In this paper we identify a range of economical and financial risk factors and analyse their empirical impacts on tanker shipping stock returns, using an OLS-regression. Earlier shipping-related studies have concentrated on shipping stock returns in general and the differences between shipping...

This paper addresses the theoretical foundations of default probability, using the neo-classical theory of capital structure as a starting point. A model of optimal capital structure is constructed and reworked into a model of default probability. The comparative static analyses show that both...

This paper empirically tests the hypotheses from the Black and Scholes, Merton framework (BSM) concerning the probability of default. Payment behavior and auditor notes are used as proxy variables for financial distress. The results show that the standard deviation of equity is the most...

This paper investigates default probabilities and their comparative statics (default Greeks) in the Black and Scholes, Merton framework, using the objective or real probability measure. First we show how a risk neutral default probability can be transformed into an objective probability. The...

In this paper we have examined various statistical properties of several hedge fund style investments. We have used hedge fund indices from CSBF/Tremont as well as global bonds and equity investment indices covering the period 1994-2005. (This period covers both up and down turns in the equity...

This paper discusses the wide spectrum of statistical and mathematical methods for bankruptcy prediction that exists in the literature. We compare and analyse the applicability of the various methods in a scientific framework for financial econometrics. While many of the methods might add value...

The main purpose of this paper is to investigate if hedge funds create abnormal risk-adjusted returns, both during bull and bear markets. The model applied is an extended multi-factor model. The dataset consists of hedge fund return series with data from a fifteen-year period ranging from 1994...

This paper investigates determinants of capital structure in 308 UK real estate companies. The data panel consists of accounting data from the fiscal years 1998-2006. By using panel data regression we find the significant factors influencing the capital structure of the selected companies....

The purpose of this article is to examine the capital structure across different industries for companies quoted on a stock exchange and headquartered in the United States. The paper demonstrates significant difference in the capital structure depending on the industry where the company...

This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation...