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Econometrics and Mathematical Economics x Corporate Governance x clear all

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Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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Board Structures Around the World: an Experimental Investigation

Ann B. Gillette, Thomas H. Noe and Michael J. Rebello.

in Review of Finance

March 2008; p ublished online October 2007 .

Journal Article. Subjects: Mergers and Acquisitions; Game Theory and Bargaining Theory. 18257 words.

We model and experimentally examine the board structure–performance relationship. We examine single-tiered boards, two-tiered boards, insider-controlled boards, and outsider-controlled...

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Buying Shares and/or Votes for Corporate Control

Eddie Dekel and Asher Wolinsky.

in The Review of Economic Studies

January 2012; p ublished online November 2011 .

Journal Article. Subjects: Game Theory and Bargaining Theory; Mergers and Acquisitions; Analysis of Collective Decision-making. 16933 words.

We explore how allowing votes to be traded separately of shares may affect the efficiency of corporate control contests. Our basic set-up and the nature of the questions continue the work...

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Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Todd A. Gormley and David A. Matsa.

in The Review of Financial Studies

February 2014; p ublished online August 2013 .

Journal Article. Subjects: Economics; Financial Institutions and Services; Corporate Governance; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20204 words.

Controlling for unobserved heterogeneity (or “common errors”), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two...

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Consensus in Diverse Corporate Boards

Nina Baranchuk and Philip H. Dybvig.

in The Review of Financial Studies

February 2009; p ublished online May 2008 .

Journal Article. Subjects: Corporate Governance; Analysis of Collective Decision-making; Game Theory and Bargaining Theory. 13504 words.

Many directors are not simply insiders or outsiders. For example, an officer of a supplier is neither independent nor captive of management. We use a spatial model of board decision-making...

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Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen.

in The Review of Financial Studies

January 2009; p ublished online June 2008 .

Journal Article. Subjects: Economics; Corporate Governance; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 21277 words.

In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and...

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Estimation of Distortion Risk Measures

Hideatsu Tsukahara.

in Journal of Financial Econometrics

January 2014; p ublished online March 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Corporate Governance. 6320 words.

For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the large sample properties of general L-statistics based on...

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Financial constraints and R&D and exporting strategies for Spanish manufacturing firms

Juan A. Máñez, María E. Rochina-Barrachina, Juan A. Sanchis-Llopis and Óscar Vicente.

in Industrial and Corporate Change

December 2014; p ublished online November 2014 .

Journal Article. Subjects: Manufacturing; International Trade; Multiple or Simultaneous Equation Models; Multiple Variables; Technological Change; Research and Development; Corporate Governance. 10896 words.

We investigate the role of internal and external financial constraints in the firms’ joint decision to export and invest in R&D. We use objective measures at the firm level such as cash...

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Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle.

in Review of Finance

March 2015; p ublished online March 2014 .

Journal Article. Subjects: Economics; Financial Regulation; Corporate Governance; Corporate Regulation; Single Equation Models; Single Variables; Econometric Modelling; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 15742 words.

We propose the realized systemic risk beta as a measure of financial companies’ contribution to systemic risk, given network interdependence between firms’ tail risk exposures. Conditional...

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