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Alternative Bankruptcy Prediction Models using Option-Pricing Theory

Charitou, Andreas - 2016

We examine the empirical properties of the theoretical Black–Scholes–Merton (BSM) bankruptcy model. We evaluate the predictive ability of various existing modifications of the BSM model and extend prior studies by estimating volatility directly from market-observable returns on firm value.We...

Persistent link: https://www.econbiz.de/10013008665

Real Estate Agents, House Prices, and Liquidity

Munneke, Henry J. - 2015

-agent relationship affects both price and liquidity in a simultaneous system concludes that external agents enjoy superior selling …

Persistent link: https://www.econbiz.de/10013030965

Resources, Environmental Change and Survival : Asymmetric Paths of Young Independent and Subsidiary Organizations

Bradley, Steven W. - 2015

Using an evolutionary model and a sample of 7,166 firms in the manufacturing and technology sectors of Sweden, we find that surviving organizations founded independent of a parent organization have lower long-term failure rates than their protected subsidiary counterparts. Specifically, we find...

Persistent link: https://www.econbiz.de/10013034099

Liquidity, Leverage, and Lehman : A Structural Analysis of Financial Institutions in Crisis

Chen, Ren-Raw - 2015

The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...

Persistent link: https://www.econbiz.de/10013035485

Anomalies and Financial Distress

Avramov, Doron - 2015

This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...

Persistent link: https://www.econbiz.de/10013039067

Can Hedge Funds Time Market Liquidity?

Cao, Charles Q. - 2015

We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through … adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we … find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be …

Persistent link: https://www.econbiz.de/10013039176

Pathways after Default : What Happens to Distressed Mortgage Borrowers and Their Homes?

Chan, Sewin - 2014

We use a detailed dataset of seriously delinquent mortgages to examine the dynamic process of mortgage default - from initial delinquency and default to final resolution of the loan and disposition of the property. We estimate a two-stage competing risk hazard model to assess the factors...

Persistent link: https://www.econbiz.de/10013060299

When a nudge isn't enough : defaults and saving among low-income tax filers

Bronchetti, Erin Todd; Dee, Thomas S.; Huffman, David; … - In: National tax journal 66 (2013) 3, pp. 609-634

Persistent link: https://www.econbiz.de/10010256361

Financial stability gap and private investment nexus : evidence from sub‐Saharan Africa

Kulu, Evans - 2023

Persistent link: https://www.econbiz.de/10014336596

The influence of hotel characteristics on debt servicing and default in the U.S. lodging sector

Singh, Amrik; O'Neill, John; Liu, Peng - In: The Cornell hospitality quarterly 66 (2025) 2, pp. 137-155

Persistent link: https://www.econbiz.de/10015371657