This work examines the determinants of the capital structure of Brazilian companies between the years 2000 and 2009. Based on quantile regression model and on the comparison with conventional models (least squares and fixed effects), the work provides better understanding of capital structure to...

This study investigates to which extent results produced by a single frontier model are reliable, based on the application of data envelopment analysis and stochastic frontier approach to a sample of Chinese local banks. Our findings show they do produce a consistent trend on efficiency scores...

This paper consists of an empirical investigation of Brazilian banks' profitability determinants. The panel data is composed of quarterly information for 71 banks between the first quarter of 2002 and the second quarter of 2012. Using data from the Brazilian banking system, we study the...

This paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ Variance Ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to...

This study applies data envelopment analysis and stochastic frontier approach to a sample of Indian commercial banks to discuss the inconsistencies between these models. We find that DEA average efficiency scores are, in general, lower than those from the SFA model. However, both models indicate...

Several specialists and authorities blame inflation targeting (IT) regime for not responding to the increasing systemic risk and the development of asset bubbles. Nevertheless, we employ a database with commercial banks from 71 countries between 1998 and 2012, and we present evidence that: banks...

Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that...

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to...