Industry Effect , Credit Contagion and Bankruptcy Prediction
نویسندگان
چکیده
In this paper, we examine the effect of intra-industry credit contagion using three different kinds of intra-industry measures in our empirical study. We apply the competitive strategic measure (CSM) of Sundaram et al. (1996) to capture the strategic interaction faced by firms. We also consider the measure of industry-wide financial distress and the measure of equity correlations. We use the forward intensity approach proposed by Duan et al. (2010) to examine if these industry measures can affect default intensity. Our empirical results suggest that intra-industry contagion effect may be characterized by the level of industry-wide financial distress or equity correlations among firms.
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