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

  • 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)

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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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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  1. Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
  2. 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.
  3. Jonathan B. Berk & Richard Stanton & Josef Zechner, 2007. "Human Capital, Bankruptcy and Capital Structure," NBER Working Papers 13014, National Bureau of Economic Research, Inc.
  4. Jorge A. Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities - A Survey," IMF Working Papers 06/149, International Monetary Fund.
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