Default Risk of the UK Real Estate Companies: Is There a Macro-economy Effect?

Vlamis, Prodromos

doi:10.1016/j.jeca.2007.02.007

Cited by 9 publications

(6 citation statements)

References 51 publications

(54 reference statements)

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“…It is also necessary to emphasize an important aspect in the research on the risk of bankruptcy of enterprises, which is taking into account the impact of economic cycles and selected macroeconomic variables of the market while considering the effect of cyclical economic conditions of countries. In Vlamis (2007) statistical logistic and probit regression models were used to forecast the risk of bankruptcy of American real estate companies in the period 1980-2001. It has been shown that financial indicators such as profitability, debt service and company liquidity are important determinants of the risk of bankruptcy of the surveyed enterprises.…”

Section: Literature Reviewmentioning

confidence: 99%

An Ensemble Classifier-Based Scoring Model for Predicting Bankruptcy of Polish Companies in the Podkarpackie Voivodeship

Pisula

2020

JRFM

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This publication presents the methodological aspects of designing of a scoring model for an early prediction of bankruptcy by using ensemble classifiers. The main goal of the research was to develop a scoring model (with good classification properties) that can be applied in practice to assess the risk of bankruptcy of enterprises in various sectors. For the data sample, which included 1739 Polish businesses (of which 865 were bankrupt and 875 had no risk of bankruptcy), a genetic algorithm was applied to select the optimum set of 19 bankruptcy indicators, on the basis of which the classification accuracy of a number of ensemble classifier model variants (boosting, bagging and stacking) was estimated and verified. The classification effectiveness of ensemble models was compared with eight classical individual models which made use of single classifiers. A GBM-based ensemble classifier model offering superior classification capabilities was used in practice to design a scoring model, which was applied in comparative evaluation and bankruptcy risk analysis for businesses from various sectors and of different sizes from the Podkarpackie Voivodeship in 2018 (over a time horizon of up to two years). The approach applied can also be used to assess credit risk for corporate borrowers.

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Section: Literature Reviewmentioning

confidence: 99%

An Ensemble Classifier-Based Scoring Model for Predicting Bankruptcy of Polish Companies in the Podkarpackie Voivodeship

Pisula

2020

JRFM

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“…In the international arena there are many studies addressing housing prices and bubbles (Kim and Suh (1993), Hui and Yue (2006), Vlamis (2007), Fraser et al (2008), Fender and Scheicher (2009) and Sarmiento (2009) but much less researchers address the role of housing price volatility in determining investment decisions. Hossain and Latif (2007) in an effort to identify the determinants of housing price volatility demonstrate that it is affected significantly by gross domestic product (GDP) growth rate, housing price appreciation rate and inflation.…”

Section: Literature Reviewmentioning

confidence: 99%

Explaining house price changes in Greece

Gounopoulos

Merikas

Merika

et al. 2011

Applied Financial Economics

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This paper develops an equilibrium model for the Greek housing market that incorporates both macroeconomic as well as country-specific variables that affect demand for and supply of houses. In the overall uprising phase of the 23-year period examined (1985Q1-2008Q1), our investigation of short-term fluctuations in real house prices and stock prices confirms the inverse relationship between movements in the housing price index and the stock exchange general index, identifies the direction of causality as running from the financial sector to the real sector, and finds that, following an exogenous shock, reversion to the long-run equilibrium is a rather slow process. Furthermore, we identify a fundamental shift in the behaviour of Greek homeowners, who appear to be moving away from the treatment of housing as consumption good, towards treating house purchases as investment.

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“…Logit models and probit models have been used frequently in bankruptcy studies since Ohlson (1980). In the study of bankruptcy of real estate companies, Vlamis (2007) uses the probit model. This study briefly explains the pooled logit model according to Winkelmann and Boes (2009).…”

Section: Pooled Binary Logit Modelmentioning

confidence: 99%

Why do listed companies delist themselves voluntarily?

Konno

Itoh²

2018

JFMPC

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Purpose This study aims to analyse, from a corporate finance and governance perspective, the reasons why managers decide to delist their companies from a stock exchange. On the basis of the five hypotheses of voluntary delisting, this study examines why listed companies delist themselves voluntarily in the construction and real estate sectors. Design/methodology/approach By using actual data to examine contractors and real estate companies listed on the Tokyo Stock Exchange between 2004 and 2014, this study analyses whether these companies delist themselves voluntarily. The pooled binary logit model is used as the statistical method. Findings In both the construction and real estate sectors, the concentration of shareholders has a significantly positive effect on voluntary delisting, thus supporting the transfer of wealth effect hypothesis. In construction, market capitalisation has a significantly negative effect on voluntary delisting, thus supporting the maintenance cost reduction hypothesis. In the real estate sector, the ratio of market capitalisation to total assets has a significantly negative effect on voluntary delisting, thus supporting the undervalue elimination hypothesis. Originality/value By comparing the construction and real estate sectors, this study reveals both unique and common reasons for voluntary delisting in each sector. It also offers valuable insights to managers, regulators setting standards in securities markets and investors.

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Default Risk of the UK Real Estate Companies: Is There a Macro-economy Effect?

Cited by 9 publications

References 51 publications

An Ensemble Classifier-Based Scoring Model for Predicting Bankruptcy of Polish Companies in the Podkarpackie Voivodeship

An Ensemble Classifier-Based Scoring Model for Predicting Bankruptcy of Polish Companies in the Podkarpackie Voivodeship

Explaining house price changes in Greece

Why do listed companies delist themselves voluntarily?

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