In this paper a beta-component mixture is proposed to model the market-implied severity. Recovery rates are extracted and identified from credit default swaps instead of using defaulted bonds instead using defaulted bonds because it allows us to identify recovery rates of low probability of...

Purpose – The purpose of this paper is to propose various toehold indicators and analyse whether the models incorporating these indicators can be used to establish investment strategies. Design/methodology/approach – Logistic regression is used to test toehold indicator significance....

In this article I present a test for detecting abnormal returns when the event analyzed induces volatility and the portfolio is small. The results show that the test is well specified and leads to significant gains in power. I subsequently analyze the abnormal returns around the stock split ex...

This paper focuses on estimating implied severity, which does not rely on historical data and can be used especially for low default companies. We perform an extended semiparametric estimation method based on a mixture start to estimate it. We carry out an empirical analysis and our results show...

The aim of this paper is to analyze the role of the underwriting syndicate in relation to firms that went public on the Madrid Stock Exchange between 1985 and 2004. The sample time frame chosen, which covers a period of twenty years, allows us to analyze the evolution of the role of the...

The aim of this paper is to analyse the performance of firms that went public on Madrid Stock Exchange in the period 1985-1997. Results show that no relation exists between the ownership structure of a firm and the decline in returns subsequent to its going public, although a signaling effect...

The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits well the low-tail data of the observed...