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on Corporate Finance |
| By: | Henri Nyberg (University of Helsinki); Harri Pönkä (University of Helsinki and CREATES) |
| Abstract: | We study the directional predictability of monthly excess stock market returns in the U.S. and ten other markets using univariate and bivariate binary response models. Our main interest is on the potential benefits of predicting the signs of the returns jointly, focusing on the predictive power from the U.S. to foreign markets. We introduce a new bivariate probit model that allows for such a contemporaneous predictive linkage from one market to the other. Our in-sample and out-of-sample forecasting results indicate superior predictive performance of the new model over the competing models by statistical measures and market timing performance, suggesting gradual diffusion of predictive information from the U.S. to the other markets. |
| Keywords: | Excess stock return, Directional predictability, Bivariate probit model, Market timing |
| JEL: | C22 G12 G17 |
| Date: | 2015–05–05 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2015-20&r=cfn |
| By: | Malcolm, Bill; Sinnett, Alex |
| Keywords: | Consumer/Household Economics, Risk and Uncertainty, |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aare15:202531&r=cfn |
| By: | Sweder van Wijnbergen (Faculty of Economics and Business, University of Amsterdam); Sajjad Zaheer (State Bank of Pakistan, Pakistan); Moazzam Farooq (Central Bank of Oman, Oman) |
| Abstract: | We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to take on risks than Conventional Banking Institutions (CBI). IBIs have less incentive for risk shifting both in and outside of distress situations. We test and confirm this prediction in an empirical analysis based on a dataset covering all CBIs, IBIs, and Islamic and conventional subsidiaries of mixed banking institutions in Pakistan. We find that full-fledged Islamic banks (IBs) are indeed more stable than conventional banking institutions (CBIs), and are better capitalized than their conventional counterparts. IBIs also have less volatile asset returns, less non-performing loans (NPLs) and lower loan loss provisioning. Similar results obtain for Islamic windows of mixed banks compared with conventional windows. The analysis suggests that the loss absorption capacity of Islamic banks leads to less risk taking and a more stable banking system. |
| Keywords: | Islamic Banking; risk shifting; asset quality; financial stability |
| JEL: | G2 G21 Z12 |
| Date: | 2015–05–04 |
| URL: | http://d.repec.org/n?u=RePEc:tin:wpaper:20150051&r=cfn |
| By: | Grupp, Marcel; Rauch, Christian; Umber, Marc P.; Walz, Uwe |
| Abstract: | This paper analyzes the influence Leveraged Buyouts (LBOs) have on the operating performance of the LBO target companies' direct competitors. A unique and hand-collected data set on LBOs in the United States in the period 1985-2009 allows us to analyze the effects different restructuring activities as part of the LBO have on the competitors' revenues. These restructuring activities include changes to leverage, governance, or operating business, as well as M&A activities of the LBO target company. We find that although LBOs itself have a negative influence on competitors' revenue growth, some restructuring mechanisms might actually benefit competing companies. |
| Keywords: | Product Market Competition,Peers,LBOs,Restructuring |
| JEL: | D43 G23 G24 G34 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:99&r=cfn |