標題: Predicting Financial Distress Based on the Credit Cycle Index: A Two-Stage Empirical Analysis
作者: Tsai, Bi-Huei
Chang, Chih-Huei
管理科學系
Department of Management Science
關鍵字: credit risk;emerging market;logit model;Type I error
公開日期: 1-五月-2010
摘要: Predictive models of financial distress are developed using the two-stage method applied to listed Taiwanese firms. Firm-specific financial ratios and market factors are adopted to measure the probability of financial distress based on the discrete-time hazard models of Shumway (2001). The Kim (1999) credit cycle index is further established using macroeconomic factors to determine the cutoff indicator of financial distress. The results demonstrate that performance improves as the distressed cutoff indicators are adjusted according to the credit cycle index in the two-stage models, suggesting that the model effectively predicts financial distress, particularly in emerging markets.
URI: http://dx.doi.org/10.2753/REE1540-496X460305
http://hdl.handle.net/11536/14108
ISSN: 1540-496X
DOI: 10.2753/REE1540-496X460305
期刊: EMERGING MARKETS FINANCE AND TRADE
Volume: 46
Issue: 3
起始頁: 67
結束頁: 79
顯示於類別:期刊論文