nep-cfn New Economics Papers
on Corporate Finance
Issue of 2010‒11‒13
two papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios By Dimitrios P. Louzis; Aggelos T. Vouldis; Vasilios L. Metaxas
  2. Politics and elections at the Spanish stock exchange By Ángel Pardo Tornero; María Dolores Furió Ortega

  1. By: Dimitrios P. Louzis (Bank of Greece and Athens University of Economics and Business); Aggelos T. Vouldis (Bank of Greece and University of Athens); Vasilios L. Metaxas (Bank of Greece)
    Abstract: This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different categories of loans. The results show that NPLs in the Greek banking system can be explained mainly by macrofundamentals (GDP, unemployment, interest rates) and management quality. Differences in the quantitative impact of macroeconomic factors among types of loans are evident with non-performing mortgages being the least responsive towards changes in the macroeconomic conditions.
    Keywords: Non-perfoming loans; Greek banking system; Macroeconomic determinants; Bank specific determinants; Dynamic panel data
    JEL: G21 C23
    Date: 2010–09
  2. By: Ángel Pardo Tornero (Dpto. Economía Financiera y Actuarial); María Dolores Furió Ortega (Universitat de València)
    Abstract: This paper examines the influence of Spanish major political events on the stock market performance. The analytical results demonstrate that there are no systematic differences in excess returns in the last two years preceding an election, that market responses are of the same magnitude when incumbents win or lose the election, and that there is no difference between the excess returns during left-leaning and right-leaning governments. Regarding to the stock market performance around election dates, negative price changes are observed in the days prior to elections, reverting to positive once the election takes place. Our results are in line with the work of Brown, Harlow and Tinic (1988) on the Uncertain Information Hypothesis that postulates that volatility of stock returns increases following the arrival of unexpected information and prices rise as uncertainty is resolved.convirtiéndose en incrementos con posterioridad a las mismas. Estos resultados son consistentes con la hipótesis de información incierta de Brown et al. (1988), de acuerdo con la cual, la volatilidad de los rendimientos de las acciones se incrementa con la aparición en el mercado de información que no se esperaba y los precios se recuperan a medida que desaparece la incertidumbre. Este trabajo examina la influencia de la política en el comportamiento del mercado bursátil español. Analíticamente se demuestra que no hay diferencias sistemáticas en los rendimientos anormales de las acciones durante los dos años anteriores a la celebración de elecciones, que la respuesta del mercado es la misma con independencia de que un determinado partido revalide su victoria electoral y que no existen diferencias entre los rendimientos anormales de las acciones observados bajo gobiernos de izquierdas o de derechas. Con respecto al comportamiento de las acciones durante el periodo anterior y posterior a la fecha de las elecciones, se observan disminuciones en los precios en los días previos a las elecciones
    Keywords: política, rendimientos anormales, comportamiento del mercado bursátil politics, excess returns, stock market performance
    JEL: G14 D81 H11
    Date: 2010–10

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