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Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score
Miller, Warren - 2009
This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....
Persistent link: https://www.econbiz.de/10013156771
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Do bankruptcy protection levels affect households' demand for stocks?
Dal Borgo, Mariela - 2021
This paper examines empirically the effect of the level of personal bankruptcy protection in the US on households' demand for financial assets. A Chapter 7 bankruptcy allows protecting the home equity up to a certain limit or "exemption". Previous literature shows that such exemption biases...
Persistent link: https://www.econbiz.de/10012520218
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Cash flow and financial distress of private listed enterprises on the Vietnam stock market : a quantile regression approach
Thuy Duong Phan; Thi Thanh Hoang; Ngoc Mai Tran - In: Cogent business & management 9 (2022) 1, pp. 1-13
The study evaluates the influence of cash flow on the financial distress of private listed enterprises on the Vietnamese stock market from 2010 to 2020. We use the data collected from the financial statements of 263 private non-financial enterprises listed on the Ho Chi Minh and Hanoi stock...
Persistent link: https://www.econbiz.de/10014436294
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Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy
Chen, Kexin - 2018
bankruptcy payment. We derive novel asymptotic solution to this problem under the fast mean-reverting stochastic volatility model …
Persistent link: https://www.econbiz.de/10012911132
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The Leverage Externalities of Credit Default Swaps
Li, Jay Y. - 2015
This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo...
Persistent link: https://www.econbiz.de/10013032003
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The Leverage Externalities of Credit Default Swaps
Li, Jay Y. - 2014
This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue derives from customers referenced by CDS. This finding is robust to alternative samples and measures, placebo...
Persistent link: https://www.econbiz.de/10013062471
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Idiosyncratic risk and the creative destruction in Japan
Hamao, Yasushi; Mei, Jianping; Xu, Yexiao - 2003
Persistent link: https://www.econbiz.de/10001756680
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Idiosyncratic Risk and the Creative Destruction in Japan
Hamao, Yasushi - 2003
.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …
Persistent link: https://www.econbiz.de/10012469056
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Probability weighting and default risk : a possible explanation for distressed stock puzzles
Yamazaki, Akira - In: Quantitative finance 20 (2020) 5, pp. 745-767
Persistent link: https://www.econbiz.de/10012262617