This paper focuses on the development of both failure prediction models on a paired sample and a random sample of small and medium-sized firms with head offices located in the region of Castilla y León (Spain), in order to prove if the predictive power of the developed models is affected by the...

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

Using the Stochastic Dominance (SD) approach, this paper revisits the day-of-the-week effect for a developing market, the Istanbul Stock Exchange (ISE). SD results provide different results independent of distribution assumptions. The results indicate that Monday and Tuesday cannot be dominated...

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...

The literature wisdom shows that both theoretical and empirical studies provide contradictory predictions about the relationship between market concentration or competiveness and financial stability in the banking system. In the past two decades, the structure of banking industry of many...

When there are many attributes, experiments with Conjoint Analysis include problems of information overload that affect the validity of such experiments. The impact of these problems can be avoided or reduced by using Hierarchical Information Integration (HII). The present work aims to...

We estimate a model of labour supply and participation in multiple cash and in-kind welfare programmes. The modeling exploits a reform that affected U.K. single mothers. In-work cash entitlements increased under this reform but eligibility to in-kind child nutrition programmes was lost for some...

Do international university rankings or professional accreditations affect the preferences of exchange students over different institutions? This paper investigates the question by analysing the determinants of Maastricht University School of Business and Economics (SBE) students’ choices of...

Bank’s major approach in her internal rating system is credit scoring valuation which focused on corporates’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is not considered in her system. We model the effect...