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Financial Distress Prediction on Public Listed Banks in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2017

A financial distress of company should be able anticipated smartly by its management to rerun the business without having any loss due to business failure. Thus, we need a model which could provide an early signal to company the probability of financial distress so that remedial efforts can be...

Persistent link: https://www.econbiz.de/10012942862

Pricing Default Risk : The Good, The Bad, and The Anomaly

Ferreira Filipe, Sara - 2016

While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is …

Persistent link: https://www.econbiz.de/10013006759

Is Recovery Risk Priced?

Uhrig-Homburg, Marliese - 2011

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic re-covery rates as a source of systematic risk have not received much attention so far, most likely due to the...

Persistent link: https://www.econbiz.de/10013134668

A 'Wreckers Theory' of Financial Distress

von Kalckreuth, Ulf - 2016

In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...

Persistent link: https://www.econbiz.de/10012991210

Financial market discipline on bank risk : implications of state ownership

Kazdal, Abdullah; Kılıç, Yavuz; Yılmaz, Muhammed Hasan - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-15

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis … on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state … bank presence, our baseline regression results indicate that banks' stock price volatility elevates in response to the …

Persistent link: https://www.econbiz.de/10014574457

Positive Equity Prices with Insolvency under Legal Solvency Tests

Heaton, J.B. - 2020

It is well understood that the equity of an insolvent firm can trade for a positive price so long as there is some positive probability that the firm will become solvent at some future point. Currently, however, this insight exists in the case law in an informal sense, while its use in the...

Persistent link: https://www.econbiz.de/10012854945

Bank Risk Factors and Changing Risk Exposures of Banks : Capital Market Evidence Before and During the Financial Crisis

Bessler, Wolfgang - 2013

and sovereign risks. In this paper we analyze the magnitude and changes in risk exposures that are reflected in bank stock … investigate bank risk in different economic environments including the introduction of the Euro and the recent financial and … decades when the Basel regulatory framework with different bank capital regulations was introduced. In our multi-factor asset …

Persistent link: https://www.econbiz.de/10013090319

Default risk and equity prices in the US banking sector : regime switching effects of regulatory changes

Kanas, Angelos - In: Journal of international financial markets, … 33 (2014), pp. 244-258

Persistent link: https://www.econbiz.de/10011299832

The long-term impact of bank mergers on stock performance and default risk : the aftermath of the 2008 financial crisis✰

Cowan, Arnold R.; Salotti, Valentina; Schenck, Natalya A. - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013463094

The Altman ‘Z’ is ‘50’ and Still Young : Bankruptcy Prediction and Stock Market Reaction Due to Sudden Exogenous Shock

Poudel, Rajeeb - 2019

This study is motivated by the continuing popularity of the Altman Z-score as a measure of distress risk. Altman first introduced the ‘Z' score in 1968 and 50 years later it is still going strong as a means to predicting bankruptcy. During these 50 years, academicians have studied the...

Persistent link: https://www.econbiz.de/10012893618