The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

2014 ◽  
Vol 22 (3) ◽  
pp. 565-595
Author(s):  
Yuen Jung Park ◽  
Jungmu Kim
Keyword(s):  
Time Series ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Explanatory Power ◽  
Firm Level ◽  
Cross Sectional ◽  
Stock Return Volatility ◽  
The Cross ◽  
Market Variables ◽  
The Global Financial Crisis

This paper investigates whether equity liquidity and stock return jump are important determinants for the Korean corporate CDS spreads. The previous studies mainly have examined the determinants of CDS spread time series levels, whereas this study focuses on the determinants of changes or differences of CDS spread time series as well as the effecting factors of cross-sectional variations. Using monthly averaged CDS quotes for 29 firms from Jan. 2005 to Nov. 2012, we first demonstrate that the explanatory power for CDS spread changes is improved to about 39% by adding both credit risk-related market variables and firm-level jump variables, contrary to the low explanatory power (approximately 21%) reported by the previous study. However, since the principle component analysis for residuals from the regression shows that a common risk factor exists, it is possible that additional important factor remains. In addition, we demonstrate that stock return volatility is a robust variable to explain the cross-sectional differences in CDS spreads. We also find that the equity liquidity is a robust and significant factor for the cross-sectional differences in CDS spreads after the global financial crisis period. The result implies that, after the recent crisis, investors more actively considered equity illiquidity costs when they hedged their CDS exposures by stocks.

scholarly journals Foreign ownership and firm-level stock return volatility in Taiwan

2017 ◽  
Vol 14 (3) ◽  
pp. 261-269 ◽  
Author(s):  
Yi-Chein Chiang ◽  
Ming-Han Chan
Keyword(s):  
Stock Return ◽  
Global Financial Crisis ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Stock Return Volatility ◽  
Level Data ◽  
Stabilizing Effect ◽  
Sample Test ◽  
The Global Financial Crisis

With the increasing presence of foreign investors and their importance in the stock markets, the authors investigate the effects of foreign ownership on stock return volatility by using Taiwanese firm-level data covering a period from 1994 to 2014. The results demonstrate that foreign ownership is negatively correlated with stock return volatility during the whole sample period, the so-called stabilizing effect. For the sub-sample test, this effect is the largest during the period 2002–2007, the years following Taiwan joins WTO. However, the stabilizing effect did not exist after the global financial crisis in 2008 and recent years. The results are also robust after correcting the potential endogeneity issue.

scholarly journals The Effect of the Global Financial Crisis on the Level of Accounting Conservatism in Commercial Banks: Evidence from Jordan

2017 ◽  
Vol 12 (2) ◽  
pp. 151 ◽  
Author(s):  
Yusuf Ali Al-Hroot ◽  
Laith Akram Muflih AL-Qudah ◽  
Faris Irsheid Audeh Alkharabsha
Keyword(s):  
Time Series ◽  
Financial Crisis ◽  
Commercial Banks ◽  
Time Series Data ◽  
Global Financial Crisis ◽  
Ordinary Least Squares ◽  
Accounting Conservatism ◽  
Series Data ◽  
Cross Sectional ◽  
The Global Financial Crisis

This paper intends to investigate whether the financial crisis (2008) exerted an impact on the level of accounting conservatism in the case of Jordanian commercial banks before and during the financial crisis. The sample of this study includes 78 observations; these observations are based on the financial statements of all commercial banks in Jordan and may be referred to as cross-sectional data, whereas the period from 2005 to 2011 represents a range of years characterized by time series data. The appropriate regression model to measure the relationship between cross-sectional data and time series data is in this case the pooled data regression (PDR) using the ordinary least squares (OLS) method. The results indicate that the level of accounting conservatism had been steadily increasing over a period of three years from 2005 to 2007. The results also indicate that the level of accounting conservatism was subjected to an increase during crisis period between 2009 and 2011 compared with the level of accounting conservatism for the period 2005-2007 preceding the global financial crisis. The F-test was used in order to test the significant differences between the regression coefficients for the period before and during the global financial crisis. The results indicate a positive impact on the accounting conservatism during the global financial crisis compared with the period before the global financial crisis. The p-value is 0.040 which indicates that there are statistically significant differences between the two periods; these results are consistent with the results in Sampaio (2015).

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

The Determinants of Idiosyncratic Volatility

2017 ◽  
Vol 25 (4) ◽  
pp. 509-545
Author(s):  
Jaeuk Khil ◽  
Song Hee Kim ◽  
Eun Jung Lee
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Cross Section ◽  
Growth Rates ◽  
Idiosyncratic Volatility ◽  
Return Volatility ◽  
Firm Level ◽  
Cross Sectional ◽  
Asset Growth ◽  
The Cross

We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find that, in the cross-section, companies with high idiosyncratic volatility tend to be small and highly leveraged, have high variance of ROE and Market to Book ratio, high turnover rate, and pay no dividends. Furthermore, firms with extreme (either high positive or negative) asset growth rates have high idiosyncratic return volatility than firms with moderate growth rates, suggesting the V-shaped relation between asset growth rate and idiosyncratic return volatility. We find that the V-shaped relation is robust even after controlling for other factors. In time-series, we find that firm-level idiosyncratic volatility is positively related to the dispersion of the cross-sectional asset growth rates. As a result, this study is contributed to show that the asset growth is the most important predictor of firm-level idiosyncratic return volatility in both the cross-section and the time-series in the Korean stock market. In addition, we show how the effect of risk factors varies with industries.

An Examination of Audit Report Lag for Banks: A Panel Data Approach

2000 ◽  
Vol 19 (2) ◽  
pp. 159-174 ◽  
Author(s):  
B. Charlene Henderson ◽  
Steven E. Kaplan
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Panel Data Analysis ◽  
Explanatory Power ◽  
Omitted Variables ◽  
Audit Report ◽  
Cross Sectional ◽  
Cross Sectional Analysis ◽  
The Cross ◽  
Sectional Analysis

This study investigates the determinants of audit report lag (ARL) for a sample of banks. Researchers have been interested in the determinants of ARL, in part, because it impacts the timeliness of public disclosures. However, prior ARL research has relied exclusively on regression analysis of cross-sectional samples of companies from many industries. In addition to focusing exclusively on banks, panel data analysis is introduced and compared with cross-sectional analysis to demonstrate its power in dynamic settings and its potential to improve estimation. Results reveal important differences between cross-sectional analysis and panel data analysis. First, bank size is negatively related to ARL in cross-section but positively related to ARL using panel data analysis. The cross-sectional size estimate is subject to omitted variables bias, and furthermore, cross-sectional analysis fails to capture variation in size over time in relation to ARL. Panel data analysis both accounts for omitted variables and captures the dynamics of the relationship between size and ARL. As well, the panel data model's explanatory power far exceeds that of the cross-sectional model. This is primarily due to the panel model's use of firm-specific intercepts that both capture the role of reporting tradition and eliminate heterogeneity bias. Thus, panel data analysis proves to be a powerful tool in the analysis of ARL.

Financial distress determinants among SMEs: empirical evidence from Sweden

2020 ◽  
Vol 47 (3) ◽  
pp. 547-560 ◽  
Author(s):  
Darush Yazdanfar ◽  
Peter Öhman
Keyword(s):  
Financial Crisis ◽  
Financial Distress ◽  
Large Scale ◽  
Global Financial Crisis ◽  
Binary Logistic Regression ◽  
Data Availability ◽  
Cross Sectional ◽  
Data Set ◽  
Content Type ◽  
The Global Financial Crisis

PurposeThe purpose of this study is to empirically investigate determinants of financial distress among small and medium-sized enterprises (SMEs) during the global financial crisis and post-crisis periods.Design/methodology/approachSeveral statistical methods, including multiple binary logistic regression, were used to analyse a longitudinal cross-sectional panel data set of 3,865 Swedish SMEs operating in five industries over the 2008–2015 period.FindingsThe results suggest that financial distress is influenced by macroeconomic conditions (i.e. the global financial crisis) and, in particular, by various firm-specific characteristics (i.e. performance, financial leverage and financial distress in previous year). However, firm size and industry affiliation have no significant relationship with financial distress.Research limitationsDue to data availability, this study is limited to a sample of Swedish SMEs in five industries covering eight years. Further research could examine the generalizability of these findings by investigating other firms operating in other industries and other countries.Originality/valueThis study is the first to examine determinants of financial distress among SMEs operating in Sweden using data from a large-scale longitudinal cross-sectional database.

scholarly journals 28 Months Later: How Inflation Targeters Outperformed Their Peers in the Great Recession

2011 ◽  
Vol 11 (1) ◽  
Author(s):  
Irineu E de Carvalho Filho
Keyword(s):  
Interest Rates ◽  
Inflation Targeting ◽  
Global Financial Crisis ◽  
Trade Openness ◽  
Capital Inflows ◽  
Current Account Balance ◽  
Short Term ◽  
Cross Sectional ◽  
Trading Partners ◽  
The Global Financial Crisis

Twenty-eight months after the onset of the global financial crisis of August 2008, the evidence on post-crisis GDP growth emerging from a sample of 51 advanced and emerging countries is flattering for inflation targeting countries relative to their peers. The positive effect of IT is not explained away by plausible pre-crisis determinants of post-crisis performance, such as growth in private credit, ratios of short-term debt to GDP, reserves to short-term debt and reserves to GDP, capital account restrictions, total capital inflows, trade openness, current account balance and exchange rate flexibility, or post-crisis drivers such as the growth performance of trading partners and changes in terms of trade. We find that inflation targeting countries lowered nominal and real interest rates more sharply than other countries; were less likely to face deflation scares; and had sharp real depreciations without a relative deterioration in their risk assessment by markets. While the task of establishing causal relationships from cross-sectional macroeconomics series is daunting, our reading of this evidence is consistent with the resilience of IT countries being related to their ability to loosen their monetary policy when most needed, thereby avoiding deflation scares and the zero lower bound on interest rates.

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