This paper investigates the properties of nonparametric decision tree models in the analysis of financial leverage decisions. This approach presents two appealing features: the relationship between leverage ratios and the explanatory variables is not predetermined but is derived according to...

I train the k-nearest neighbors (KNN) and random forests (RF) machine learning models to predict if a firm will issue debt, or equity, in the upcoming quarter. KNN predicts 94% of debt and 80% of equity issues correctly. RF predicts 95% of debt and 86% of equity issues correctly. KNN is 92%...

This article is devoted to the exploration of the mechanism of making decision about the company's financing structure. It is shown that the interaction between various financial characteristics of company plays statistically significant role in the capital structure determination. Namely their...

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

We present a parsimonious representation of debt-ratio dynamics which is able to nest the Trade-Off, Pecking-Order and Market-Timing theoretical models, at the same time avoiding the poolability of the slope parameters. The inference on firm heterogeneous speed of adjustment of effective towards...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that ‘bear raids', driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...