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Successful management buyouts: Are they really more entrepreneurial?

Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni, Research Paper 01/2005;
Source: RePEc

ABSTRACT We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight from emerging markets) prior to and during the 2008 financial crisis. In addition to widely used VaR and ES models, we also study the behavior of conditional and unconditional extreme value (EV) models to generate 99 percent confidence level estimates as well as developing a new loss function that relates tail losses to ES forecasts. Backtesting results show that only our proposed new hybrid and Extreme Value (EV)-based VaR models provide adequate protection in both developed and emerging markets, but that the hybrid approach does this at a significantly lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the EV models, especially in the developed markets.

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    ABSTRACT: Stevenson (1983) holds that entrepreneurial management, defined as a set of opportunity-based man-agement practices, can help firms remain vital and contribute to firm and societal level value creation. While his conceptualization has received much attention, little progress has been made because of a lack of empirical tools to examine his propositions. This article seeks to resolve this by describing a new instrument that was developed specifically for operationalizing Stevenson’s conceptualization. After two pre-tests, the instrument was tested full scale on a very large (1200+ cases) stratified random sample of firms with different size, governance struc-ture, and industry affiliation. The results show that both in the full sample and in various sub-samples it was pos-sible to identify six sub-dimensions with high discriminant validity and moderate to high reliability, which rep-resent dimensions of Stevenson’s theoretical reasoning. We label these Strategic Orientation, Resource Orienta-tion, Management Structure, Reward Philosophy, Growth Orientation and Entrepreneurial Culture. We were further able to show that these dimensions only partly overlap with ‘Entrepreneurial Orientation’, the hitherto best established empirical instrument for assessing a firm’s degree of entrepreneurship. Our instrument should open up opportunities for researchers to further evaluate entrepreneurship in existing firms.
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  • Entrepreneurial orientation in management buyouts and the contribution of venture capital. J Bruining, M Wright . 147-168.

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May 30, 2014