http://hdl.handle.net/10016/6548 2013-06-20T03:50:42Z 2013-06-20T03:50:42Z Mayordomo, Sergio [smayordo] Peña Sánchez de Rivera, Juan Ignacio [ypenya] Rodríguez-Moreno, María [mrodri] http://hdl.handle.net/10016/15894 2012-11-17T00:17:52Z 2012-09-30T22:00:00Z

Title: Liquidity Commonalities in the Corporate CDS Market around Author(s): Mayordomo, Sergio [smayordo]; Peña Sánchez de Rivera, Juan Ignacio [ypenya]; Rodríguez-Moreno, María [mrodri] Abstract: This study presents robust empírical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on finn's characteristics. The leve! of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financia! distress episodes such that the effect of market 1iquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to altemative liquidity measures.

2012-09-30T22:00:00Z Chiu, Wan-Chien Peña Sánchez de Rivera, Juan Ignacio [ypenya] Wang, Chih-Wei http://hdl.handle.net/10016/15832 2012-11-08T00:07:34Z 2011-06-30T22:00:00Z

Title: On the Role of Industry-Level Structural Constraints and the Timing of Accounting Reports in Bankruptcy Predictions Author(s): Chiu, Wan-Chien; Peña Sánchez de Rivera, Juan Ignacio [ypenya]; Wang, Chih-Wei Abstract: This study uses a hazard model with data on 3392 corporate bankruptcies by U.S. public companies during 1983–2008 to determine the effect of industry-based structural constraints on bankruptcy predictions. The probability of bankruptcy is significantly higher for firms in highly concentrated industries and with relatively stronger customer dependency. Most bankruptcy predictions reflect the variation of a firm’s characteristics relative to its industry, but industry-specific characteristics have negligible impacts. The investigation also includes a comparison of the relative performance of accounting and market-based variables, in terms of both in-sample fit and out-of-sample forecasting accuracy. For yearly data, the best model includes both accounting and market-based variables. However, for monthly market data and quarterly accounting reports, the best model features only market data. The usefulness of accounting measures in bankruptcy prediction models thus may be contingent on sampling frequency.

2011-06-30T22:00:00Z Magalhaes, Rômulo Tribó, Josep A. [joatribo] http://hdl.handle.net/10016/14291 2012-05-17T07:52:43Z 2011-10-14T22:00:00Z

Title: Bank regulations and loan contracts Author(s): Magalhaes, Rômulo; Tribó, Josep A. [joatribo] Abstract: This study examines empirically how bank regulations adopted in lender countries influence the characteristics of loan contracts, using a sample of 46,453 loans made by 278 large commercial banks around 39 countries, to borrowers in 83 countries, in the period from 1998 to 2006. Our findings indicate that the stringency of capital regulations have an inverse U-shaped relationship with priced risk characteristics (spread and maturity) of loan contracts. In addition, more powerful official supervision is associated with riskier loan contracts. Both official supervisory power and private monitoring work as substitutes to capital regulation to reduce the (priced) risk measures of loan contracts when capital stringency is low. For higher capital stringency, supervision and private monitoring complement capital regulation in reducing loan contracts risk measures. Finally, we found that a country’s degrees of legal enforcement and bank industry competition complement capital and private monitoring regulations to improve risk characteristics of loan contracts. The evidence highlights the importance of how bank lending practices are affected by bank regulations and their interactions with themselves and other institutional country factors.

2011-10-14T22:00:00Z Torres, Anna Tribó, Josep A. http://hdl.handle.net/10016/14271 2012-05-15T23:26:34Z 2007-05-31T22:00:00Z

Title: Ownership structure, costumer satisfaction and brand equity Author(s): Torres, Anna; Tribó, Josep A. Abstract: This paper studies the interaction between ownership structure, taken as a proxy for shareholders’ commitment, and customer satisfaction - the main driver of consumer loyalty - and their impact on a firm’s brand equity. The results show that customer satisfaction has a positive direct effect on brand equity but an indirect negative one because of reductions in ownership concentration. This latter effect emerges when managers are mainly customer-oriented. Such result gives out a warning signal that highlights the perverse effect of implementing policies, focused excessively on satisfying customers at the expense of shareholders, on a firm’s brand equity. The empirical analysis uses an incomplete panel data comprising 69 firms from 11 nations, for the period 2002-2005.

2007-05-31T22:00:00Z