A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach

Journal of Empirical Finance

Volumn 17, Issue 4, 2010, Pages 818-833

  Li, Ming Yuan Leon ^a   Miu, Peter ^b  

^a NATIONAL CHENG KUNG UNIVERSITY   (Taiwan)

^b MCMASTER UNIVERSITY   (Canada)

Author keywords

Bankruptcy; Binary quantile regression; Distance to default; Z score

Indexed keywords

EID: 77954456927     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2010.04.004     Document Type: Article

References (34)

1. Agarwal, V., Taffler, R., 2008. Comparing the performance of market-based and accounting-based bankruptcy prediction models. Journal of Banking and Finance 32 (8), 1541-1551.
2. Altman E.I. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 1968, 23:589-609.
3. Basel Committee International Convergence of Capital Measurements and Capital Standards: A Revised Framework (Comprehensive Version), BIS 2006.
4. Bassett G., Chen H.L. Quantile style: return-based attribution using regression quantiles. Empirical Econ. 2001, 26:293-305.
5. Black F., Scholes M. The pricing of options and corporate liabilities. J. Polit. Econ. 1973, 7:637-654.
6. Blochlinger A., Leippold M. Economic benefit of powerful credit scoring. J. Bank. Finance 2006, 30:851-873.
7. Buchinsky M. Changes in U.S. wage structure 1963-1987: an application of quantile regression. Econometrica 1994, 62:405-458.
8. Buchinsky M. The dynamics of changes in the female wage distribution in the USA: a quantile regression approach. J. Appl. Econometrics 1997, 13:1-30.
9. Campbell J.Y., Hilscher J., Szilagyi J. In search of distress risk. Working paper, Harvard University 2006.
10. Chamberlain G. Quantile regression, censoring and the structure of wages. Adv. Econometrics 1994, 171-209.
11. Chernozhukov V., Umantsev L. Conditional value-at-risk: aspects of modeling and estimation. Empirical Econ. 2001, 26:271-292.
12. Conley T., Galenson D. Nativity and wealth in mid-nineteenth-century cities. J. Econ. Hist. 1998, 58:468-493.
13. Corana A., Marchesi M., Martini C., Ridella S. Minimizing multimodal functions of continuous variables with the simulated annealing algorithm. ACM Trans. Math. Softw. 1987, 13:262-280.
14. Engle R., Manganelli S. CaViaR: conditional autoregressive value at risk by regression quantiles. University of California, San Diego, Department of Economics, Working Paper 99/20 1999.
15. Goffe W., Ferrier G., Rogers J. Global optimization of statistical functions with simulated annealing. J. Econometrics 1994, 60:65-101.
16. Gosling A., Machin S., Meghir C. The changing distribution of male wages in the UK. Rev. Econ. Stud. 2000, 67:635-666.
17. Hillegeist S., Keating E., Cram D., Lundstedt K. Assessing the probability of bankruptcy. Rev. Acc. Stud. 2004, 9:5-34.
18. Kealhofer S. Quantifying credit risk I: default prediction. Financ. Anal. J. 2003, 59:30-44.
19. Kealhofer S., Kurbat M. The default prediction power of the Merton approach, relative to debt ratings and accounting variables. Moody's KMV 2001.
20. Koenker R., Bassett G.B. Regression quantiles. Econometrica 1978, 46:33-50.
21. Kordas G. Smoothed binary regression quantiles. J. Appl. Econometrics 2006, 21:387-407.
22. Löffler G. The complementary nature of ratings and market-based measures of default risk. J. Fixed Income 2007, 17:38-47.
23. Manski C. Maximum score estimation of the stochastic utility model of choice. J. Econometrics 1975, 3:205-228.
24. Manski C. Semiparametric analysis of discrete response: asymptotic properties of the maximum score estimator. J. Econometrics 1985, 27:313-334.
25. Mensah Y.M. An examination of the stationarity of multivariate bankruptcy prediction models: a methodological study. J. Acc. Res. 1984, 22:380-395.
26. Merton R.C. On the pricing of corporate debt: the risk structure of interest rates. J. Finance 1974, 29:449-470.
27. Miller R. Refining ratings. Risk 1998, 97-99.
28. Mitchell J., Roy P.V. Failure prediction models: performance, disagreements, and internal rating systems. European Financial Management Annual Conference (Athens, Greece) 2008.
29. Oderda G., Dacorogna M., Jung T. Credit risk models: do they deliver their promises? A quantitative assessment. Rev. Bank. Finance Monetary Econ. 2003, 32:177-195.
30. Reisz A., Perlich C. A market-based framework for bankruptcy prediction. Working paper, Baruch College, City University of New York 2004.
31. Saunders A., Allen L. Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms 2002, Wiley Finance, New York. second ed.
32. Stein R. The relationship between default prediction and lending profits: integrating ROC analysis and loan pricing. J. Bank. Finance 2005, 29:1213-1236.
33. Taylor J. A quantile regression approach to estimating the distribution of multiperiod returns. J. Deriv. 1999, 7:64-78.
34. Vassalou M., Xing Y. Default risk in equity returns. J. Finance 2004, 59:831-868.