We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms' adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as...

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

This paper provides evidence on the impact of internal finance constraints, growth opportunities and debt overhang on the firm-level investment in 14 Asian countries over the period of 1990-2010. We used Panel Smooth Threshold Regression (PSTR) which relaxes the assumption of the a priori...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

The purpose of this paper is to present a comprehensive simulation study on the finite sample properties of minimum-distance and maximum-likelihood estimators for bivariate and multivariate parametric copulas. For five popular parametric copulas, classical maximum-likelihood is compared to a...

This paper examines the pricing and performance of initial public offerings (IPOs) in the Stock Exchange of Thailand (SET) from February 1997 to October 2008. Underpricing is calculated using headline underpricing, underpricing issuer loss, underpricing loss by market value, and underpricing...

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...

The credit risk assessment process is necessary for maintaining financial stability, cost and time efficiency, model performance accuracy, comparability analysis and future business implications in the commercial banking sector. By accurately predicting credit risk, highly regulated banks can...