Detection of Breaks in a Capital Structure: a Case Study
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Czech Statistical Office
2017-03-01
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| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/45606527/32019717q1032.pdf/3a0e1167-6a34-4f76-a032-38505e36696f?version=1.0 |
| _version_ | 1819267734976856064 |
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| author | Jaromír Antoch Daniela Jarušková |
| author_facet | Jaromír Antoch Daniela Jarušková |
| author_sort | Jaromír Antoch |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-12-23T21:21:53Z |
| format | Article |
| id | doaj.art-add6614c1ed344369193f02d360575c9 |
| institution | Directory Open Access Journal |
| issn | 0322-788X 1804-8765 |
| language | English |
| last_indexed | 2024-12-23T21:21:53Z |
| publishDate | 2017-03-01 |
| publisher | Czech Statistical Office |
| record_format | Article |
| series | Statistika: Statistics and Economy Journal |
| spelling | doaj.art-add6614c1ed344369193f02d360575c92022-12-21T17:30:43ZengCzech Statistical OfficeStatistika: Statistics and Economy Journal0322-788X1804-87652017-03-019713243Detection of Breaks in a Capital Structure: a Case StudyJaromír Antoch0Daniela Jarušková1Charles University, Prague, Czech RepublicCzech Technical University, Prague, Czech RepublicThe 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.https://www.czso.cz/documents/10180/45606527/32019717q1032.pdf/3a0e1167-6a34-4f76-a032-38505e36696f?version=1.0Change point problemabruptgradual and multiple changesstationarity in the meansum and maximal test statisticspanel databook leverage |
| spellingShingle | Jaromír Antoch Daniela Jarušková Detection of Breaks in a Capital Structure: a Case Study Statistika: Statistics and Economy Journal Change point problem abrupt gradual and multiple changes stationarity in the mean sum and maximal test statistics panel data book leverage |
| title | Detection of Breaks in a Capital Structure: a Case Study |
| title_full | Detection of Breaks in a Capital Structure: a Case Study |
| title_fullStr | Detection of Breaks in a Capital Structure: a Case Study |
| title_full_unstemmed | Detection of Breaks in a Capital Structure: a Case Study |
| title_short | Detection of Breaks in a Capital Structure: a Case Study |
| title_sort | detection of breaks in a capital structure a case study |
| topic | Change point problem abrupt gradual and multiple changes stationarity in the mean sum and maximal test statistics panel data book leverage |
| url | https://www.czso.cz/documents/10180/45606527/32019717q1032.pdf/3a0e1167-6a34-4f76-a032-38505e36696f?version=1.0 |
| work_keys_str_mv | AT jaromirantoch detectionofbreaksinacapitalstructureacasestudy AT danielajaruskova detectionofbreaksinacapitalstructureacasestudy |