Detection of Breaks in a Capital Structure: a Case Study

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10367538" target="_blank" >RIV/00216208:11320/17:10367538 - isvavai.cz</a>

Alternative codes found

RIV/68407700:21110/17:00312788

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Detection of Breaks in a Capital Structure: a Case Study

Original language description

The main goal of this paper is to present an analysis of financial quarterly time series describing the level of book leverage of U.S. companies selected from different industries in the period 1991-2014. The basic question is whether the sub-prime crisis 2007-2008 caused a change in the behavior of the respective companies. More generally, we are interested whether the time series may be considered stationary. Statistical methods suitable for the detection of breaks (changes) for individual and panel data are presented together with their pros and cons. Against our expectations, the analysis did not reveal a significant change due to the sub-prime crisis. On the other hand, all series contain at least one change, most of the changes occurring around the year 2000, thus offering room for an economic explanation.(3)

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Statistika

ISSN

0322-788X

e-ISSN

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Volume of the periodical

97

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

12

Pages from-to

32-43

UT code for WoS article

000397575800003

EID of the result in the Scopus database

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