RT Generic
T1 On the Role of Industry-Level Structural Constraints and the Timing of Accounting Reports in Bankruptcy Predictions
A1 Chiu, Wan-Chien
A1 Peña, Juan Ignacio
A1 Wang, Chih-Wei
AB This study uses a hazard model with data on 3392 corporate bankruptcies by U.S. public companies during 1983–2008 to determine the effect of industry-based structural constraints on bankruptcy predictions. The probability of bankruptcy is significantly higher for firms in highly concentrated industries and with relatively stronger customer dependency. Most bankruptcy predictions reflect the variation of a firm’s characteristics relative to its industry, but industry-specific characteristics have negligible impacts. The investigation also includes a comparison of the relative performance of accounting and market-based variables, in terms of both in-sample fit and out-of-sample forecasting accuracy. For yearly data, the best model includes both accounting and market-based variables. However, for monthly market data and quarterly accounting reports, the best model features only market data. The usefulness of accounting measures in bankruptcy prediction models thus may be contingent on sampling frequency.
PB SSRN
YR 2011
FD 2011-07
LK https://hdl.handle.net/10016/15832
UL https://hdl.handle.net/10016/15832
LA eng
NO We acknowledge financial support from MCI grant ECO2009-12551.
DS e-Archivo
RD 1 sept. 2024