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Bankruptcy and Entrepreneurship : The Value of a Fresh Start

Ayotte, Kenneth - 2006

This paper considers bankruptcy law design in a setting that is appropriate for entrepreneurial firms. These firms are … providing the entrepreneur with this stake and this leaves the entrepreneur emerging from bankruptcy with a larger debt burden … than is socially efficient. In this setting, a fresh start bankruptcy policy provides greater debt relief than the bank …

Persistent link: https://www.econbiz.de/10014074760

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - 2020 - Last updated: April 20, 2020

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

Persistent link: https://www.econbiz.de/10012216226

New perspectives on bank risk in Malaysia

Powell, R. J. - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

Stable banks in individual ASEAN countries are essential to the economic stability of the ASEAN region as these countries move towards the goal of greater financial integration in the region. This study comprehensively explores bank risk in Malaysia as compared to the ASEAN region over an...

Persistent link: https://www.econbiz.de/10011881093

House Price Expectations and Mortgage Default Decisions

Ma, Chao - 2016

If mortgage borrowers default strategically, their future house price expectations should affect their present mortgage default decisions. Merging the Freddie Mac loan performance dataset with the Michigan Survey of Consumers data containing households' subjective expectations, this paper...

Persistent link: https://www.econbiz.de/10013002369

A Structural Approach for Predicting Default Correlation

Liu, Sheen - 2013

Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...

Persistent link: https://www.econbiz.de/10013090295

The Impact of International Terrorist Attacks on the Risk and Return of Malaysian Equity Portfolios

Ramiah, Vikash - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 04, pp. 1250020-1

How are the risks and returns of industrial and market portfolios altered as a result of terrorist events? This paper investigates the effects of five international terrorist attacks on equities listed on the Malaysian Stock Exchange. It uses an event study methodology to explore the...

Persistent link: https://www.econbiz.de/10010598107

Explaining Bank Efficiency Differences Between China and Taiwan by Meta-Frontier Cost Function

Liu, Yi-Cheng; Yang, Wen; Mai, Shin-Ying; Mai, Chao-Cheng - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 04, pp. 1250024-1

The purpose of this paper is to employ the Meta-Frontier Cost Function to compare the efficiencies of banks in China and Taiwan over the period 2003–2009. Different from previous literature using loans and securities as the output variables in evaluating banking efficiency, we propose two new...

Persistent link: https://www.econbiz.de/10010598108

Organizational Form and Long-Run Stock and Operating Performance following Corporate R&D Expenditures

Chen, Sheng-Syan; Yu, Chin-Te; Su, Xuan-Qi; Lai, Shu-Miao - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 04, pp. 1250017-1

Building upon two competing hypotheses, the 'efficient investment' hypothesis and the 'internal capital markets' hypothesis, we set out in this study to examine the role of organizational form, in terms of 'focus' versus 'diversification', in explaining the long-run stock and operating...

Persistent link: https://www.econbiz.de/10010598109

A Study of Stock Price Behavior in Taiwan via Residual Income Valuation Theory and Structural Identification

Tswei, Keshin; Kuo, Chen-Yin - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 04, pp. 1250016-1

This study adopts the methodology introduced by Lee (2006) to analyze stock prices in response to information shocks in six of Taiwan's stock market sectors and present market anomalies utilizing behavioral finance theory. Using the Residual Income Model (RIM) of equity valuation, we specified...

Persistent link: https://www.econbiz.de/10010598110

Are Green Fund Investors Really Socially Responsible?

Chung, Huimin; Lee, Han-Hsing; Tsai, Pei-Chun - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 04, pp. 1250023-1

This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and...

Persistent link: https://www.econbiz.de/10010598111