Contagion or Competition? Empirical Analysis of Measuring Intra-industry Contagion Effect
| Autor: | Keng-Hsien Lin, 林耕賢 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 New generation credit risk model have increasingly recognized the importance of credit contagion. To provide a solid empirical foundation, this paper investigates the announcement effect of a firm’s credit event on stock market abnormal return of its industry counterparts for a sample of 82 credit events filed between 1998 and 2005. Our findings show that the contagion and competitive effects are heterogeneous condition on the nature of credit events. In addition, competitors experience positive stock abnormal return in concentrated industries than in less concentrated industries, suggesting a competitive effect. We further examine the driver of contagion effect within industry and incorporate industry and firm-specific factors. On average, asset size, leverage degree, growth opportunity are positively related to the contagion effect whereas firms with higher profitability and better corporate governance can relatively benefit from the difficulties of the distressed firm. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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