Bankruptcy Prediction Models Based on Value Measures
نویسندگان
چکیده
منابع مشابه
Bankruptcy Prediction based on Independent Component Analysis
Bankruptcy prediction is of great importance in financial statement analysis to minimize the risk of decision strategies. It attempts to separate distress companies from healthy ones according to some financial indicators. Since the real data usually contains irrelevant, redundant and correlated variables, it is necessary to reduce the dimensionality before performing the prediction. In this pa...
متن کاملOPTION-BASED BANKRUPTCY PREDICTION by
This study builds on option-pricing theory to explain business bankruptcy based on a sample of 139 matched pairs of bankrupt and control U.S. firms for the period 1983-94. Our results indicate that the primary option-motivated variables, such as firm volatility, play an important role in predicting default, one, two and three years prior to bankruptcy. When the model is extended to account for ...
متن کاملDiscrimination Abilities of Bankruptcy Prediction Models
In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First the statistical association and significance of public records and firmographics indicators with the bankruptcy were explored. Then the event rate was oversamp...
متن کاملBankruptcy Prediction by Generalized Additive Models
We compare several accounting based models for bankruptcy prediction. The models are developed and tested on large data sets containing annual financial statements for Norwegian limited liability firms. Out-of-sample and out-of-time validation shows that generalized additive models significantly outperform popular models like linear discriminant analysis, generalized linear models and neural ne...
متن کاملBankruptcy prediction models based on multinorm analysis: An alternative to accounting ratios
0950-7051/$ see front matter 2011 Elsevier B.V. A doi:10.1016/j.knosys.2011.11.005 ⇑ Corresponding author. Address: Faculty of Econom Oviedo, Avda. Del Cristo s/n, 33006 Oviedo, Spain. Te E-mail address: [email protected] (J. de Andrés). In this paper we address the bankruptcy prediction problem and outline a procedure to improve the performance of standard classifiers. Our proposal replaces t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2020
ISSN: 1911-8074
DOI: 10.3390/jrfm14010006