EXPLORING THE LINK BETWEEN IDIOSYNCRATIC AND FUNDAMENTAL INDICATORS. EVIDENCE ON CEE CORPORATEAuthor(s): CRISTINA MARIA TRIANDAFIL | PETRE BREZEANU
Journal: Review of Finance and Banking ISSN 2067-2713
Volume: 01; Issue: 1; Start page: 27; Date: 2009;
Keywords: idiosyncratic | systemic | link | cointegration | macroeconomic | corporate | correlation
This paper explores the link between idiosyncratic and fundamental dimensionsof the corporate finance within CEE countries. We elaborate a Vector Error CorrectionModel integrating both idiosyncratic and macro related indicators. We expect idiosyncraticvariables to be closely related to the macro fudamentals and we anticipate the sign of therelation. Conclusions regarding the long term relationship between these variables differ bycountry from the perspective of the way the macro related variables enter the cointegrationequations. The impact is different according to the peculiarities of the macroeconomicarchitecture.