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The Altman ‘Z’ is ‘50’ and Still Young : Bankruptcy Prediction and Stock Market Reaction Due to Sudden Exogenous Shock

Poudel, Rajeeb - 2019

This study is motivated by the continuing popularity of the Altman Z-score as a measure of distress risk. Altman first introduced the ‘Z' score in 1968 and 50 years later it is still going strong as a means to predicting bankruptcy. During these 50 years, academicians have studied the...

Persistent link: https://www.econbiz.de/10012893618

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

Efficient Markets and the Law : A Predictable Past and an Uncertain Future

Hu, Henry T. C. - 2012

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Persistent link: https://www.econbiz.de/10013100915

Bank Opacity and Risk-Taking : Evidence from Analysts’ Forecasts

Fosu, Samuel - 2018

We depart from existing literature by invoking analysts' forecasts to measure banking system opacity and then investigate the impact of such opacity on bank risk-taking, using a large panel of US bank holding companies, 1995-2013. We uncover three new results. Firstly, we find that opacity...

Persistent link: https://www.econbiz.de/10012931019

Use of unit root methods in early warning of financial crises

Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017

In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...

Persistent link: https://www.econbiz.de/10011976947

Extracting Option-Implied Probability of Default : A Novel Method

Orosi, Greg - 2019

In this paper, we present a novel method to extract the risk-neutral probability of default from American put option prices. Under the assumptions of Carr and Wu (2011), we derive a closed form expression for American put options from which the probability of default can be inferred. Our...

Persistent link: https://www.econbiz.de/10012863513

Idiosyncrasy as a Leading Indicator

Morck, Randall; Yeung, Bernard Yin; Zhang, Lu Y. - 2022

Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return...

Persistent link: https://www.econbiz.de/10013309391

Evaporating Liquidity

Nagel, Stefan - 2011

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …

Persistent link: https://www.econbiz.de/10013133779

Predicting Failure in the Commercial Banking Industry

Tatom, John - 2011

The ability to predict bank failure has become much more important since the mortgage foreclosure crisis began in 2007. The model proposed in this study uses proxies for the regulatory standards embodied in the so-called CAMELS rating system, as well as several local or national economic...

Persistent link: https://www.econbiz.de/10013117748

Predicting Distress in European Banks

Betz, Frank - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

Persistent link: https://www.econbiz.de/10013074637

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