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In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...
Persistent link: https://www.econbiz.de/10008939079
Does internationalization affect firm valuation? To answer this question, literature mainly considers firms from around the world internationalizing by issuing equity in the USA, whereas the current study focuses on US firms that internationalize by issuing debt in overseas markets. This paper...
Persistent link: https://www.econbiz.de/10011906243
In this paper we develop procedures for performing inference in regression models about how potential policy interventions affect the entire marginal distribution of an outcome of interest. These policy interventions consist of either changes in the distribution of covariates related to the...
Persistent link: https://www.econbiz.de/10003838972
The recent literature on the duration of trade has predominantly analyzed the determinants of trade flow durations using Cox proportional hazards models. The purpose of this paper is to show why it is inappropriate to analyze the duration of trade with continuous-time models such as the Cox...
Persistent link: https://www.econbiz.de/10003952461
Persistent link: https://www.econbiz.de/10003961483
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
We analyze equity issuance by publicly-traded U.S. banks during 2001-2014 through exchanges (SEOs), private placements (PIPEs), and TARP. Equity markets were important for bank recapitalization in the crisis, when SEO and PIPE issuance peaked. We find that bank characteristics predict issuance...
Persistent link: https://www.econbiz.de/10012985362
This paper assesses the role of financial frictions and Foreign Direct Investment (FDI) on an economy´s growth rate, business cycle volatility, and firm´s capital structure. We gauge these effects within the Financial Accelerator framework, where entrepreneurs can establish affiliates of local...
Persistent link: https://www.econbiz.de/10011373504
This paper examines the impact of thin capitalization rules that limit the tax deductibility of interest on the capital structure of the foreign affiliates of US multinationals. We construct a new data set on thin capitalization rules in 54 countries for the period 1982-2004. Using confidential...
Persistent link: https://www.econbiz.de/10010256736
We model a risk-averse firm owner who wants to maximize the intertemporal expected utility of firm’s dividends. The optimal dynamic control problem is characterized by two stochastic state variables: the equity value, and profitability (ROA) of the _rm. According to the empirical evidence, we...
Persistent link: https://www.econbiz.de/10012668498