Essays about: "distance-to-default"

Showing result 1 - 5 of 13 essays containing the word distance-to-default.

  1. 1. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Casper Dahlberg; Max Lundberg; [2022]
    Keywords : Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

    Abstract : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. READ MORE

  3. 2. Examining the Existence of the Financial Distress Risk Anomaly: Evidence from the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Maxime Rundström; Joel Ejdesjö; [2020]
    Keywords : Financial distress risk anomaly; risk-sorted portfolios; Distance-to-Default; Fama-French five-factor model;

    Abstract : This paper examines the relationship between financial distress risk, estimated from a firm's distance-to-default, and equity returns on a sample of U.S. stocks between January 1990 and December 2019. READ MORE

  4. 3. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teemu Mäkiaho; Henri Rikhard Kiviniemi; [2019]
    Keywords : M A; Default Risk; Merton Model; Probability of Default; Distance-to-Default; Financial Sector; Business and Economics;

    Abstract : The purpose of this paper is to examine the impact of mergers and acquisitions on the default risk of acquiring companies. The sample consists of 276 transactions carried out between 2010 and 2018 by acquirers from Western European financial sector. READ MORE

  5. 4. Preferred Stock – Debt or Equity?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Can Telmen; Daniel Mohall; [2018]
    Keywords : Preferred stock; Debt; Equity; Distance to default; Hybrid Assets; Business and Economics;

    Abstract : There has been previous research on the subject of preferred stock and its classification as debt or equity. This thesis adds to the discussion by incorporating a comprehensive measure for financial standing. READ MORE

  6. 5. Distressed Mergers and Acquisitions

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Stefan Pelov; Hong Hanh Nguyen; [2018]
    Keywords : Bidder Default Risk; Distressed Acquisitions; Default Risk; Distance-to-Default; Financing Methods; Mergers and Acquisitions; Probability of Default; Risk Effects; Target’s Distress Level; Business and Economics;

    Abstract : .... READ MORE