Offer Moshe Shapir

THE DETERMINANTS OF CDS SPREADS

This study proposes models that can be used as shorthand analysis tools for CDS spreads and CDS spread changes. For this purpose we examine the determinants of CDS spreads and spread changes on a broad database of 718 US firms during the period from early 2002 to early 2013. Contrary to previous studies, we discover that market variables still have explanatory power after controlling for firm-specific variables inspired by structural models. Three explanatory variables appear to overshadow the other variables examined in this paper: Stock Return, ∆Volatility (the change in stock return volatility) and ∆MRI (change in the median CDS spread in the rating class). We also discover that models used in the event study literature to explain spread changes can be improved by using additional market variables. Further, we show that ratings explain cross-section variation in CDS spreads even after controlling for structural model variables.

Gender, Competitiveness, and Physical Characteristics Evidence From Professional Tennis

Gender differences in tennis have sparked a great deal of heated debate. Using data from the 24 top men’s and 23 top women’s singles tournaments in 2010, we find a gender difference in the competitiveness (tightness) with regard to the final score of tennis sets. However, when using two physical variables (height and body mass index) that have not been investigated in this context before and controlling for the physical characteristics of the players, this gender difference completely disappears. Moreover, this result remains robust in propensity score analysis. To narrow this disparity between the number of games in men’s and women’s sets, it might be worthwhile for tennis authorities to consider making some changes in court conditions on a gender basis.

Debt composition and lax screening in the Israel corporate bond market

Corporate bond markets may suffer from investors’ lack of competence in screening out low-quality issuers. We use data from the Israeli capital market in 1999–2009 to investigate the quality of corporate bond issuers and the role of the institutional investors in the screening process in the corporate bond market. The findings suggest that higher quality firms were more likely to issue bonds, but firms of lower quality tended to raise a higher fraction of their debt through bond issuance. Firms with higher proportion of their debt in bonds out had also a higher tendency to default. Institutional investors intensively funded firms with higher share of bonds in their long-term debt despite their lower quality, and therefore were partially responsible for the lax screening in the corporate bond market.

Is the Morningstar Rating System Global? Evidence from Israel

This study examines ratings of Israeli mutual funds specializing in the major stock indices during the December 2003–April 2007 period. They authors compare the predictive abilities of ratings provided by a local rating agency (S&P-MAALOT) with those of a Morningstar-type rating system and other alternatives. They show that the ratings of the commercial models (Morningstar and S&P-MAALOT) outperform the ratings of conventional measures (Sharpe, Jensen, and mean) and that the difference between the commercial models is statistically insignificant, despite the relative simplicity of the Morningstar model.