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It Takes Two To Tango: an empirical tale of distressed firms and assisting banks

de Jong, de Jong, A. - Erasmus Research Institute of Management (ERIM), … - 2004

We study the restructuring process of small and medium-sized firms in financial distress. We have a unique dataset with firms in the Netherlands that are guided in their restructuring effort by banks. Part of our dataset consists of firms that successfully restructure their operations and...

Persistent link: https://www.econbiz.de/10010731431

Costs and Recovery Rates in the Dutch Liquidation-Based Bankruptcy System

Couwenberg, Couwenberg, O.; de Jong, de Jong, A. - Erasmus Research Institute of Management (ERIM), … - 2007

to measure the costs and recovery rates in the Dutch liquidation-based bankruptcy system, and to investigate the …We present evidence on the efficiency of the resolution of financial distress in bankruptcy in The Netherlands. We … firms before and in the bankruptcy procedures, the details of the bankruptcy process and the outcomes. This data allows us …

Persistent link: https://www.econbiz.de/10010731471

Firm Size Effects on Venture Capital Syndication: The Role of Resources and Transaction Costs

wright, mike; Bruining, Bruining, J.; Verwaal, Verwaal, E. - Erasmus Research Institute of Management (ERIM), … - 2005

The present paper examines firm size effects on the decision of venture capital firms to participate in a venture capital investment syndication network. The authors submit that firm size effects in venture capital syndication are dependent on resource acquisition motives and transaction cost...

Persistent link: https://www.econbiz.de/10011242170

The effects of decision flexibility in the hierarchical investment decision process

Hallerbach, Winfried; Spronk, Jaap; Ning, Ning, H. - Erasmus Research Institute of Management (ERIM), … - 2003

Large institutional investors allocate their funds over a number of classes (e.g. equity, fixed income and real estate), various geographical regions and different industries. In practice, these allocation decisions are usually made in a hierarchical (top-down), consecutive way. At the higher...

Persistent link: https://www.econbiz.de/10010731168

Striking Oil: Another Puzzle

Driesprong, G.; Jacobsen, Jacobsen, B.; Maat, B. - Erasmus Research Institute of Management (ERIM), … - 2003

We find that changes in oil prices strongly predict future stock market returns in many countries in the world. In our thirty year sample of monthly data for developed stock markets, we find statistically significant predictability in 12 out of the 18 countries and in a world market index. For...

Persistent link: https://www.econbiz.de/10010837598

A Firm-Specific Analysis of the Exchange-Rate Exposure of Dutch Firms

de Jong, de Jong, A.; Ligterink, J.; Macrae, V. - Erasmus Research Institute of Management (ERIM), … - 2002

We examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50% of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a depreciation...

Persistent link: https://www.econbiz.de/10010730859

Realized mixed-frequency factor models for vast dimensional covariance estimation

van Dijk, Dick; Bannouh, Bannouh, K.; Martens, Martens, … - Erasmus Research Institute of Management (ERIM), … - 2012

We introduce a Mixed-Frequency Factor Model (MFFM) to estimate vast dimensional covari- ance matrices of asset returns. The MFFM uses high-frequency (intraday) data to estimate factor (co)variances and idiosyncratic risk and low-frequency (daily) data to estimate the factor loadings. We propose...

Persistent link: https://www.econbiz.de/10010730865

An Improved Estimator For Black-Scholes-Merton Implied Volatility

Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004

We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.

Persistent link: https://www.econbiz.de/10010730867

Modeling the Conditional Covariance between Stock and Bond Returns

de Goeij, de Goeij, P.; Marquering, Marquering, W.A. - Erasmus Research Institute of Management (ERIM), … - 2002

To analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for asymmetric...

Persistent link: https://www.econbiz.de/10010730877

The Influence of Temperature on Spike Probability in Day-Ahead Power Prices

Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2007

It is well known that day-ahead prices in power markets exhibit spikes. These spikes are sudden increases in the day-ahead price that occur because power production is not flexible enough to respond to demand and/or supply shocks in the short term. This paper focuses on how temperature...

Persistent link: https://www.econbiz.de/10010730887