Search results for "Balance sheet"
showing 10 items of 48 documents
Towards Bankruptcy Prediction: Deep Sentiment Mining to Detect Financial Distress from Business Management Reports
2018
Due to their disclosure required by law, business management reports have become publicly available for a large number of companies, and these reports offer the opportunity to assess the financial health or distress of a company, both quantitatively from the balance sheets and qualitatively from the text. In this paper, we analyze the potential of deep sentiment mining from the textual parts of business management reports and aim to detect signals for financial distress. We (1) created the largest corpus of business reports analyzed qualitatively to date, (2) defined a non-trivial target variable based on the so-called Altman Z-score, (3) developed a filtering of sentences based on class-co…
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
2021
AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…
Market Risk Disclosure in Banks’ Balance Sheets and the Pillar 3 Report: The Case of Italian Banks
2018
Market risk has taken on growing importance in banking in recent years. Risk disclosure has strategic importance for the efficiency of financial markets and overall financial stability. It plays a pivotal role in strengthening market discipline and building trust in stakeholder relationships.
Contagion and Bank Runs in a Multi-Agent Financial System
2012
In this work we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. In fact, in modern financial systems, an intricate web of claims and obligations links the balance sheets of a wide variety of intermediaries (banks, for instance) into a network structure of interdependencies that have created an environment for feedback elements to generate amplified responses to shocks to the financial system. Small shocks, which initially affect only a few institutions, can indeed spread by contagion to the rest of the financial sector and cause a crisis in the connected intermediaries. Whether the financial crisis does spread depends c…
Co-operative wineries: Temporal solution or efficient firms? The Spanish case during late Francoism, 1970–1981
2015
Part of economic theory has regarded co-operative firms as useful tools for dealing with market failures during periods of economic contraction, but also as suffering severe efficiency problems during periods of growth. The main aim of this article is to test this hypothesis in the case of Spanish co-operative wineries during the years of late Francoism. In order to do this, the balance sheets of 75 co-operative firms from the 1970s have been subject to financial-ratio analyses. The main conclusion is that these firms were inefficient due to their excessive financial debt. The Spanish Francoist government promoted their creation and granted financial aid – for their value as social and econ…
“The Limits” of Economic Growth in Romania
2014
Abstract A sustainable economic growth of GDP of 3-4% annually in Romania for the reduction of gaps in development was considered impossible by most institutions of various skill and opinion leaders, as well as of international financial bodies. The reasons cited were delayed public reforms, low growth potential as a result of the crisis, the overview status of the states in the Eurozone dependent on inside community trade and also the prospects for a lasting economic stagnation, the balance sheet effect, as a result of over indebtedness of firms and individuals that substantially reduced inclination towards investment and consumption. Contradicting these forecasts, in 2013, Romania's econo…
The value relevance of accounting information during the global financial crisis: evidence from Norway
2013
This study investigates how the recent financial crisis influenced the value relevance of accounting information. The empirical analyses show that the book values of equity explained most of the cross-sectional variation in stock prices during the crisis. Still, the earnings response coefficient increased significantly during the period of the crisis. The analysis suggests a separation between the information content of book values and earnings in a crisis situation. The findings are consistent with book values being highly relevant as a proxy variable for liquidation values in a crisis, whereas earnings, in contrast to the balance sheet, capture information about the future earning capabil…
Importance of balance sheet composition in stress test estimates
2019
The stress tests are based on macroeconomic variables for the estimations of the results. However, there are other factors that may influence them. This paper studies the influence of the balance sheet structure in the NPL and the loss caused by the NPL using econometric models. The objective is to research how they affect the aggregates in the balance sheet to the delay in payment and the the provision for impairment, distinguishing these effects according to the economic cycle, so that can be applied to the stress test. The results show that the Balance sheet structure is important in delinquency and losses caused by it, especially in respect of stockholders’ funds, ECB resources and …
Households' Balance Sheets and the Effect of Fiscal Policy
2022
Using households' balance-sheet composition in the Panel Survey of Income Dynamics, we identify six household types. Since 1999, there has been a decline in the share of patient households and an increase in the share of impatient households with negative wealth. Using a six-agent New Keynesian model with search and matching frictions, we explore how changes in households' shares affect the transmission of government spending shocks. We show that the relative share of households in the left tail of the wealth distribution plays a key role in the aggregate marginal propensity to consume, the magnitude of fiscal multipliers, and the distributional consequences of government spending shocks. W…
Balance sheet versus earnings conservatism in Europe
2004
In this study we extend prior research on the international analysis of accounting conservatism (Joos and Lang, 1994; Ball et al., 2000; Giner and Rees, 2001), by examining the level of accounting conservatism across eight European countries (United Kingdom, Germany, France, Switzerland, the Netherlands, Italy, Spain and Belgium), and assessing the statistical significance of the differences among them. The definitions of conservatism that we use are, on the one hand, the Feltham and Ohlson (1995) definition, which implies a persistent understatement of book value of shareholders' equity (balance sheet conservatism). On the other hand, we use the one proposed by Basu (1997), that is, a time…