Detection of Breaks in a Capital Structure: a Case Study

Statistika: Statistics and Economy Journal

Jaromír Antoch¹  Daniela Jarušková² 

[1] Charles University, Prague, Czech Republic;Czech Technical University, Prague, Czech Republic;

关键词: Change point problem;    abrupt;    gradual and multiple changes;    stationarity in the mean;    sum and maximal test statistics;    panel data;    book leverage;   

DOI  :  

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown