Earticle

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 Eects of Equity Market and Macro-Economic Variables
  4.3 Comparison with a Structural Model
 5 Concluding Remarks
 References
 Table

키워드

저자

• Chulwoo Han [ Capital Markets and Portfolio Research ] Corresponding author
• Hyeongmook Kang [ Korea Advanced Institute of Science and Technology ]
• Gamin Kim [ Mizuho Corporate Bank ]
• Joseph Yi [ Capital Markets and Portfolio Research ]

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330