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Credit risk and Basel II: are nonprofit firms financially different? 信用风险与巴塞尔协议II:非营利性公司在财务上不同吗?
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701604283
Barbara Luppi, Massimiliano Marzo, A. Scorcu
{"title":"Credit risk and Basel II: are nonprofit firms financially different?","authors":"Barbara Luppi, Massimiliano Marzo, A. Scorcu","doi":"10.1080/17446540701604283","DOIUrl":"https://doi.org/10.1080/17446540701604283","url":null,"abstract":"We estimate a model of credit risk for portfolios of small and medium-sized enterprises, conditional on being a nonprofit (NP) or for-profit (FP) firms. The estimation is based on a unique data set on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for NP and FP firms. Traditional balance sheet information seems to be less crucial for NP firms.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"13 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122623080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The Bootstrap Maximum Likelihood Estimator: the case of logit 自举极大似然估计:logit的情况
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701604309
Athanasios Tsagkanos
{"title":"The Bootstrap Maximum Likelihood Estimator: the case of logit","authors":"Athanasios Tsagkanos","doi":"10.1080/17446540701604309","DOIUrl":"https://doi.org/10.1080/17446540701604309","url":null,"abstract":"The estimation of the parameters of logit model is mostly performed with method of maximum likelihood. However, the classical maximum likelihood estimators are biased and inefficient in appearance of small samples. The jackknife maximum likelihood estimator improves the above problems but still includes serious disadvantages. In this article, the Bootstrap Maximum Likelihood Estimator is developed as an alternative advanced method for reducing the bias and correcting the troubles with inefficiency and nonnormality. The importance of the method is shown through its application on data of Greek mergers and acquisitions.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128414022","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire? 邦斯菲尔德油库爆炸:哪里有烟，哪里就有(股市)火?
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701579006
G. Capelle-Blancard, M. Laguna
{"title":"The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire?","authors":"G. Capelle-Blancard, M. Laguna","doi":"10.1080/17446540701579006","DOIUrl":"https://doi.org/10.1080/17446540701579006","url":null,"abstract":"This study examines the stock market response to the Buncefield oil depot explosion in 2005. Like previous studies on technological disasters, we find an adverse effect on security prices. However, average abnormal return is only −0.58% for the four oil firms involved in the accident; that is, the explosion did not throw shareholders into panic selling.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122485126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Productivity in the retail industry: does insider ownership of shares matter? 零售业的生产率:内部人持股重要吗?
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701537731
V. Bhat
{"title":"Productivity in the retail industry: does insider ownership of shares matter?","authors":"V. Bhat","doi":"10.1080/17446540701537731","DOIUrl":"https://doi.org/10.1080/17446540701537731","url":null,"abstract":"The purpose of this article is to analyse the influence of corporate insider ownership of shares on the performance of companies in the retail industry. Prior research examined the relationship between insider ownership and firm values measured by Tobin's Q. In this article, we focus on the relationship between insider ownership and efficiencies measured using Data Envelopment Analysis (DEA). To estimate efficiency using DEA, we treat employees, total earning assets (that includes property, plant and equipment and current assets), inventory and selling, general and administrative expenses as inputs and sales, income before extraordinary items and stock market values as outputs. This study confirms positive relationship between insider ownership and efficiencies of companies in the retail industry.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129507137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
A note on the effects of debt buybacks in the MM world 关于债务回购在MM世界中的影响的说明
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701579014
Mark Schaub
{"title":"A note on the effects of debt buybacks in the MM world","authors":"Mark Schaub","doi":"10.1080/17446540701579014","DOIUrl":"https://doi.org/10.1080/17446540701579014","url":null,"abstract":"This study notes that in the world of Modigliani and Miller (MM), a debt buyback program will maximize the share price as well as cash flows to the stockholders. Also, holding period returns for investors that buy into the company before the debt buyback are higher than a similar MM firm that does not repurchase its debt.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124936605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Day of the week seasonality in African stock markets 非洲股市一周中的一天是季节性的
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701537749
P. Alagidede
{"title":"Day of the week seasonality in African stock markets","authors":"P. Alagidede","doi":"10.1080/17446540701537749","DOIUrl":"https://doi.org/10.1080/17446540701537749","url":null,"abstract":"This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily seasonality in Zimbabwe, Nigeria and South Africa. Friday average return is found to be consistently higher than other days in Zimbabwe. The Nigerian market tends to display more seasonality in volatility than in expected return. The reverse hold for South Africa. Finally, the anomalies do not disappear even after accounting for risk.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125413593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 56
Incomplete temporal overlap and cross-sectional independence in event studies 事件研究中的不完全时间重叠和横断面独立性
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701477292
I. Karafiath
{"title":"Incomplete temporal overlap and cross-sectional independence in event studies","authors":"I. Karafiath","doi":"10.1080/17446540701477292","DOIUrl":"https://doi.org/10.1080/17446540701477292","url":null,"abstract":"In the event study literature, estimates of security abnormal returns are considered independent whenever securities have different event dates, i.e. in the absence of ‘event clustering’. Nonetheless, there are three sources of cross-sectional correlations in estimated abnormal returns even when no two securities have a common event date. First, the estimation interval (for market model parameters) may overlap; second, the event date for one security may overlap the estimation interval for another; third, event windows longer than a one (or two) day announcement may overlap. In this article, analytical and simulations methods are used to assess the influence of these partial overlaps. Simulations reveal that for short event windows (≤11 days, with 300 days in the estimation interval) these partial overlaps do not create any measurable bias, even when 50 separate events are contained within 125 trading days. However, there is potential for bias in ‘long horizon’ event studies with nearly clustered event dates.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126353974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Money market fund investors’ response to fund company mergers 货币市场基金投资者对基金公司合并的反应
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701335466
Luis Ferruz, Cristina Ortiz, L. Vicente
{"title":"Money market fund investors’ response to fund company mergers","authors":"Luis Ferruz, Cristina Ortiz, L. Vicente","doi":"10.1080/17446540701335466","DOIUrl":"https://doi.org/10.1080/17446540701335466","url":null,"abstract":"To our best knowledge, this study conducts the first analysis of the money market fund investors’ response to the major Spanish fund company mergers from 1994 to 2004. By using an event date methodology considering three significant moments in the merger process: (1) Public announcement (2) Merger (3) Change of denomination of the funds, we obtain that investors’ response to mergers is statistically significant when considering small fund companies. On the other hand, we do not detect a significant investors’ response to large fund family mergers.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131047002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The oil price exposure of global oil companies 全球石油公司的油价敞口
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701537764
Perry Sadorsky
{"title":"The oil price exposure of global oil companies","authors":"Perry Sadorsky","doi":"10.1080/17446540701537764","DOIUrl":"https://doi.org/10.1080/17446540701537764","url":null,"abstract":"This study investigates the impact that global oil market risk factors have on the oil price risk of oil company stock prices. Results indicate that oil prices and market risk are both positive and statistically significant priced risk factors. Oil price risk is negatively impacted by increases in oil reserves. Oil price risk is positively impacted by increases in oil production. Oil price risk is more sensitive to changes in production rates than to changes in reserve additions rates.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122353382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
The minimum required rate of return 最低要求的回报率
Applied Financial Economics Letters Pub Date : 2008-03-01 DOI: 10.1080/17446540701564362
S. Azar
{"title":"The minimum required rate of return","authors":"S. Azar","doi":"10.1080/17446540701564362","DOIUrl":"https://doi.org/10.1080/17446540701564362","url":null,"abstract":"There is a puzzle in financial economics, called risk-free rate puzzle, named after Weil (1989). This puzzle consists of the observation that the risk-free rate is too low to be explained by actual consumption behaviour. Building upon previous research, and applying the concept of minimum compensation with expected utility, this article finds an equilibrium risk-free rate of 0.2% in real terms compared to an actual real risk-free rate of around 1%. Therefore, the puzzle is reversed; the actual risk-free rate is too high to describe investor sentiment.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114506627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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