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Can Equity Volatility Explain the Global Loan Pricing Puzzle?

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Power of a test

In statistics, the power of a binary hypothesis test is the probability that the test correctly rejects the null hypothesis () when a specific alternative hypothesis () is true. It is commonly denoted by , and represents the chances of a true positive detection conditional on the actual existence of an effect to detect. Statistical power ranges from 0 to 1, and as the power of a test increases, the probability of making a type II error by wrongly failing to reject the null hypothesis decreases.

Omitted-variable bias

In statistics, omitted-variable bias (OVB) occurs when a statistical model leaves out one or more relevant variables. The bias results in the model attributing the effect of the missing variables to those that were included. More specifically, OVB is the bias that appears in the estimates of parameters in a regression analysis, when the assumed specification is incorrect in that it omits an independent variable that is a determinant of the dependent variable and correlated with one or more of the included independent variables.

Enron scandal

The Enron scandal was an accounting scandal involving Enron Corporation, an American energy company based in Houston, Texas. Upon being publicized in October 2001, the company declared bankruptcy and its accounting firm, Arthur Andersen then one of the five largest audit and accountancy partnerships in the world was effectively dissolved. In addition to being the largest bankruptcy reorganization in U.S. history at that time, Enron was cited as the biggest audit failure.

Panel data

In statistics and econometrics, panel data and longitudinal data are both multi-dimensional data involving measurements over time. Panel data is a subset of longitudinal data where observations are for the same subjects each time. Time series and cross-sectional data can be thought of as special cases of panel data that are in one dimension only (one panel member or individual for the former, one time point for the latter). A literature search often involves time series, cross-sectional, or panel data.