Resumen de Corporate failure prediction and financial risk spillover
In this dissertation, firstly, I investigate whether industry effects play an important role in forecasting corporate failure prediction. I hypothesize and find empirical evidence that two structural constraints of the industry are informative in the corporate failure prediction: (i) industry concentration and (ii) dependence on customers and suppliers. Secondly, I propose a new measure of tail risk spillover: the conditional coexceedance (CCX). The empirical evidence shows significant volatility and tail risk spillovers from the financial sector to many real sectors in the U.S. economy from 2001 to 2011. These spillovers increase in crisis periods. The CCX in a given sector is positively related to its amount of debt financing and negatively related to its valuation and investment. Thirdly, I examine the effect of tail risk spillover on financing circumstances of non-financial firms in 16 European countries between 2003 and 2011. Evidence shows that tail risk spillover of financial sectors is mostly driven by episodes of firms’ characteristics. Besides, I aim to examine whether reserving cash is valuable for financially constrained firms in that it enables firms to mitigate tail risks transmitted from the financial sector. The empirical result has offered some evidence that cash provides important benefits to financially constrained firms in Euro-core zone and UK by reducing the tail risk spillover from distress financial sector in times of credit crunch
