Browsing by Author "Maurer, Alina"

Now showing items 1-2 of 2

2009-04-24Buch

Incorporating the Dynamics of Leverage into Default Prediction

Löffler, Gunter; Maurer, Alina

A firm’s current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to ...
2009-04-24Buch

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie; Löffler, Gunter; Maurer, Alina; Schmidt, Volker

Recent studies suggest that the correlation of stock returns increases with decreasing geographical distance. However, there is some debate on the appropriate methodology for measuring the effects of distance on correlation. ...