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Persistence and Determinants of Firm Profit in Emerging Markets
Stephan, Andreas; Tsapin, Andriy - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
The paper studies the persistence of profit and its determinants in emerging markets. We apply Markov chain analysis …, dynamic panel GMM estimation, and quantile regression techniques to a panel of approximately 3,000 Ukrainian companies. The … empirical results show a moderate level of profit persistence, as well as a relatively low speed of adjustment to the steady …
Persistent link: https://www.econbiz.de/10004963898
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Quality Distortions in Vertical Relations
Baake, Pio; Schlippenbach, Vanessa von - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
This paper examines how delivery tariffs and private quality standards are determined in vertical relations that are subject to asymmetric information. We consider an infinitely repeated game where an upstream firm sells a product to a downstream firm. In each period, the firms negotiate a...
Persistent link: https://www.econbiz.de/10008474601
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Informational Opacity and Honest Certification
Pollrich, Martin; Wagner, Lilo - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper studies the interaction of information disclosure and reputational concerns in certification markets. We argue that by revealing less precise information a certifier reduces the threat of capture. Opaque disclosure rules may reduce profits but also constrain feasible bribes. For large...
Persistent link: https://www.econbiz.de/10010896178
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The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany
Baum, Christopher F.; Schäfer, Dorothea; Talavera, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
This paper investigates the link between the optimal level of non-financial firms' liquid assets and industry-level uncertainty. We develop a structural model of a firm's value maximization problem that predicts that as industry-level uncertainty increases the firm will increase its optimal...
Persistent link: https://www.econbiz.de/10005068997
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The Private Equity Premium Puzzle Revisited: New Evidence on the Role of Heterogeneous Risk Attitudes
Fossen, Frank M. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of...
Persistent link: https://www.econbiz.de/10005068887
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10011128878
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Support Vector Machines (SVM) as a Technique for Solvency Analysis
Auria, Laura; Moro, Rouslan A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
This paper introduces a statistical technique, Support Vector Machines (SVM), which is considered by the Deutsche Bundesbank as an alternative for company rating. A special attention is paid to the features of the SVM which provide a higher accuracy of company classification into solvent and...
Persistent link: https://www.econbiz.de/10004963659
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The Default Risk of Firms Examined with Smooth Support Vector Machines
Härdle, Wolfgang; Lee, Yuh-Jye; Schäfer, Dorothea; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007
In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitability of Smooth...
Persistent link: https://www.econbiz.de/10004963905
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Rating Companies with Support Vector Machines
Härdle, Wolfgang K.; Moro, Rouslan A.; Schäfer, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004
estimation. A survey of practically and commercially applied methods is given. This work proves that support vector machines are …
Persistent link: https://www.econbiz.de/10004963932
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Personal Bankruptcy Law, Wealth and Entrepreneurship: Theory and Evidence from the Introduction of a "Fresh Start"
Fossen, Frank M. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
A personal bankruptcy law that allows for a "fresh start" after bankruptcy reduces the individual risk involved in entrepreneurial activity. On the other hand, as risk shifts to creditors who recover less of their credit after a debtor's bankruptcy, lenders may charge higher interest rates or...
Persistent link: https://www.econbiz.de/10008804165