The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Bankruptcy Prediction with Industry Effects
Open accessAbstract
This paper investigates the forecasting accuracy of bankruptcy hazard rate models for U.S. companies over the time period 1962–1999 using both yearly and monthly observation intervals. The contribution of this paper is multiple-fold. One, using an expanded bankruptcy database we validate the superior forecasting performance of Shumway's (2001) model as opposed to Altman (1968) and Zmijewski (1984). Two, we demonstrate the importance of including industry effects in hazard rate estimation. Industry groupings are shown to significantly affect both the intercept and slope coefficients in the forecasting equations. Three, we extend the hazard rate model to apply to financial firms and monthly observation intervals. Due to data limitations, most of the existing literature employs only yearly observations. We show that bankruptcy prediction is markedly improved using monthly observation intervals. Fourth, consistent with the notion of market efficiency with respect to publicly available information, we demonstrate that accounting variables add little predictive power when market variables are already included in the bankruptcy model.
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Cites
An Introduction to the Bootstrap
Efron, B., & Tibshirani, R. J. (1994) · doi:10.1201/9780429246593 · Cited by 40,500
An Introduction to the Bootstrap
Efron, B., & Tibshirani, R. J. (1993) · doi:10.1007/978-1-4899-4541-9 · Cited by 21,230
FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY
Altman, E. I. (1968) · The Journal of Finance · doi:10.1111/j.1540-6261.1968.tb00843.x · Cited by 14,888
Survival Analysis, Techniques for Censored and Truncated Data
Rao, M. B. (1998) · Technometrics · doi:10.1080/00401706.1998.10485206 · Cited by 3,617
Liquidation Values and Debt Capacity: A Market Equilibrium Approach
SHLEIFER, A., & VISHNY, R. W. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04661.x · Cited by 2,893
Methodological Issues Related to the Estimation of Financial Distress Prediction Models
Zmijewski, M. E. (1984) · Journal of Accounting Research · doi:10.2307/2490859 · Cited by 2,888
Forecasting Bankruptcy More Accurately: A Simple Hazard Model
Shumway, T. (2001) · The Journal of Business · doi:10.1086/209665 · Cited by 2,646
Modeling Term Structures of Defaultable Bonds
Duffie, D., & Singleton, K. J. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.4.687 · Cited by 2,542
Survival analysis using the SAS system : a practical guide
Allison, P. D. (1995) · Medical Entomology and Zoology · Cited by 2,402
Plackett, R. L., & Cox, D. R. (1971) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344247 · Cited by 2,264
Cited by
Environmental externalities and cost of capital
Chava, S. (2014) · Management Science · doi:10.1287/mnsc.2013.1863 · Cited by 1,851
Self-citationHernandez Tinoco, M., & Wilson, N. (2013) · International Review of Financial Analysis · doi:10.1016/j.irfa.2013.02.013 · Cited by 451
Is Default Risk Negatively Related to Stock Returns?
Chava, S., & Purnanandam, A. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhp107 · Cited by 382
Self-citationAcharya, V., Davydenko, S. A., & Strebulaev, I. A. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhs106 · Cited by 375
Corporate bond default risk: A 150-year perspective
Giesecke, K., Longstaff, F. A., Schaefer, S., & Strebulaev, I. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.01.011 · Cited by 300
Metadata
- Authors
- Chava, S., & Jarrow, R. A.
- Venue
- Review of Finance
- Publisher
- Oxford University Press (OUP)
- Published
- 2004-01-01
- Volume
- 8
- Issue
- 4
- Pages
- 537-569
- ISSN
- 1382-6662 (ISSN-L)
- 1573-692X
- 1572-3097
- OpenAlex
- W3123201237
- Cited by
- 784
- References
- 23
- FWCI
- 55.56
- Type
- journal article
- Language
- en
- Open access
- bronze
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
