IMPACT OF MARKET RISK ON CREDIT RISK OF SUBSEQUENT PERIOD IN MANUFACTURING SECTOR OF PAKISTAN

http://dx.doi.org/10.31703/gssr.2018(III-III).16      10.31703/gssr.2018(III-III).16      Published : Sep 3
Authored by : MunawarShabbir , ShaziaHassan , AyeshaZareef

16 Pages : 281-299

References

  • Asghar, M., Shah, S. Z. A., Hamid, K., &Suleman, M. T. (2011).Impact of Dividend Policy on Stock Price Risk: Empirical Evidence from Equity Market of Pakistan.Far East Journal of Psychology and Business, Vol. 4 No. 1.
  • Abad-Gonzalez, J., Gutierrez-Lopez, C., & Salvador, A. (2017).Banking solvency determinants in the EU: a model based on stress tests.Applied Economics Letters, doi: 10.1080/13504851.2017.1418071 ISSN: 1350-4851
  • Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2009).Credit Ratings and the Cross-section of Stock Returns.Journal of Financial Markets, 12(3), 469-499.
  • Baiman, S., &Verrecchia, R. E. (1995).Earnings and Price-based Compensation Contracts in the Presence of Discretionary Trading and Incomplete Contracting.Journal of Accounting and Economics, 20(1), 93-121.
  • Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting Quality and Debt Contracting.The Accounting Review, 83(1), 1-28.
  • Chava, S. & Purnanandam, A. (2010). Is Default Risk Negatively Related to Stock Returns? Review of Financial Studies, 23(6), 2523-2559.
  • Dichev, I. D. (1998). Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance, 53(3), 1131-1147.
  • Ferris, E. E. S. (2018). Dividend taxed and stock volatility. International Tax and Public Finance, Vol. 25, Issue 2, pp 377-403.
  • Francis, J., Philbrick, D., &Schipper, K. (1994).Shareholder Litigation and Corporate Disclosures.Journal of Accounting Research, 32(2), 137-164.
  • French, K. R., Schwert, G. W., &Stambaugh, R. F. (1986). Expected Stock Returns and Volatility, Working Paper Series No. MERe85-10.
  • Friewald, N., Wagner, C., &Zechner, J. (2014). The Cross-section of Credit Risk Premia and Equity Returns.The Journal of Finance, 69(6), 2419-2469.
  • Fontes, J. C., Panaretou, A. & Peasnell, K. V. (2018). The impact of fair value measurement for bank assets on information asymmetry and the moderating effect of own credit risk gains and losses. The Accounting Review, DOI/10.2308/accr-52070 , SSRN: https://ssrn.com /abstract= 3149409
  • Froot, K. A., David, S. S., & Stein, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short‐ term Speculation. The Journal of Finance, 47(4), 1461-1484.
  • George, T. J., & Hwang, C. Y. (2010).A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns.Journal of Financial Economics, 96(1), 56-79.
  • Gonenc, H., & Karan, M. B. (2003). Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from the Istanbul Stock Exchange.Journal of International Financial Management & Accounting,14(1), 1-25.
  • Griffin, J. M., & Lemmon, M. L. (2002).Book-to-market Equity, Distress Risk, and Stock Returns.The Journal of Finance.57(5), 2317-2336.
  • Haider, S. K. A., Hashmi. S. H. & Ahmed. I. (2017). Systematic Risk Factors and Stock Return Volatility. Applied Studies in Agribusiness and Commerce, DOI: 10.19041/APSTRACT/2017/1-2/8
  • Jorgensen, B. (1998). Hedging and Performance Evaluation. Working Paper. New York: Columbia University.
  • Ko, K., Lee, S., & Chung, J. (1995). Volatility, Efficiency, and Trading: Further Evidence. Journal of International Financial Management & Accounting,6(1), 26-42.
  • Lei, J., Qiu, J., Wan. C. & Yu, F. (2018). Credit risk spillovers and cash holdings. Working paper.
  • Lim, H. J., & Mali, D. (2018).Does market risk predict credit risk? An analysis of firm risk sensitivity, evidence from South Korea.Asia-Pacific Journal of Accounting &Economics, 25(1-2), 235-252.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance 7(1), 77-91.
  • Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance,29(2), 449-470.
  • Nishat, M. & Irfan C. M. (Unpublished). Dividend Policy and Stock Price Volitility in Pakistan.
  • Patell, J. M. (1976). Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical Test. Journal of Accounting Research, 14(2), 246- 276.
  • Tahir, M. (2017). Dividend Policy as Determinant of Stock Prices Volatility: Comparative Analysis of Financial Sectors in Pakistan. Journal of Management Research, Vol 3, Issue 2.
  • Yousuf, A. & Felfodi, J. (2018). The effect of credit risk management on profitability: An empirical study of private banks in Syria. Oradea Journal of Business and Economics, Vol. 3, Issue 2.

References

  • Asghar, M., Shah, S. Z. A., Hamid, K., &Suleman, M. T. (2011).Impact of Dividend Policy on Stock Price Risk: Empirical Evidence from Equity Market of Pakistan.Far East Journal of Psychology and Business, Vol. 4 No. 1.
  • Abad-Gonzalez, J., Gutierrez-Lopez, C., & Salvador, A. (2017).Banking solvency determinants in the EU: a model based on stress tests.Applied Economics Letters, doi: 10.1080/13504851.2017.1418071 ISSN: 1350-4851
  • Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2009).Credit Ratings and the Cross-section of Stock Returns.Journal of Financial Markets, 12(3), 469-499.
  • Baiman, S., &Verrecchia, R. E. (1995).Earnings and Price-based Compensation Contracts in the Presence of Discretionary Trading and Incomplete Contracting.Journal of Accounting and Economics, 20(1), 93-121.
  • Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting Quality and Debt Contracting.The Accounting Review, 83(1), 1-28.
  • Chava, S. & Purnanandam, A. (2010). Is Default Risk Negatively Related to Stock Returns? Review of Financial Studies, 23(6), 2523-2559.
  • Dichev, I. D. (1998). Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance, 53(3), 1131-1147.
  • Ferris, E. E. S. (2018). Dividend taxed and stock volatility. International Tax and Public Finance, Vol. 25, Issue 2, pp 377-403.
  • Francis, J., Philbrick, D., &Schipper, K. (1994).Shareholder Litigation and Corporate Disclosures.Journal of Accounting Research, 32(2), 137-164.
  • French, K. R., Schwert, G. W., &Stambaugh, R. F. (1986). Expected Stock Returns and Volatility, Working Paper Series No. MERe85-10.
  • Friewald, N., Wagner, C., &Zechner, J. (2014). The Cross-section of Credit Risk Premia and Equity Returns.The Journal of Finance, 69(6), 2419-2469.
  • Fontes, J. C., Panaretou, A. & Peasnell, K. V. (2018). The impact of fair value measurement for bank assets on information asymmetry and the moderating effect of own credit risk gains and losses. The Accounting Review, DOI/10.2308/accr-52070 , SSRN: https://ssrn.com /abstract= 3149409
  • Froot, K. A., David, S. S., & Stein, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short‐ term Speculation. The Journal of Finance, 47(4), 1461-1484.
  • George, T. J., & Hwang, C. Y. (2010).A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns.Journal of Financial Economics, 96(1), 56-79.
  • Gonenc, H., & Karan, M. B. (2003). Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from the Istanbul Stock Exchange.Journal of International Financial Management & Accounting,14(1), 1-25.
  • Griffin, J. M., & Lemmon, M. L. (2002).Book-to-market Equity, Distress Risk, and Stock Returns.The Journal of Finance.57(5), 2317-2336.
  • Haider, S. K. A., Hashmi. S. H. & Ahmed. I. (2017). Systematic Risk Factors and Stock Return Volatility. Applied Studies in Agribusiness and Commerce, DOI: 10.19041/APSTRACT/2017/1-2/8
  • Jorgensen, B. (1998). Hedging and Performance Evaluation. Working Paper. New York: Columbia University.
  • Ko, K., Lee, S., & Chung, J. (1995). Volatility, Efficiency, and Trading: Further Evidence. Journal of International Financial Management & Accounting,6(1), 26-42.
  • Lei, J., Qiu, J., Wan. C. & Yu, F. (2018). Credit risk spillovers and cash holdings. Working paper.
  • Lim, H. J., & Mali, D. (2018).Does market risk predict credit risk? An analysis of firm risk sensitivity, evidence from South Korea.Asia-Pacific Journal of Accounting &Economics, 25(1-2), 235-252.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance 7(1), 77-91.
  • Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance,29(2), 449-470.
  • Nishat, M. & Irfan C. M. (Unpublished). Dividend Policy and Stock Price Volitility in Pakistan.
  • Patell, J. M. (1976). Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical Test. Journal of Accounting Research, 14(2), 246- 276.
  • Tahir, M. (2017). Dividend Policy as Determinant of Stock Prices Volatility: Comparative Analysis of Financial Sectors in Pakistan. Journal of Management Research, Vol 3, Issue 2.
  • Yousuf, A. & Felfodi, J. (2018). The effect of credit risk management on profitability: An empirical study of private banks in Syria. Oradea Journal of Business and Economics, Vol. 3, Issue 2.

Cite this article

APA

    APA : Shabbir, M., Hassan, S., & Zareef, A. (2018). Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan. Global Social Sciences Review, III(III), 281-299. https://doi.org/10.31703/gssr.2018(III-III).16

CHICAGO

    CHICAGO : Shabbir, Munawar, Shazia Hassan, and Ayesha Zareef. 2018. "Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan." Global Social Sciences Review, III (III): 281-299 doi: 10.31703/gssr.2018(III-III).16

HARVARD

    HARVARD : SHABBIR, M., HASSAN, S. & ZAREEF, A. 2018. Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan. Global Social Sciences Review, III, 281-299.

MHRA

    MHRA : Shabbir, Munawar, Shazia Hassan, and Ayesha Zareef. 2018. "Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan." Global Social Sciences Review, III: 281-299

MLA

    MLA : Shabbir, Munawar, Shazia Hassan, and Ayesha Zareef. "Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan." Global Social Sciences Review, III.III (2018): 281-299 Print.

OXFORD

    OXFORD : Shabbir, Munawar, Hassan, Shazia, and Zareef, Ayesha (2018), "Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan", Global Social Sciences Review, III (III), 281-299

TURABIAN

    TURABIAN : Shabbir, Munawar, Shazia Hassan, and Ayesha Zareef. "Impact of Market Risk on Credit Risk of Subsequent Period in Manufacturing Sector of Pakistan." Global Social Sciences Review III, no. III (2018): 281-299. https://doi.org/10.31703/gssr.2018(III-III).16