A Firm Level Robust Credit Rating Migration Modeling Framework : A Small Sample Methodology

2018 ◽  
Vol 5 (2) ◽  
pp. 47
Author(s):  
Rohit Malhotra
Keyword(s):  
Credit Rating ◽  
Small Sample ◽  
Modeling Framework ◽  
Firm Level ◽  
Migration Modeling ◽  
Sample Methodology

Goodwill impairment loss and bond credit rating

2017 ◽  
Vol 25 (1) ◽  
pp. 2-20 ◽  
Author(s):  
Li Sun ◽  
Joseph H. Zhang
Keyword(s):  
Regression Analysis ◽  
Credit Rating ◽  
Credit Ratings ◽  
Negative Relationship ◽  
Least Squares Regression ◽  
Firm Level ◽  
Content Type ◽  
Goodwill Impairment ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this study is to examine the impact of goodwill impairment losses on bond credit ratings. Design/methodology/approach The authors use regression analysis to examine the relationship between goodwill impairment losses and bond credit ratings. Findings The empirical results show a negative relationship between the amount of goodwill impairment losses and bond credit ratings, suggesting that firms with goodwill impairment losses receive lower credit ratings. The authors perform various additional tests, including subsamples in good or bad market time, changes analysis, first time goodwill impairment firms vs subsequent impairment and the two-stage least squares regression analysis to address potential endogeneity issues. The main results persist. Originality/value This paper links and contributes to two streams of literature: goodwill impairment in accounting literature and bond credit ratings in finance literature. Whether a firm’s goodwill impairment losses affect the firm’s bond credit rating remains an interesting question that has not been examined previously. To the best of the authors’ knowledge, this is the first study that directly examines the relationship between goodwill impairment losses and bond ratings at the firm level.

Export success factors of small- and medium-sized firms in Chile

2014 ◽  
Vol 21 (3) ◽  
pp. 450-469 ◽  
Author(s):  
José O. Maldifassi ◽  
Javier Chacón Caorsi
Keyword(s):  
Design Methodology ◽  
Success Factors ◽  
Causal Model ◽  
Small Sample ◽  
Firm Level ◽  
Detailed Model ◽  
Operations Planning ◽  
Content Type ◽  
Exporting Firms ◽  
Critical Aspects

Purpose – The purpose of this paper is to identify the factors that could help differentiate between successful and unsuccessful small- and medium-sized exporter firms. Design/methodology/approach – A causal model of the exporting process was developed from the literature, from which a set of hypotheses was posed and a questionnaire was made. A sample of 37 small and medium exporter firms in Chile was subject to the questionnaire. From the data collected, the critical aspects that could help differentiate between successful and unsuccessful exporting organizations were statistically identified. Findings – The following aspects are the ones that could allow the statistical differentiation of successful and unsuccessful exporter firms: incentives at the firm level for increasing output, improved operations planning, international quality assurance certification, large percentage of sales devoted to innovation, highly frequent innovations, qualified and innovative workers, local alliances for innovation, and the possession of strategic allies at destination Research limitations/implications – The results of this research can be useful for intending small and medium exporter firms in Chile, as well as for firms in other developing countries. The results are based on a rather small sample of exporting firms in Chile; therefore, the generalizability of the results cannot be assured Originality/value – A detailed model of the exporting process of small and medium firm (SMF) was developed that is a contribution of the theoretical framework related to SMFs’ exports. The findings could be used by government agencies to offer better guidance to SMF intending to become exporters

A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators

2013 ◽  
Vol 32 (7) ◽  
pp. 654-672 ◽  
Author(s):  
Koen Berteloot ◽  
Wouter Verbeke ◽  
Gerd Castermans ◽  
Tony Van Gestel ◽  
David Martens ◽  
...  
Keyword(s):  
Credit Rating ◽  
Modeling Approach ◽  
Macroeconomic Indicators ◽  
Migration Modeling

scholarly journals The Linkage between ESG Performance and Credit Ratings: A Firm-Level Perspective Analysis

2017 ◽  
Vol 12 (9) ◽  
pp. 53 ◽  
Author(s):  
Alain Devalle ◽  
Simona Fiandrino ◽  
Valter Cantino
Keyword(s):  
Credit Rating ◽  
Credit Ratings ◽  
Cash Flows ◽  
Cost Of Debt ◽  
Firm Level ◽  
Public Firms ◽  
Clear Cut ◽  
Final Sample ◽  
Decision Making Processes ◽  
The Cost

This paper investigates the effect of environmental, social, and governance (ESG) performance on credit ratings. We argue that ESG factors should be considered in the credit analysis and the creditworthiness evaluation of borrowers because they affect borrowers’ cash flows and the likelihood of default on their debt obligations. Consequently, we develop our research by firstly reviewing the literature regarding ESG commitments within financial decision-making processes and then addressing the relation between ESG performance and the cost of debt financing. We reveal no unanimous results and no clear-cut boundaries on this matter yet. Secondly, to disentangle this relationship, which is not well defined by scholars, we empirically investigate the nexus between ESG performance and credit rating issues on a sample of 56 Italian and Spanish public firms for which ESG performance in 2015 was achieved. Our final sample includes 15 variables for 56 observations: 840 items are under analysis. Our findings suggest that ESG performance, especially concerning social and governance metrics, meaningfully affects credit ratings. We do not sort out significant results referring to environmental scores, so further research is needed to investigate this ever-growing matter and strengthen this considerable nexus.

scholarly journals More Unnecessary Imaginary Worlds – Part 2: The ICER Evidence Report on Modeling Oral Semaglutide for Type 2 Diabetes

2020 ◽  
Vol 11 (1) ◽  
pp. 10
Author(s):  
Paul Langley
Keyword(s):  
Type 2 Diabetes ◽  
Lifetime Cost ◽  
Evidence Base ◽  
Small Sample ◽  
Major Adverse Cardiovascular Events ◽  
Modeling Framework ◽  
Clinical Events ◽  
Article Type ◽  
Life Years

On 9 December 2019, the Institute for Clinical and Economic Review (ICER) released its final evidence report to establish the value of oral semaglutide (Novo Nordisk) for Type 2 diabetes (T2DM). A key element in this report was the development of a lifetime cost effectiveness microsimulation model based on a small sample of NHANES diabetes respondents. The model contrasted oral semaglutide added to current antihyperglycemic treatment for T2DM. The purpose of the model was to estimate outcomes that included life years (LYs) gained, an estimate of equal value life years gained (evLYGs), QALYs gained, clinical events, cost per major adverse cardiovascular events (MACE) avoided and total costs for each intervention over a lifetime time horizon. Previous commentaries in INNOVATTIONS in Pharmacy have provided detailed critiques of the ICER modeling framework. While this model differs from previous ICER models, the result is still a framework that constructs a so-called evidence base that fails the demarcation test. It is best described as pseudoscience. The model creates, by assumption, an imaginary world. The claims made for oral semaglutide by ICER should not be taken seriously by health care decision makers.  The purpose of this commentary is to point to the limitations of the model with particular reference to the utility metrics employed, the resulting claims for quality adjusted life years (QALYs) and consequent recommendations for price discounting and affordability.   Article Type: Commentary

scholarly journals The effects of past satisfaction and commitment on the future intention to internationalize

2016 ◽  
Vol 11 (2) ◽  
pp. 256-272
Author(s):  
Jase R Ramsey ◽  
Livia Barakat ◽  
Matthew C. Mitchell ◽  
Thomas Ganey ◽  
Olesea Voloshin
Keyword(s):  
Positive Relationship ◽  
Emerging Market ◽  
Small Sample ◽  
Firm Level ◽  
Content Type ◽  
Future Studies ◽  
The Future ◽  
Future Intention ◽  
Future Intent ◽  
The Relationship

Purpose – The purpose of this paper is to provide evidence that firms that are more committed to internationalization, systematically differ from firms that are less committed to internationalization in their future intention to engage in foreign direct investment (FDI). The authors analyzed data from 42 large Brazilian multinational enterprises (MNEs) and found that results support previous research on the degree of satisfaction with prior internationalization efforts and future intent to internationalize, such that the relationship between the two is positive. Yet contrary to existing literature, the degree to which a firm was committed to internationalization has a negative influence on the positive relationship between satisfaction and intent. Design/methodology/approach – All Brazilian firms that have entered foreign markets via FDI were surveyed to measure the firm’s: intent to internationalize; satisfaction with prior internationalization; and commitment to internationalization. Intent to internationalize is future based while both satisfaction and commitment reflect previous year’s activities. The potential response pool included publically traded companies listed on the Bovespa (São Paulo Stock Exchange) and private limited companies (Ltda.). The authors conducted a hierarchical moderated regression analysis to test the moderating effect of commitment to internationalization on the relationship between international satisfaction and intent to internationalize. Findings – This study adds to the literature by examining how past international satisfaction and commitment affect the future intent to internationalize for large Brazilian MNEs. The results confirm that the degree of past satisfaction regarding a firm’s international business is positively related to the firm’s future intent to internationalize. However, the results diverge from past research in two important ways. First, contrary to the organizational behavior literature, past commitment to internationalization does not have a significant relationship with future intention to internationalize. Second, the results show the relationship between satisfaction and intent is weakened by a high degree of international commitment. Research limitations/implications – A limitation of this study is the small sample size. While it encompasses the vast majority of large MNEs in Brazil, the authors still do not have enough data points to test more hypotheses such as the effects of firm size, number of countries the firm is in, and age of the firm. Future studies should attempt to expand the work done here by examining these effects. Another limitation of this study is that it is based on solely one country; Brazil. Future studies should attempt to replicate these findings in other emerging market countries. Practical implications – These results have three main managerial implications. First, international strategists analyzing the trajectory of a firm’s future intentions to internationalize should focus on how satisfied the firm has been with its past efforts. Second, managers should not assume that just because their firms have a large presence abroad that this will subsequently lead to future plans to internationalize. Finally, for emerging market MNEs in a period of the financial crises, committing more to internationalization may reduce the positive relationship between satisfaction and intention. Originality/value – The purpose of this study is to add to the small but growing work on large MNEs from Brazil in order to better understand their internationalization strategies. While there are literally hundreds of articles investigating the individual-level relationship between satisfaction and the intent to do something, there are a dearth at the firm level (see Wood et al., 2011, as a notable exception). The authors therefore attempt to extend the literature on internationalization by discussing how satisfaction at the firm level affects a firm-level decision.

scholarly journals The impact of credit ratings on capital structure

2019 ◽  
Vol 11 (2) ◽  
pp. 226-245
Author(s):  
Bora Aktan ◽  
Şaban Çelik ◽  
Yomna Abdulla ◽  
Naser Alshakhoori
Keyword(s):  
Capital Structure ◽  
Credit Rating ◽  
Stock Exchange ◽  
Debt Crisis ◽  
Credit Ratings ◽  
Research Result ◽  
Small Sample ◽  
Linear Regression Models ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to empirically investigate the effect of real credit ratings change on capital structure decisions. Design/methodology/approach The study uses three models to examine the impact of credit rating on capital structure decisions within the framework of credit rating-capital structure hypotheses (broad rating, notch rating and investment or speculative grade). These hypotheses are tested by multiple linear regression models. Findings The results demonstrate that firms issue less net debt relative to equity post a change in the broad credit ratings level (e.g. a change from A- to BBB+). The findings also show that firms are less concerned by notch ratings change as long the firms remain the same broad credit rating level. Moreover, the paper indicates that firms issue less net debt relative to equity after an upgrade to investment grade. Research limitations/implications The study covers the periods of 2009 to 2016; therefore, the research result may be affected by the period specific events such as the European debt crisis. Moreover, studying listed non-financial firms only in the Tadawul Stock Exchange has resulted in small sample which may not be adequate enough to reach concrete generalization. Despite the close proximity between the GCC countries, there could be jurisdictional difference due to country specific regulations, policies or financial development. Therefore, it will be interesting to conduct a cross country study on the GCC to see if the conclusions can be generalized to the region. Originality/value The paper contributes to the literature by testing previous researches on new context (Kingdom of Saudi Arabia, KSA) which lack sophisticated comparable studies to the one conducted on other regions of the world. The results highlight the importance of credit ratings for the decision makers who are required to make essential decisions in areas such as financing, structuring or operating firms and regulating markets. To the best of the authors’ knowledge, this is the first study of its kind that has been applied on the GCC region.

MONOTONIC SUPPORT VECTOR MACHINES FOR CREDIT RISK RATING

2009 ◽  
Vol 05 (03) ◽  
pp. 557-570 ◽  
Author(s):  
MICHAEL DOUMPOS ◽  
CONSTANTIN ZOPOUNIDIS
Keyword(s):  
Support Vector Machines ◽  
Pattern Classification ◽  
Credit Rating ◽  
Monotone Function ◽  
Predictive Ability ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Probability Of Default ◽  
Modeling Framework ◽  
Vector Machines

Credit rating models are widely used by banking institutions to assess the creditworthiness of credit applicants and to estimate the probability of default. Several pattern classification algorithms are used for the development of such models. In contrast to other pattern classification tasks, however, credit rating models are not only expected to provide accurate predictions, but also to make clear economic sense. Within this context, the estimated probability of default is often required to be a monotone function of the independent variables. Most machine learning techniques do not take this requirement into account. In this paper, monotonicity hints are used to address this issue within the modeling framework of support vector machines (SVM), which have become increasingly popular in this field. Non-linear SVM credit rating models are developed with linear programming, taking into account the monotonicity requirement. The obtained results indicate that the introduction of monotonicity hints improves the predictive ability of the models.

The Impact of Credit Rating Change on Investor Sentiment

2019 ◽  
Vol 27 (1) ◽  
pp. 85-111
Author(s):  
Doojin Ryu ◽  
Karam Kim ◽  
Heejin Yang
Keyword(s):  
Behavioral Finance ◽  
Credit Rating ◽  
Abnormal Returns ◽  
Investor Sentiment ◽  
Firm Level ◽  
Cumulative Abnormal Returns ◽  
Rating Changes ◽  
The Impact ◽  
Fundamental Values ◽  
Rating Downgrades

The behavioral finance literature focuses on the effect of investor sentiment on the fundamental values of individual stocks. This study constructs a firm-level investor sentiment indicator based on transaction and price data for individual firms and shows that credit rating changes affect investor sentiment. We find the following empirical results. First, the response of investor sentiment to upgrades (downgrades) is significantly positive (negative). Second, the greater the magnitude of the downgrade is, the more negative the investor sentiment reaction is, although we do not find a similar result for upgrades. Third, cumulative abnormal returns around the event day are affected by cumulative abnormal sentiment before that day. This result suggests that the market reaction is affected by a combination of credit rating downgrades and investor sentiment.

Hotel’s grid group structure and risk management practices

2016 ◽  
Vol 71 (3) ◽  
pp. 192-204 ◽  
Author(s):  
Vilas Govind Waikar ◽  
Purva G. Hegde Desai ◽  
Nilesh Borde
Keyword(s):  
Risk Management ◽  
Management Practices ◽  
Group Structure ◽  
Complex Structure ◽  
Small Sample ◽  
Firm Level ◽  
Theoretical Understanding ◽  
Content Type ◽  
Luxury Hotels ◽  
Risk Coping

Purpose Risk management is an emerging research area in tourism and hospitality. This paper classifies hotels based on grid (control) and group (inter dependencies) structure given by the cultural theory of risk. This paper aims to understand whether hotels grouped as per grid group structure differ on risk coping strategies such as mitigation, absorption and transfer for various hospitality risks. Design/methodology/approach Primary data are collected from 112 senior managers of luxury hotels using structured questionnaire aimed to capture the grid group aspect and risk management practices. Using factor scores, hotels are grouped. One-way analysis of variance is performed on these data to ascertain whether risk management practices of various types of hotels differ. Findings Results provide new insights into hotels grid group aspect and risk-related behaviour, revealing that hotels significantly differ on risk coping and confirming that the structure of hotel – the grid and group – does impact its risk management practices. Research limitations/implications The study adds to the extant literature. For the first time, the grid group structure of hotel is proposed to impact the risk coping. Second, the risk perception study is conducted at firm level and not at individual level as done in past. Third, the paper looks at all three risk management practices and not in isolation, thus taking the risk research dialogue further. The study has not considered non-luxury hotels. Second limitation is a small sample of 112 hotels. Practical implications The study opens up a new perspective on hotel risk management. The researchers will benefit from the newer, theoretical understanding of firm-level complex structure of risk. The hotels risk professionals can benefit from understanding grid group structure and risk coping practices. Originality/value The novel approach of grid group classification of hotels is developed. Risk management practices are studied across hotel types for various risks. Study enhances the understanding of risk and grid group structure with regard to managing hospitality risk.

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