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1.
Over the latest 20 years, the average credit rating of U.S. corporations has trended down. Blume et al. (1998, Journal of Finance, 53, 1389–1413.) attribute this trend to a tightening of credit standards by agencies. We reexamine the observed decreases in
credit ratings in several ways. First, we show that this downward trend does not apply to speculative-grade issuers. Second,
our analysis of investment-grade issuers suggests that the apparent tightening of standards can be attributed primarily to
changes in accounting quality over time. After incorporating changing accounting quality, we find no evidence that rating
agencies have tightened their credit standards.
相似文献
Charles ShiEmail: |
2.
Brent W. Ambrose Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(3):281-298
Previous research either assumes default free leases or leases subject to default risk using a structural approach. However,
structural credit risk models suffer from a common criticism that the firm’s asset value process is unobservable. We develop
a reduced form credit risk model for leases that avoids making assumptions regarding unobservable asset valuation processes.
Furthermore, we assume a correlated market and credit risk that provides us with a simple analytic formula for valuing defaultable
lease contracts. Numerical analysis reveals that tenant credit risk can have a substantial impact on the term structure of
leases. Finally, we use the model to demonstrate the implied lease term structure for a set of retail and financial firms
in the Fall of 2000.
相似文献
Yildiray YildirimEmail: |
3.
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference
entities consists of large, internationally active German banks and the observation period covers 3 years.
By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity
risk, we gain important insights into modeling the dynamics of CDS spreads. The impact of systematic risk, for example, has
three components; one is related to the overall state of the economy, another related to the risk of the internationally active
banking sector, and the third is an unobservable systematic factor.
Default probabilities, inferred from a tractable reduced form model for CDS spreads, are compared with expected default frequencies
from the Moody’s KMV model. The results lend empirical support to the hypothesis that structural models can be less informative
than reduced-form models of CDS spreads in the case of banks with major investment banking activities as the leverage loses
explanatory power.
Although the CDS market appears to have matured over the observation period, during certain periods premiums for liquidity
risk can increase substantially thus limiting the value of CDS spreads as market indicators. We conclude that equity prices
and CDS premia should be considered together to fully exploit the information content of both market indicators and to mitigate
their respective drawbacks.
相似文献
Agnieszka SosinskaEmail: |
4.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
5.
Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of
defaultable bonds and evaluates their spread risk. We introduce “yield spread term-quality surface” (YSTQS) which is defined
on the space of duration and credit reliability of the issuers, and express their yield spread. First, we review the general
pricing theorem of defaultable bonds with unpredictable recovery in the no-arbitrage context based on the external hazard
rates. Second, we show that the dynamics of state variables determine the shape of the YSTQS, and they drive the YSTQS if
the loss-adjusted hazard rates are described by a function of them. Finally, we show an empirical analysis of our model with
daily yield spread, duration, and the credit ratings of corporate bonds.
相似文献
Tomoaki ShoudaEmail: |
6.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
7.
Nikolas Rokkanen 《Financial Markets and Portfolio Management》2009,23(1):31-57
The paper examines the credit spread between government and corporate bonds at different maturities. Theoretical models assume
that credit risk premiums for high quality firms monotonously increase with maturity. We find evidence suggesting that bonds
issued at maturities attracting the highest issuance volumes tend to have credit risk premiums that are on average 10 to 15
basis points higher than issues at nonconventional maturities. These results point out a shortcoming of existing theoretical
models and show that the credit yield curve is not smooth, but affected by the local supply of issues at various parts of
the yield curve. In addition, the empirical evidence presented in this paper indicates that firms utilizing the bond markets
for funding could lower their funding costs by shifting the term of their debt away from the most commonly targeted maturities.
相似文献
Nikolas RokkanenEmail: |
8.
Among the issues raised by consolidation within the banking industry is a concern that small businesses will be less able
to obtain credit as community banks are acquired by larger or non-local institutions. Community banks have traditionally been
a major source of funding for small businesses. The impact of bank consolidation on credit availability may depend in part
on whether the remaining community institutions expand their small business lending activities. This study examines whether
credit unions have a propensity to extend business loans in markets that have experienced bank merger and acquisition activity.
We find some evidence that credit unions are more likely to engage in business lending in markets characterized by greater
bank merger and acquisition activity. Moreover, the estimated economic significance is meaningful in many of the specifications.
相似文献
Kenneth J. RobinsonEmail: |
9.
How Much Do Banks Use Credit Derivatives to Hedge Loans? 总被引:3,自引:0,他引:3
Bernadette A. Minton René Stulz Rohan Williamson 《Journal of Financial Services Research》2009,35(1):1-31
Before the credit crisis that started in mid-2007, it was generally believed by top regulators that credit derivatives make
banks sounder. In this paper, we investigate the validity of this view. We examine the use of credit derivatives by US bank
holding companies with assets in excess of one billion dollars from 1999 to 2005. Using the Federal Reserve Bank of Chicago
Bank Holding Company Database, we find that in 2005 the gross notional amount of credit derivatives held by banks exceeds
the amount of loans on their books. Only 23 large banks out of 395 use credit derivatives and most of their derivatives positions
are held for dealer activities rather than for hedging of loans. The net notional amount of credit derivatives used for hedging
of loans in 2005 represents less than 2% of the total notional amount of credit derivatives held by banks and less than 2%
of their loans. We conclude that the use of credit derivatives by banks to hedge loans is limited because of adverse selection
and moral hazard problems and because of the inability of banks to use hedge accounting when hedging with credit derivatives.
Our evidence raises important questions about the extent to which the use of credit derivatives makes banks sounder.
相似文献
René StulzEmail: |
10.
Arthur Allen George Sanders Donna Dudney 《Review of Quantitative Finance and Accounting》2009,32(4):421-438
We investigate whether issuers that choose to forgo a bond rating suffer an interest cost penalty greater than the cost of
the rating. We use estimated ratings provided by Moody’s Investor Service to proxy for what the rating would have been if
it had been purchased. We find that the primary factors associated with an issuer’s decision to purchase a rating are the
rating expected by the issuer and the extent to which an issue is marketed locally. After controlling for self-selection bias,
we find that the issuers that forgo a rating do not suffer an interest cost penalty.
相似文献
Donna DudneyEmail: |
11.
Ling Chu Robert Mathieu Sean Robb Ping Zhang 《Review of Quantitative Finance and Accounting》2007,28(2):147-162
In this paper, we provide evidence that banks with a low level of capitalization have reduced their commitment with respect
to lines of credit after the introduction of the Basle Accord. A bank's lending behavior reflects its level of commitment
towards borrowers, which in turn affects the level of effort it exerts on screening and monitoring the activities of borrowers.
We find that the post-Basle Accord market reaction to the announcement of lines of credit issued by banks with a low level
of capitalization is significantly lower than the reaction to other types of bank credit announcements. We interpret this
result as evidence that some banks have a low level of commitment associated with lines of credit after the Basle Accord.
相似文献
Sean RobbEmail: |
12.
Terry Hallahan Robert W. Faff Karen L. Benson 《Journal of Financial Services Research》2008,33(3):205-220
In this paper we investigate the tournament induced risk-shifting behavior of Australian “multi-sector growth funds”. We apply
a regression-based methodology and examine tournaments based on the calendar year and the financial year. In our core analysis
we find evidence in favor of Taylor’s (J Econ Behav Organ 1455:1–11, 2003) risk shifting tournament hypothesis for financial year-end tournaments. Apart from the standard tournament
hypothesis we also report a range of findings regarding stability; fund age; and fund size. Support for the Taylor hypothesis
generally continues across these variations as well.
相似文献
Terry HallahanEmail: |
13.
We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession
(DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants
of lending specialization (e.g. lender choice). We find that the choice of lender is not driven by credit risk, but by information
considerations and that this lending specialization has loan pricing effects. In short, banks (non-bank lenders) lend to more
(less) transparent firms and at lower (higher) loan spreads. Our results are consistent with the interpretation that banks
provide important and useful services.
相似文献
Gabriel G. Ramirez (Corresponding author)Email: |
14.
We propose two alternative models to estimate fundamental prices on real estate markets. The first model is based on a no-arbitrage
condition between renting and buying. The second model interprets the period costs as the result of market equilibrium between
housing demand and supply. We estimate both models for the USA, the UK, Japan, Switzerland, and the Netherlands. We find that
observed prices deviate substantially and for long periods from their estimated fundamental values. However, we find some
evidence that, in the long-run, actual prices tend to return to their fundamental values progressively. This result is due
to both impulse–response functions and forecast analyses. In particular, we find that using the fundamental price significantly
increases the accuracy of out-of-sample long-term forecasts of the price.
相似文献
Christian HottEmail: |
15.
Enterprise risk management in financial groups: analysis of risk concentration and default risk 总被引:1,自引:0,他引:1
Nadine Gatzert Hato Schmeiser Stefan Schuckmann 《Financial Markets and Portfolio Management》2008,22(3):241-258
In financial groups, enterprise risk management is becoming increasingly important in controlling and managing the different
independent legal entities in the group. The aim of this paper is to assess and relate risk concentration and joint default
probabilities of the group’s legal entities in order to achieve a more comprehensive picture of a financial group’s risk situation.
We further examine the impact of the type of dependence structure on results by comparing linear and nonlinear dependencies
using different copula concepts under certain distributional assumptions. Our results show that even if financial groups with
different dependence structures do have the same risk concentration factor, joint default probabilities of different sets
of subsidiaries can vary tremendously.
相似文献
Stefan SchuckmannEmail: |
16.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
17.
We investigate the relationship between the borrower’s abnormal loan announcement return and the bank’s loan screening and
monitoring using a new ex-ante proxy for loan screening and monitoring. While recent studies have suggested that bank loan relationships and related loan
screening and monitoring services may no longer matter, we find significant loan announcement returns over the 1995–1999 period
and, controlling for borrower and loan characteristics, a statistically significant positive relationship between the proxy
and the borrower’s standardized CAR. While consistent with a bank’s loan screening and monitoring adding value to the borrower,
the economic effect is relatively small.
相似文献
Ian G. SharpeEmail: |
18.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
19.
We examine financially distressed firms and document how governance characteristics affect (1) a firm’s ability to avoid bankruptcy
and (2) the power of financial/accounting information to predict bankruptcy. Overall, our findings indicate that a distressed
firm’s governance characteristics significantly affect its probability of bankruptcy. We find that smaller and more independent
boards with a higher ratio of non-inside directors and with larger ownership stakes of inside directors are more effective
at avoiding bankruptcy once distress is indicated. These results are consistent with the belief that these types of governance
structures induce more effective monitoring. The results are also consistent with the view that the inclusion of governance
characteristics enhances the power of financial accounting models in predicting bankruptcy.
相似文献
Steve L. SlezakEmail: |
20.
M. Deetz T. Poddig I. Sidorovitch A. Varmaz 《Financial Markets and Portfolio Management》2009,23(3):285-313
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models
to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional
multi-factor models outperform strategies based on unconditional multi-factor models, and do better than a passive buy-and-hold
strategy. However, a strategy that uses the sample mean as a return forecast is superior. We also find that the estimation
of the covariance matrices based on the conditional and unconditional multi-factor models does not improve the performance
of the active asset allocation strategy relative to the incorporation of the historical covariance matrices. These results
are fairly robust to different estimation approaches, as well as to the impact of transaction costs and the consideration
of upper and lower bounds for the portfolio weights.
相似文献
M. DeetzEmail: |