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Exploring the Link between Idiosyncratic and Fundamental Indicators. Evidence on CEE Corporate Segment

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  • Cristina Maria Triandafil

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

  • Petre Brezeanu

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

Abstract

This paper explores the link between idiosyncratic and fundamental dimensions of the corporate finance within CEE countries. We elaborate a Vector Error Correction Model integrating both idiosyncratic and macro related indicators. We expect idiosyncratic variables to be closely related to the macro fudamentals and we anticipate the sign of the relation. Conclusions regarding the long term relationship between these variables differ by country from the perspective of the way the macro related variables enter the cointegration equations. The impact is different according to the peculiarities of the macroeconomic architecture.

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Bibliographic Info

Article provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.

Volume (Year): 01 (2009)
Issue (Month): 1 (December)
Pages: 027-034

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Handle: RePEc:rfb:journl:v:01:y:2009:i:1:p:027-034

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Keywords: idiosyncratic variables; macroeconomic;

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  1. Jonathan B. Berk & Richard Stanton & Josef Zechner, 2010. "Human Capital, Bankruptcy, and Capital Structure," Journal of Finance, American Finance Association, vol. 65(3), pages 891-926, 06.
  2. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Jorge A. Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities: A Survey," IMF Working Papers 06/149, International Monetary Fund.
  4. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2005. "Exploring interactions between real activity and the financial stance," Journal of Financial Stability, Elsevier, vol. 1(3), pages 308-341, April.
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