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A Study on the Comovement of Industry Default
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 Title & Authors
A Study on the Comovement of Industry Default
Jeon, Haehyun; Kim, So-Yeun; Kim, Changki;
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This paper studies the comovement of industry defaults among listed companies. Rank correlation coefficients of Spearman`s and Kendall`s measure the concordance of default. These non-parametric coefficients do not require distributional assumptions and are easily used even with less data and extreme values. This study predicts a future financial crisis by looking at the comovement of industry defaults. We expect our analyses will aid market participants (including company executives) in making investment or risk management decisions.
comovement;non-parametric statistics;multivariate correlation measure;concordance;industry default;
 Cited by
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