Comparing the performance of market-based and accounting-based bankruptcy prediction models
Agarwal, Vineet and Taffler, Richard J.. (2008) Comparing the performance of market-based and accounting-based bankruptcy prediction models. Journal of Banking & Finance, 32 (8). pp. 1541-1551. ISSN 0378-4266Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jbankfin.2007.07.014
Recently developed corporate bankruptcy prediction models adopt a contingent claims valuation approach. However, despite their theoretical appeal, tests of their performance compared with traditional simple accounting-ratio-based approaches are limited in the literature. We find the two approaches capture different aspects of bankruptcy risk, and while there is little difference in their predictive ability in the UK, the z-score approach leads to significantly greater bank profitability in conditions of differential decision error costs and competitive pricing regime.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
|Journal or Publication Title:||Journal of Banking & Finance|
|Publisher:||Elsevier Science BV|
|Page Range:||pp. 1541-1551|
|Access rights to Published version:||Restricted or Subscription Access|
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