In this article, we develop a bankruptcy prediction model for Ko-rean firms that utilize logit regression. We find that not only financial accounting ratios but equity market inputs and macro-economic vari-ables are also important predictors of bankruptcy. However, unlike the findings 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 find that our model demonstrates a higher prediction power in distinguishing distressed firms from healthy firms. 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.
Keywords: Bankruptcy Prediction, Probability of Default, Reduced Form Model, Logit Regression.
학회소식
[2011년 제 2차] Logit Regression Based Bankruptcy Prediction Of Kor
작성자 : 관리자
조회수 : 741
게시일 :
2011-06-03
