymyr (2015): Endogenous derivation and forecast of lifetime PDs.
en
oai:mpra.ub.uni-muenchen.de:66150
2019-09-27T06:12:40Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D47:4732:473238
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C32:4C3235
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/66150/
What happened to profitability? Shocks, challenges and perspectives for euro area banks
Cheng, Gong
Mevis, Dirk
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G28 - Government Policy and Regulation
G33 - Bankruptcy ; Liquidation
L25 - Firm Performance: Size, Diversification, and Scope
This paper uses a newly constructed dataset including financial statement information of 311 banks in the euro area to analyse the evolution of bank profitability before and after the Global Financial Crisis and the subsequent European crisis. We first document the general trends in the changes in banks' profitability with a particular focus on country and bank heterogeneity. We find that the profitability of banks in different parts of the monetary union was hit by multiple shocks of different nature. Based on this, we then propose an econometric analysis of the drivers behind the evolution of bank profitability by discriminating factors relative to macroeconomic conditions, bank funding and portfolio structures, and new banking regulations in the euro area.
2015-08-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/66150/1/MPRA_paper_66150.pdf
Cheng, Gong and Mevis, Dirk (2015): What happened to profitability? Shocks, challenges and perspectives for euro area banks.
en
oai:mpra.ub.uni-muenchen.de:69130
2019-09-26T12:28:55Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D47:4732
7375626A656374733D47:4733
7375626A656374733D47:4733:473333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/69130/
Corporate Insolvency Resolution in India: Lessons from a cross-country comparison
Sengupta, Rajeswari
Sharma, Anjali
G1 - General Financial Markets
G2 - Financial Institutions and Services
G3 - Corporate Finance and Governance
G33 - Bankruptcy ; Liquidation
In this paper we analyse the corporate insolvency resolution procedures of India, UK and Singapore within a common framework of well-specified principles. India at present lacks a single, comprehensive law that addresses all aspects of insolvency of a firm. It has a multiple laws, regulations and adjudication fora, each of which have created opportunities for debtor firms to exploit the arbitrage between these to frustrate recovery efforts of creditors. This adversely affets the resolution process, the time to recovery and the value recovered. The importance of a comprehensive, well-functioning insolvency resolution framework has been documented in literature. In India, the Bankruptcy Law Reforms Committee (BLRC) was constituted in 2014 with the objective of proposing a comprehensive framework for resolving the insolvency of firms and individuals. We undertake a comparison of the corporate insolvency resolution framework in UK, Singapore and India, with the underlying motivation to highlight the similarities and differences across the laws, procedures and institutional context of the three countries. The objective of this comparison is to draw lessons for the Indian reform process, in context of the formation of the BLRC. The BLRC has recently proposed an Insolvency and Bankruptcy Bill (IBB) which has been presented in Parliament and is currently being deliberated upon by a Joint Parliamentary Committee.
2016-01-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/69130/1/MPRA_paper_69130.pdf
Sengupta, Rajeswari and Sharma, Anjali (2016): Corporate Insolvency Resolution in India: Lessons from a cross-country comparison.
en
oai:mpra.ub.uni-muenchen.de:71015
2019-09-28T04:55:56Z
7374617475733D756E707562
7375626A656374733D44:4438:443832
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473134
7375626A656374733D47:4733:473332
7375626A656374733D47:4733:473333
7375626A656374733D4C:4C31:4C3134
7375626A656374733D4D:4D34
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/71015/
Firm Complexity and Post-Earnings-Announcement Drift
Barinov, Alexander
Park, Shawn Saeyeul
Yildizhan, Celim
D82 - Asymmetric and Private Information ; Mechanism Design
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G33 - Bankruptcy ; Liquidation
L14 - Transactional Relationships ; Contracts and Reputation ; Networks
M4 - Accounting and Auditing
We show that the post earnings announcement drift (PEAD) is stronger for
conglomerates than single-segment firms. Conglomerates, on average, are larger than
single segment firms, so it is unlikely that limits-to-arbitrage drive the difference in
PEAD. Rather, we hypothesize that market participants find it more costly and
difficult to understand firm-specific earnings information regarding conglomerates
which slows information processing about them. In support of our hypothesis, we find
that, compared to single-segment firms with similar firm-characteristics,
conglomerates have lower institutional ownership, lower short interest, are covered
by fewer analysts, these analysts have less industry expertise and also make larger
forecast errors. Finally, we find that an increase in firm complexity leads to larger
PEAD and document that more complicated conglomerates have greater postearnings
announcement drifts. Our results are robust to a long list of alternative
explanations of PEAD as well as alternative measures of firm complexity.
2016-04-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/71015/4/MPRA_paper_71015.pdf
Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): Firm Complexity and Post-Earnings-Announcement Drift.
en
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