The present research shows the influence of institutional differences on the performance of initial public offerings (IPOs), both at the level of initial underpricing and at the level of 1-, 3- and 5-year performance. Our results represent a relevant empirical contribution to the international...

Purpose – The purpose of this paper is to, first, analyse to what extent the default probability based on structural models provides additional information and that accounting ratios do not contemplate. Second, to design hybrid models by including the default probability from structural models...

Purpose – The purpose of this paper is to critically analyze the common assumption, made by many credit risk models such as the Moody's KMV Loss‐Calc model, of a β distribution for the loss‐given default (LGD). The paper shows that this assumption does not perform well in constructing...

This paper focuses on estimating implied severity, which does not rely on historical data and can be used especially for low default companies. We perform an extended semiparametric estimation method based on a mixture start to estimate it. We carry out an empirical analysis and our results show...

Purpose – The purpose of this paper is to critically analyze the common assumption, made by many credit risk models such as the Moody's KMV Loss-Calc model, of a ß distribution for the loss-given default (LGD). The paper shows that this assumption does not perform well in constructing...

The aim of this paper is to analyse the performance of firms that went public on Madrid Stock Exchange in the period 1985-1997. Results show that no relation exists between the ownership structure of a firm and the decline in returns subsequent to its going public, although a signaling effect...

In this paper a beta-component mixture is proposed to model the market-implied severity. Recovery rates are extracted and identified from credit default swaps instead of using defaulted bonds instead using defaulted bonds because it allows us to identify recovery rates of low probability of...