در نظر گرفتن موضوع یا ریسک برای شکست
ترجمه نشده

در نظر گرفتن موضوع یا ریسک برای شکست

عنوان فارسی مقاله: در نظر گرفتن موضوع یا ریسک برای شکست
عنوان انگلیسی مقاله: Mind the tail, or risk to fail
مجله/کنفرانس: مجله تحقیقات کسب و کار-Journal of Business Research
رشته های تحصیلی مرتبط: مدیریت، اقتصاد
گرایش های تحصیلی مرتبط: مهندسی مالی و ریسک، مدیریت مالی، مدیریت بحران، اقتصاد مالی
کلمات کلیدی فارسی: ریسک دنباله ای، ارزش در خطر، خطر نزولی، کمبود مورد انتظار، ورشکستگی، بحران مالی
کلمات کلیدی انگلیسی: Tail risk، Value-at-risk، Downside risk، Expected shortfall، Bankruptcy، Financial distress
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.jbusres.2019.02.037
دانشگاه: Department of Finance, University of Birmingham, Birmingham B15 2TY, United Kingdom
صفحات مقاله انگلیسی: 19
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2019
ایمپکت فاکتور: 5.352 در سال 2018
شاخص H_index: 158 در سال 2019
شاخص SJR: 2.203 در سال 2018
شناسه ISSN: 0148-2963
شاخص Quartile (چارک): Q1 در سال 2018
فرمت مقاله انگلیسی: PDF
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: بله
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: دارد
کد محصول: E12253
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست مطالب (انگلیسی)

Abstract

1. Introduction

2. Defining financial distress

3. Estimating downside risk measures

4. Data and covariates

5. Empirical methods

6. Multivariate models with thresholds

7. Multivariate models with thresholds and risk measures

8. Multivariate models with 5% tail risk estimates

9. Conclusion

Acknowledgements

Appendix A 1. Variable description

Appendix A 2. Correlation matrix

Appendix A 3. Area under ROC curves

References

بخشی از مقاله (انگلیسی)

Abstract

In this study we hypothesise that more frequent extreme negative daily equity returns result in higher tail risk, and this subsequently increases firms’ likelihood of entering financial distress. Specifically, we investigate the role of Value-at-risk and Expected Shortfall in aggravating firms’ likelihood of experiencing financial distress. Our results show that longer horizon (three- and five-year) tail risk measures contributes positively toward firms’ likelihood of experiencing financial distress. Additionally, considering the declining number of bankruptcy filings, and increasing out-of-court negotiations and debt reorganisations, we argue in favour of penalising firms for becoming sufficiently close to bankruptcy that they have questionable going-concern status. Thus, we propose a definition of financial distress contingent upon firms’ earnings, financial expenses, market value and operating cash flow.

Introduction

Financial Distress and Tail Risk are two apparently diverse topics that are gaining increasing attention in the corporate finance literature. The financial crisis of 2007–۰۸ was the alarm bell that augmented global awareness toward tail risk among financial risk managers. Since then, we have witnessed increasing concern among stakeholders toward firms’ risk of bankruptcy or financial distress. Although tail risk has been an active area of investigation in the domain concerned with large financial institutions and financial stability, to the best of our knowledge this study is the first academic attempt to address the relationship between firms’ extreme negative daily equity returns and their likelihood of experiencing financial distress. We hypothesise that more frequent extreme negative daily equity returns result in higher tail risk, and this subsequently increases firms’ likelihood of entering financial distress. The vast majority of academic literature on bankruptcy prediction gravitates around either the choice of explanatory variables (e.g. Campbell, Hilscher, & Szilagyi, 2008; Jones, 2017), or modelling methodologies (e.g. Gupta, Gregoriou, & Ebrahimi, 2018; Shumway, 2001) targeted toward optimising models’ classification performance. However, a model’s performance is significantly dependent on how the distress or bankruptcy event is defined in the first place.