Wavelet-Based Prediction for Governance, Diversi cation and Value Creation Variables

Kahloul, Ines and Ben Mabrouk, Anouar and Hallara, Salah-Eddine (2009): Wavelet-Based Prediction for Governance, Diversi cation and Value Creation Variables.

Abstract

We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing the ownership-structure / diversification relationship. It consists of a dynamic procedure based on wavelets. A comparison with Neural Networks, the most used method, is provided to prove the efficiency of the here-developed one. The empirical tests are conducted on a set of French firms.

• Item Type: MPRA Paper
• Language: English
• Keywords: Wavelets, Short Time series, Missing Data, Forecasting, Governance, Diversification, Value creation.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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