Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/an-empirical-comparison-of-bankruptcy-models-UsUmw5z9VG
References (29)
-
E. Altman, R. Haldeman, P. Narayanan (1977)
ZETATM analysis A new model to identify bankruptcy risk of corporationsJournal of Banking and Finance, 1
-
Z. Yang, Marjorie Platt, H. Platt (1999)
Probabilistic Neural Networks in Bankruptcy PredictionJournal of Business Research, 44
-
I. Dambolena, S. Khoury (1980)
Ratio Stability and Corporate FailureJournal of Finance, 35
-
J. Aharony, C. Jones, I. Swary (1980)
An analysis of risk characteristics of corporate bankruptcy using capital market dataJournal of Finance, 35
-
A. Sanvicente, A. Minardi (1998)
Identificação de indicadores contábeis significativos para previsão de concordata de empresas -
Michelle Hamer (1983)
Failure prediction: Sensitivity of classification accuracy to alternative statistical methods and variable setsJournal of Accounting and Public Policy, 2
-
D. Fletcher, E. Goss (1993)
Forecasting with neural networks: An application using bankruptcy dataInf. Manag., 24
-
J. Quinlan (1992)
C4.5: Programs for Machine Learning -
M. Ramaswami (1987)
Stock Market Perception of Industrial Firm BankruptcyThe Financial Review, 22
-
J. Gentry, P. Newbold, D. Whitford (1985)
Predicting Bankruptcy: If Cash Flow’s Not the Bottom Line, What Is?Financial Analysts Journal, 41
-
E. Altman (1968)
FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCYJournal of Finance, 23
-
H. Platt, Marjorie Platt (1991)
A note on the use of industry-relative ratios in bankruptcy predictionJournal of Banking and Finance, 15
-
T. Clark, Mark Weinstein (1983)
The Behavior of the Common Stock of Bankrupt FirmsJournal of Finance, 38
-
J. Koza (1993)
Genetic programming - on the programming of computers by means of natural selection -
G. Udo (1993)
Neural network performance on the bankruptcy classification problem, 25
-
M. Dugan, T. Forsyth (1995)
The Relationship between Bankruptcy Model Predictions and Stock Market Perceptions of BankruptcyThe Financial Review, 30
-
Gordon Karels, A. Prakash (1987)
Multivariate Normality and Forecasting of Business BankruptcyJournal of Business Finance & Accounting, 14
-
James Ohlson (1980)
FINANCIAL RATIOS AND THE PROBABILISTIC PREDICTION OF BANKRUPTCYJournal of Accounting Research, 18
-
J. Gentry, P. Newbold, D. Whitford (1985)
CLASSIFYING BANKRUPT FIRMS WITH FUNDS FLOW COMPONENTSJournal of Accounting Research, 23
-
R. Wilson, R. Sharda (1994)
Bankruptcy prediction using neural networksDecis. Support Syst., 11
-
E. Altman, M. Brenner (1981)
Information Effects and Stock Market Response to Signs of Firm DeteriorationJournal of Financial and Quantitative Analysis, 16
-
Abdul Aziz, G. Lawson (1989)
Cash Flow Reporting and Financial Distress Models: Testing of HypothesesFinancial Management, 18
-
J. Aharony, Charles Jones, Itzhak Swary (1980)
An Analysis of Risk and Return Characteristics of Corporate Bankruptcy Using Capital Market DataJournal of Finance, 35
-
(1990)
Neural nets versus logistic regression: A comparison of each model's ability to predict commercial bank failures -
W. Beaver (1968)
Market Prices, Financial Ratios, And Prediction Of FailureJournal of Accounting Research, 6
-
A. Aziz, G. Lawson (1989)
Cash flow reporting and financial distress models: testinghypotheses, Financial Management Spring
-
Abdul Aziz, David Emanuel, G. Lawson (1988)
BANKRUPTCY PREDICTION ‐ AN INVESTIGATION OF CASH FLOW BASED MODELS[1]Journal of Management Studies, 25
-
M. Zmijewski (1984)
METHODOLOGICAL ISSUES RELATED TO THE ESTIMATION OF FINANCIAL DISTRESS PREDICTION MODELSJournal of Accounting Research, 22
-
L. Philosophov, Vladimir Philosophov (1999)
Optimization of corporate capital structure A probabilistic Bayesian approachInternational Review of Financial Analysis, 8
- Publisher
- Wiley
- Copyright
- Copyright © 1998 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0732-8516
- eISSN
- 1540-6288
- DOI
- 10.1111/j.1540-6288.1998.tb01367.x
- Publisher site
- See Article on Publisher Site
Abstract
Four types of bankruptcy prediction models based on financial statement ratios, cash flows, stock returns, and return standard deviations are compared. Based on a sample of bankruptcies from 1980 to 1991, results indicate that no existing model of bankruptcy adequately captures the data. During the last fiscal year preceding bankruptcy, none of the individual models may be excluded without a loss in explanatory power. If considered in isolation, the cash flow model discriminates most consistently two to three years before bankruptcy. By comparison, the ratio model is the best single model during the year immediately preceding bankruptcy. Quasi‐jack‐knifing procedures suggest that none of the models can reliably predict bankruptcy more than two years in advance.
Journal
The Financial Review – Wiley
Published: May 1, 1998
Keywords: ; ; ;