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Predicting the risk of financial distress using corporate governance measures
پیش بینی خطر پریشانی مالی با استفاده از اقدامات حاکمیت شرکتی-2020 Corporate governance is an important determinant of corporate performance. Poor corporate governance can damage the interests of shareholders, and may lead to business collapse. This paper expands the literature on credit risk management by assessing the effectiveness of aspects of corporate governance for predicting financial distress in a dynamic discrete-time survival analysis model. It is a comprehensive, up-to-date and thorough study, which uses a large range of corporate governance measures, financial ratios and macroeconomic variables in a panel data structure over a 17-year period. Furthermore, the paper addresses the relationship between government ownership and the risk of financial distress in China. The results suggest that although corporate governance alone is not sufficient to accurately predict financial distress, it can add to the predictive power of financial ratios and macroeconomic factors. In addition, the model provides insights into the role of state ownership, independent directors, institutional investors and some personal characteristics of the Chair of the board. Implications are made regarding them and the debt and bankruptcy problem in China and Asia. Keywords: Corporate governance | Credit risk | Survival analysis | Financial distress | Ownership structure |
مقاله انگلیسی |
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Anticipating bank distress in the Eurozone: An Extreme Gradient Boosting approach
پیش بینی بحران مالی بانک ها در منطقه یورو: یک رویکرد تقویت گرادیان شدید-2019 The banking sector plays a special role in the economy and has critical functions which are essential for economic
stability. Hence, systemic banking crises disrupt financial markets and hinder global economic growth. In
this study, Extreme Gradient Boosting, a state of the art machine learning method, is applied to identify a set of
key leading indicators that may help predict and prevent bank failure in the Eurozone banking sector. The crosssectional
data used in this study consists of 25 annual financial ratio series for commercial banks in the
Eurozone. The sample includes Eurozone listed failed and non-failed banks for the period 2006–2016. A number
of early warning systems and leading indicator models have been developed to prevent bank failure. Yet the
breadth and depth of the recent financial crisis indicates that these methods must improve if they are to serve as
a useful tool for regulators and managers of financial institutions. Our goal is to build a classification model to
determine which variables should be monitored to anticipate bank financial distress. A set of key variables are
identified to anticipate bank defaults. Identifying leading indicators of bank failure is necessary so that regulators
and financial institutions management can take preventive and corrective measures before it is too late. Keywords: Bank failure prediction | Bank failure prevention | Bank financial distress | Machine learning | Extreme Gradient Boosting |XGBoost |
مقاله انگلیسی |
3 |
Predicting failure in the U:S: banking sector: An extreme gradient boosting approach
پیش بینی شکست در بخش بانکی ایالات متحده: رویکرد افزایش شدید شیب-2019 Banks play a central role in developed economies. Consequently, systemic banking crises destabilize
financial markets and hamper global economic growth. In this study, extreme gradient
boosting was used to predict bank failure in the U.S. banking sector. Key variables were identified
to anticipate and prevent bank defaults. The data, which spanned the period 2001 to 2015,
consisted of annual series of 30 financial ratios for 156 U.S. national commercial banks. Identifying
leading indicators of bank failure is vital to help regulators and bank managers act swiftly
before distressed financial institutions reach the point of no return. The findings indicate that
lower values for retained earnings to average equity, pretax return on assets, and total risk-based
capital ratio are associated with a higher risk of bank failure. In addition, an exceedingly high
yield on earning assets increases the chance of bank financial distress. Keywords: Bank failure prediction | Bank failure prevention | Bank financial distress | Machine learning | Extreme gradient boosting | XGBoost |
مقاله انگلیسی |
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Employment protection and corporate cash holdings: Evidence from Chinas labor contract law
حفاظت از استخدام و هلدینگ های نقدی شرکتی: شواهدی از قانون قرارداد کارگری چین-2018 Employment protection increases labor adjustment costs and hence the expected costs of financial distress for labor-intensive firms. It follows that these firms are likely to increase their cash holdings to reduce the risk of financial distress when employment protection is strengthened. Consistent with this prediction, we find that labor-intensive firms in China significantly increase their cash holdings following the enactment of Chinas Labor Contract Law; other contemporaneous shocks do not seem to drive the finding. We also find that two events prior to the enactment that increase the likelihood of enacting the law have a similar effect. Further analysis shows that the impact of the law is concentrated on areas with strict law enforcement, state-owned enterprises, and industries that employ large numbers of migrant workers.
keywords: Cash holdings |Employment protection |Labor adjustment costs |
مقاله انگلیسی |
5 |
Control thyself: Self-control failure and household wealth
خود را کنترل کن: شکست در کنترل خود و ثروت خانوادگی-2018 We examine the relationship between self-control and household wealth. Building on literature in psychology, we take a more comprehensive approach to the concept of self-control and posit that it consists of three ingredients: planning, monitoring, and commitment to pre-set goals. We build a measure which combines those three components and can be computed using a standard representative survey. We find that self-control failure is strongly associated with different household net wealth measures and with self-assessed financial distress.
keywords: Self-control |Household wealth |Household finance |
مقاله انگلیسی |
6 |
Credit risk modelling under recessionary and financially distressed conditions
مدلسازی خطر اعتباری تحت شرایط دشوار مالی و رکود -2018 This paper provides clear cut evidence that economic recession and distressed financial conditions, as well as political instability constitute the key factors for mortgage default. Banning foreclosure procedures, often adopted by governments to mitigate the effects of the above conditions on loan defaulting, are found to positively influence the loan default probability, and thus they make efforts of banks to restructure (or refinance) mortgage loans a difficult task. Our results add support to the view that foreclosure moratorium may raise moral hazard incentives that borrowers will not maintain their payments in long run. The empirical analysis of the paper is based on an extension of the discrete-time survival analysis model which allows for a structural break in its baseline hazard function and a unique set of individual loan accounts. We also consider alternative specifications of the binary link function between default events and covariates. Asymmetric link functions are found to be more appropriate under financial distressed conditions.
keywords: Mortgage loans |Survival analysis |Structural breaks |Financial distressed conditions |Probability of default |
مقاله انگلیسی |
7 |
Saving for a rainy day: Evidence from the 2000 dot-com crash and the 2008 credit crisis
صرفه جویی در یک روز بارانی: شواهد از تصادف 2000 dot-com و بحران اعتبار 2008-2018 This article examines the role of pre-saved cash in helping financially constrained firms during
the 2000 dot-com crash and the 2008 financial crisis, both of which were exogenous shocks to
industrial firms. The results show that constrained firms tended to increase capital investments
during these severe economic downturns if they had pre-saved more cash. Constrained firms
instead exhibited lower excess returns and incurred higher likelihoods of financial distress dur
ing the severe downturns if they had saved less cash prior to the events. Firms that experi
enced the 2000 dot-com crash and saved cash thereafter were less likely to default during
the 2008 financial crisis, indicating the existence and benefit of learning effects. This study sup
ports a precautionary motive for cash savings, showing that pre-saved cash helps financially
constrained firms fund investment and reduces the likelihood of financial distress during se
vere market downturns. It demonstrates that saving for a rainy day really is valuable.
Keywords: Cash holdings ، Financial crisis ، Financial distress ، Value of cash |
مقاله انگلیسی |
8 |
Operating performance and aggressive trade credit policies
عملکرد عملیاتی و سیاست های تشدیدی اعتبار تجاری-2018 We examine the operating performance improvements associated with the extension of trade credit. Our results suggest a positive and significant relation between future profitability and contemporaneous trade credit provision. Further findings indicate significantly higher margins, revenues and market shares for firms that extend more trade credit than industry competitors with similar characteristics, operational necessities and financial distress levels. These inferences are robust to several econometric concerns such as the joint determination of trade credit extension and firm performance. Overall, our results imply that aggressive trade credit policies can provide firm management with a unique channel to improve product market performance.
keywords: Trade credit |Supplier financing |Working capital |Operating performance |
مقاله انگلیسی |
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Big data techniques in auditing research and practice: Current trends and future opportunities
تکنیک های داده های بزرگ در حسابرسی تحقیق و عمل: روند فعلی و فرصت های آینده-2018 This paper analyses the use of big data techniques in auditing, and finds that the practice is not as
widespread as it is in other related fields. We first introduce contemporary big data techniques to
promote understanding of their potential application. Next, we review existing research on big
data in accounting and finance. In addition to auditing, our analysis shows that existing research
extends across three other genealogies: financial distress modelling, financial fraud modelling,
and stock market prediction and quantitative modelling. Auditing is lagging behind the other
research streams in the use of valuable big data techniques. A possible explanation is that au
ditors are reluctant to use techniques that are far ahead of those adopted by their clients, but we
refute this argument. We call for more research and a greater alignment to practice. We also
outline future opportunities for auditing in the context of real-time information and in colla
borative platforms and peer-to-peer marketplaces.
Keywords: Auditing ، Big data ، Data analytics ، Statistical techniques |
مقاله انگلیسی |
10 |
Exploring the relation between family ownership and incentive stock options: The contingency of family leadership, board monitoring and financial crisis
بررسی رابطه بین مالکیت خانواده و گزینه های سهام انگیزه ها: احتمالی رهبری خانواده، نظارت هیئت مدیره و بحران مالی-2018 This paper investigates the curvilinear relationship between family ownership and the incentive aim of stock
options, considering the effect of family leadership, board monitoring and financial distress. Using Italy as a
study setting because of the large number of family businesses, we categorize incentive and rent-extractive stock
option plans by their design features. We assume that the co-existence of family and non-family managers expose
family firms to underexplored agency problems between owners and managers, and posit that stock options help
to mitigate these problems. Our logit model reveals the existence of an inverted U-shaped relationship between
family ownership and the incentive aim of stock options that becomes a U-shaped one in family-led firms. We
also find that family firms are more likely to grant incentive stock options at low to intermediate level of family
ownership in presence of effective board monitoring and during the global financial crisis. This paper contributes
to the existing literature on corporate governance and accounting in family businesses, and also has practical
significance for investors, regulators and policy-makers.
Keywords: Stock option plans ، Curvilinear relationship ، Family ownership ، Family leadership ، Board monitoring ، Financial crisis |
مقاله انگلیسی |