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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.

Suggested Citation

  • Cristina Maria Triandafil & Petre Brezeanu, 2009. "Exploring the Link between Idiosyncratic and Fundamental Indicators. Evidence on CEE Corporate Segment," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 027-034, December.
  • Handle: RePEc:rfb:journl:v:01:y:2009:i:1:p:027-034
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    References listed on IDEAS

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    1. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
    2. Jorge A Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities - A Survey," IMF Working Papers 06/149, International Monetary Fund.
    3. 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.
    4. 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, June.
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    Keywords

    idiosyncratic variables; macroeconomic;

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