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R&D investment under financing constraints
Giebel, Marek; Kraft, Kornelius - 2020
This paper tests for the sensitivity of R&D to financing constraints conditional on restrictions in external financing. Financing constraints of firms are identified by an exogenously calculated rating index. Restrictions in external financing are determined by (i) the specific time period...
Persistent link: https://www.econbiz.de/10012196342
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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The joint dynamics of sovereign ratings and government bond yields
Shagi, Makram el-; Schweinitz, Gregor von - 2016
Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this...
Persistent link: https://www.econbiz.de/10011482939
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Mandatory financial information disclosure and credit ratings
Vanhaverbeke, Steven; Balsmeier, Benjamin; Doherr, Thorsten - 2022
When firms are forced to publicly disclose financial information, credit rating agencies are supposed to improve their risk assessments. Theory predicts such an information quality effect but also an adverse reputational concerns effect because credit analysts may become increasingly concerned...
Persistent link: https://www.econbiz.de/10013411270
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The winner's curse : evidence on the danger of aggressive credit growth in banking
Kick, Thomas; Pausch, Thilo; Ruprecht, Benedikt - 2015
Excessive credit creation by banks was at the root of the recent financial crisis. Nevertheless, micro-prudential regulation lacks a clear methodology to identify these banks. Combining arguments from banking and auction theory, we show that overoptimism causes excessive lending, subsequently...
Persistent link: https://www.econbiz.de/10011339814
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2014
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968
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The compensation principle: reversal and bias in cost benefit tests
Bruce, Neil; Harris, Richard - 1981
Persistent link: https://www.econbiz.de/10003503692
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Adaptation, Anticipation-bias and optimal income taxation
Aronsson, Thomas; Schöb, Ronnie - 2012
lives for three periods. Our results show how a paternalistic government may correct for the effects of anticipation-bias … ; adaptation ; habit-formation ; anticipation-bias ; paternalism …
Persistent link: https://www.econbiz.de/10009559801
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Is there a fade-away effect of initial nonresponse bias in EU-SILC?
Rendtel, Ulrich - 2015
simulated 6 different pattern of nonresponse bias and investigated the fade-away effect across the waves 2006 to 2009. We found … remarkable differences between these 25 coun- tries. Expressed by the relative bias, i.e. bias in 2009 divided by bias at start … in 2006, we found a reduction down to 26 percent of the initial bias for Bulgaria (foremost reduction) up to 61 percent …
Persistent link: https://www.econbiz.de/10011312698
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Robust small area estimation under spatial non-stationarity
Baldermann, Claudia; Salvati, Nicola; Schmid, Timo - 2016
Geographically weighted small area methods have been studied in literature for small area estimation. Although these approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very sensitive to outliers in the data. In this paper, we...
Persistent link: https://www.econbiz.de/10011455039