Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/the-relationship-between-bankruptcy-model-predictions-and-stock-market-qvMeFuy1FG
References (17)
-
James Ohlson (1980)
FINANCIAL RATIOS AND THE PROBABILISTIC PREDICTION OF BANKRUPTCYJournal of Accounting Research, 18
-
E. Altman, R. Haldeman, P. Narayanan (1977)
ZETATM analysis A new model to identify bankruptcy risk of corporationsJournal of Banking and Finance, 1
-
C. Zavgren (1985)
ASSESSING THE VULNERABILITY TO FAILURE OF AMERICAN INDUSTRIAL FIRMS: A LOGISTIC ANALYSISJournal of Business Finance & Accounting, 12
-
Marc Blum (1974)
FAILING COMPANY DISCRIMINANT-ANALYSISJournal of Accounting Research, 12
-
E. Altman, M. Brenner (2009)
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS November 1976 ABSTRACT: INFORMATION EFFECTS AND STOCK MARKET RESPONSE TO SIGNS OF FIRM DETERIORATION -
George Sorter, Martin Gans (1974)
Opportunities and Implications of the Report on Objectives of Financial StatementsJournal of Accounting Research, 12
-
Edward I. Altman, Menachem Brenner (March 1981)
Information Effects and Stock Market Response to Signs of Firm DeteriorationJournal of Financial and Quantitative Analysis, 16
-
C. Zavgren, M. Dugan, J. Reeve (1988)
The Association Between Probabilities of Bankruptcy and Market Responses—A Test of Market AnticipationJournal of Business Finance & Accounting, 15
-
W. Beaver (1968)
Market Prices, Financial Ratios, And Prediction Of FailureJournal of Accounting Research, 6
-
D. Burgstahler, J. Jiambalvo, Eric Noreen (1989)
Changes in the probability of bankruptcy and equity valueJournal of Accounting and Economics, 11
-
L. Lau, Barry Ma (1987)
Certainty equivalence in expected profit maximization implies impossibility of lossEconomics Letters, 25
-
Steven Katz, Steven Lilien, B. Nelson (1985)
Stock Market Behavior Around Bankruptcy Model Distress and Recovery PredictionsFinancial Analysts Journal, 41
-
M. Ramaswami (1987)
Stock Market Perception of Industrial Firm BankruptcyThe Financial Review, 22
-
(1972)
An Empirical Test of Financial Ratio Analysis for Small Business Failure Prediction -
J. Baldwin, G. Glezen (1992)
Bankruptcy Prediction Using Quarterly Financial Statement DataJournal of Accounting, Auditing & Finance, 7
-
E. Altman (1968)
FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCYJournal of Finance, 23
-
Steven Hillmer, P. Yu (1979)
The market speed of adjustment to new informationJournal of Financial Economics, 7
- Publisher
- Wiley
- Copyright
- Copyright © 1995 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0732-8516
- eISSN
- 1540-6288
- DOI
- 10.1111/j.1540-6288.1995.tb00843.x
- Publisher site
- See Article on Publisher Site
Abstract
This study uses a cumulative sum technique to determine the point at which the stock market first perceives that a firm may file for bankruptcy. The study then attempts to identify information, whether from financial statements or from other sources, that may have influenced the market in its reassessment of the firm's prospects. The results indicate that the switching point of the mean and variance of stock returns appears to be related both to financial statement information (as measured by changes in bankruptcy model probability assessments) and the release of unfavorable news in the Wall Street Journal.
Journal
The Financial Review – Wiley
Published: Aug 1, 1995