EconPapers    
Economics at your fingertips  
 

Conditional Capital Surplus and Shortfall across Resource Firms

Denny Irawan and Tatsuyoshi Okimoto

Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)

Abstract: This study examines the conditional capital surplus and shortfall dynamics of renewable and non-renewable resource firms. To this end, this study uses the systemic risk index by Brownlees and Engle (2017) and considers two conditional systemic events, namely, the stock market crash and the commodity price crash. The results indicate that companies in the resource sector tended to have conditional capital shortfalls before 2000 and conditional capital surpluses after 2000 owing to the boom of the commodity sector stock prices and the careful capital management adopted by these companies. The analysis using the panel vector autoregressive model indicates that commodity price, geopolitical, and economic policy uncertainties have a positive impact on the conditional capital shortfall. These uncertainties have also been proven to increase the conditional failure probability of firms in the sample. Lastly, the analysis of performance shows that conditional capital shortfall positively affects market returns, reflecting a high-risk, high-return trade-off for this sector.

Pages: 34 pages
Date: 2021-04
New Economics Papers: this item is included in nep-cwa and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.rieti.go.jp/jp/publications/dp/21e031.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eti:dpaper:21031

Access Statistics for this paper

More papers in Discussion papers from Research Institute of Economy, Trade and Industry (RIETI) Contact information at EDIRC.
Bibliographic data for series maintained by TANIMOTO, Toko ().

 
Page updated 2021-07-11
Handle: RePEc:eti:dpaper:21031