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Eric G. Falkenstein's
Scholarly Papers
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Aggregate Statistics |
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Downloads
2,355 |
Total
Citations
3 |
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1.
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Eric G. Falkenstein
affiliation not provided to SSRN
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18 Jun 09
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02 Sep 09
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1,290
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Abstract:
Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an equilibrium in asset markets. This paper presents a survey of data across 20 different asset classes, and presents a model highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk taking is then deviating from the consensus or market portfolio. In this environment, all risk becomes like idiosyncratic risk in the standard model, avoidable so unpriced.
Risk and Return, CAPM, APT, Asset Pricing Theory, Utility Theory
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2.
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Eric G. Falkenstein
affiliation not provided to SSRN Andrew Boral
Moody's Investors Service Lea V. Carty
Moody's Investors Service
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01 Nov 00
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Last Revised:
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16 Nov 00
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926
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Abstract:
This paper explains and documents many issues related to default prediction based on financial statements. The underlying methodology is completely revealed and addresses many important practicalities in empirical default estimation. Test statistics are also provided on various models using our proprietary, and unprecedently large database of US and Canadian firms. We outline the current context of these tools in the banking industry, and describe several popular modeling choices. A chapter on variable selection illustrates the dominance of various financial statements (e.g., liabilities/assets vs. liabilities/tangible assets). This approach represents how one of the best-known credit companies is approaching quantitative models at the outset of an international effort to provide credit benchmarks for middle market companies.
Default, private firm, default model, default prediction
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3.
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Eric G. Falkenstein
affiliation not provided to SSRN
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10 Mar 08
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Last Revised:
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27 Jun 09
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139
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Abstract:
This paper presents a method and testing of a corporate nonfinancial default model. Unique among models, it uses agency ratings as as input within the model, as well as financial statement and market information (e.g., Merton model). The default problem is defined as having a flat maximum, well-suited for a simple approach.
DefProb, default probability
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4.
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Andrew Boral
Moody's Investors Service Eric G. Falkenstein
affiliation not provided to SSRN
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25 Mar 01
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Last Revised:
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05 Apr 01
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Abstract:
In this paper we succinctly outline the modeling approach of Moody's for private firm default prediction. The processes of transforming ratios, weighting the transformations, and mapping to a default probability are examined. Accounting ratios in the US, Canada, and Australia are compared and contrasted, including their relationship to default probabilities.
Default prediction, Australia
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5.
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Eric G. Falkenstein
affiliation not provided to SSRN
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19 Jun 98
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Last Revised:
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19 Jun 98
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Abstract:
This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards firms with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance.
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