nep-cfn New Economics Papers
on Corporate Finance
Issue of 2008‒04‒29
four papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. An Examination of Canadian Firms Delisting from U.S. Exchanges By Jonathan Witmer
  2. Value-at-Risk and Expected Shortfall for Rare Events By Stefan Mittnik; Tina Yener
  3. Moderating Political Extremism: Single vs. Dual Ballot Elections By Massimo Bordignon; Guido Tabellini
  4. How many banks does it take to lend? Empirical evidence from Europe By Christophe J. Godlewski; Ydriss Ziane

  1. By: Jonathan Witmer
    Abstract: This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period. For Canada, more than 25% of firms listed in the United States get involuntarily delisted. This effect is more pronounced in Nasdaq-listed firms, where more than 40% of Canadian firms eventually get delisted, compared to about 15% of other foreign firms. After controlling for firm characteristics that have an impact on involuntary delistings, such as size, exchange listing, previous year's return, volatility, and leverage, Canadian firms still have a higher propensity to get delisted than other foreign cross-listed firms. However, in a comparison to a U.S. matched sample, there is no statistically significant difference in the likelihood of Canadian firms being delisted, relative to these U.S. firms. These results suggest that Canadian firms may have been treated more similarly to U.S. firms under the U.S. exchanges' rules and enforcement of their continued listing criteria, and that the bonding provided by U.S. exchanges may be stronger for Canadian and U.S. firms. Also, Canadian firms may have fewer impediments to listing in the United States such that small, high-growth Canadian firms have been more able to access U.S. markets compared to foreign firms.
    Keywords: Financial markets; International topics
    JEL: G30 G38
    Date: 2008
  2. By: Stefan Mittnik (Ludwig-Maximilians-University Munich, Center for Financial Studies, Frankfurt, and Ifo Institute for Economic Research, Munich); Tina Yener (Ludwig-Maximilians-University Munich)
    Abstract: Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The alleged incentive suggested by the New Basel Capital Accord (Basel II), namely decreasing minimum capital requirements by allowing for less than perfect correlation, may not necessarily be attainable.
    Keywords: Operational Risk, Latent Variables, Correlated Events
    JEL: C52 G11 G32
    Date: 2408–04
  3. By: Massimo Bordignon; Guido Tabellini
    Date: 2008–04–18
  4. By: Christophe J. Godlewski (Laboratoire de Recherche en Gestion et Economie, Université Louis Pasteur); Ydriss Ziane (BETA, Université de Nancy)
    Abstract: We provide empirical evidence on the determinants of the number of bank lenders using a sample of more than 3000 loans to firms from 24 European countries. Our testable hypotheses are built upon different theoretical frameworks drawn from the existing literature, referring to firm characteristics, strategic considerations, geographical distances, bank market concentration, efficiency of legal system, and development of alternative sources of funds. Our main results show that the number and the international diversity of lenders is increased by loan and firm characteristics which reduce agency costs, and by financial structure and legal environment characteristics which mitigate expropriation risk.
    Keywords: Lending relationships, number of lenders, bank loans, financial governance, asymmetric information, Europe.
    JEL: G21 G32 G33
    Date: 2008

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