Doomed Firms: An Econometric Analysis of the Path to Failure
This text provides a comprehensive treatise on financial distress modelling. Since many of the challenges facing researchers of financial distress can only be addressed by a new research design and modelling methodology, the work in this book concentrates on extending the potential for bankruptcy analysis from single-equation modelling to multi-equation analysis. Essentially, the author's work provides an innovative approach by comparing each firm with itself over time rather than testing specific hypotheses or improving predictive and classificatory accuracy. process - is applied in the form of a family of models of which the traditional single equation logit or MDA model is just a special case. Preliminary two-equation and three-equation models are presented and tested in the final chapters as a taste of things to come. The groundwork for a full treatise on these sorts of multi-equation systems is laid for further study - this family of models could be used as a basis for more specific applications to different industries and to test hypotheses concerning influential variables to bankruptcy risk.
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Precursors and Challenges in the Literature
A New Modelling Methodology
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2SLS accuracy Altman bankrupt firms Capital/Total Assets cash flow Chapter classification coefficient combined model companies COMPUSTAT correlation Coverage after Tax current liabilities dataset dependent variable discriminant analysis distressed firms dynamic economic empirical endogenous variables equation models Estimated Failure Risk estimated risk estimation sample explanatory variables external variables failed firms financial distress financial ratios financial variables firm-years firm's FLOW FROM OPERATIONS/TOTAL holdout sample included Interest Coverage internal iteration Labour Market Tightness lagged risk linear liquidation logistic regression logit analysis logit model macroeconomic method methodology model of failure multicollinearity neural network non-failed firms Ohlson parameter estimates percent period PHATFULL predictors principal components Principal Components Analysis prior to failure probability of failure problem procedure regression model risk of failure Sales/Net Plant Seemingly Unrelated Regressions service industry firms simultaneous equation stepwise regression survival analysis technique total assets Type I error values Yields US Treasury Zavgren