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dc.contributor.authorHwang, Ruey-Chingen_US
dc.contributor.authorSiao, Jhao-Siangen_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorChu, C. K.en_US
dc.date.accessioned2014-12-08T15:20:51Z-
dc.date.available2014-12-08T15:20:51Z-
dc.date.issued2011-12-01en_US
dc.identifier.issn0895-562Xen_US
dc.identifier.urihttp://dx.doi.org/10.1007/s11123-011-0210-xen_US
dc.identifier.urihttp://hdl.handle.net/11536/14837-
dc.description.abstractWe use a stochastic frontier model with firm-specific technical inefficiency effects in a panel framework (Battese and Coelli in Empir Econ 20:325-332, 1995) to assess two popular probability of bankruptcy (PB) measures based on Merton model (Merton in J Financ 29:449-470, 1974) and discrete-time hazard model (DHM; Shumway in J Bus 74:101-124, 2001). Three important results based on our empirical studies are obtained. First, a firm with a higher PB generally has less technical efficiency. Second, for an ex-post bankrupt firm, its PB tends to increase and its technical efficiency of production tends to decrease, as the time to its bankruptcy draws near. Finally, the information content about firm's technical inefficiency provided by PB based on DHM is significantly more than that based on Merton model. By the last result and the fact that economic-based efficiency measures are reasonable indicators of the long-term health and prospects of firms (Baek and Pagan in Q J Bus Econ 41:27-41, 2002), we conclude that PB based on DHM is a better credit risk proxy of firms.en_US
dc.language.isoen_USen_US
dc.subjectDiscrete-time hazard modelen_US
dc.subjectMerton modelen_US
dc.subjectRobust Wald testen_US
dc.subjectStochastic frontier modelen_US
dc.titleAssessing bankruptcy prediction models via information content of technical inefficiencyen_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s11123-011-0210-xen_US
dc.identifier.journalJOURNAL OF PRODUCTIVITY ANALYSISen_US
dc.citation.volume36en_US
dc.citation.issue3en_US
dc.citation.spage263en_US
dc.citation.epage273en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000296798900003-
dc.citation.woscount6-
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