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초록
영어
In this article, we develop a bankruptcy prediction model for Ko- rean rms that utilize logit regression. We nd that not only nancial accounting ratios but equity market inputs and macro-economic vari- ables are also important predictors of bankruptcy. However, unlike the ndings in Campbell et al. (2008), using market value of equity in computing total assets did not improve the model. We compare the model with a Merton type structural model and nd that our model demonstrates a higher prediction power in distinguishing distressed rms from healthy rms. Though our model proves to perform better, we are careful to make a conclusion and rather suggest to use several models for the purpose of risk management to reduce model risk.
목차
Abstract
1 Introduction
2 Earlier Studies
3 The Model
3.1 The Data
3.2 Candidates for Explanatory Variables
4 Estimation Results
4.1 Model Speci cation
4.2 E ects of Equity Market and Macro-Economic Variables
4.3 Comparison with a Structural Model
5 Concluding Remarks
References
Table
1 Introduction
2 Earlier Studies
3 The Model
3.1 The Data
3.2 Candidates for Explanatory Variables
4 Estimation Results
4.1 Model Speci cation
4.2 E ects of Equity Market and Macro-Economic Variables
4.3 Comparison with a Structural Model
5 Concluding Remarks
References
Table
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자료제공 : 네이버학술정보