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Assessing bankruptcy prediction models via information content of technical inefficiency

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  • Ruey-Ching Hwang
  • Jhao-Siang Siao
  • Huimin Chung
  • C. Chu

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  • Ruey-Ching Hwang & Jhao-Siang Siao & Huimin Chung & C. Chu, 2011. "Assessing bankruptcy prediction models via information content of technical inefficiency," Journal of Productivity Analysis, Springer, vol. 36(3), pages 263-273, December.
    • Handle: RePEc:kap:jproda:v:36:y:2011:i:3:p:263-273
    DOI: 10.1007/s11123-011-0210-x
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    References listed on IDEAS

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    1. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
    2. Sun, Lili & Shenoy, Prakash P., 2007. "Using Bayesian networks for bankruptcy prediction: Some methodological issues," European Journal of Operational Research, Elsevier, vol. 180(2), pages 738-753, July.
    3. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008. "In Search of Distress Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December.
    4. Sudheer Chava & Catalina Stefanescu & Stuart Turnbull, 2011. "Modeling the Loss Distribution," Management Science, INFORMS, vol. 57(7), pages 1267-1287, July.
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Kauko, Karlo, 2009. "Managers and efficiency in banking," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 546-556, March.
    7. Baek, H. Young, 2004. "Corporate diversification and performance: evidence on production efficiency," Journal of Multinational Financial Management, Elsevier, vol. 14(2), pages 135-152, April.
    8. Agarwal, Vineet & Taffler, Richard, 2008. "Comparing the performance of market-based and accounting-based bankruptcy prediction models," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1541-1551, August.
    9. Becchetti, Leonardo & Sierra, Jaime, 2003. "Bankruptcy risk and productive efficiency in manufacturing firms," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2099-2120, November.
    10. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    11. Lensink, Robert & Meesters, Aljar & Naaborg, Ilko, 2008. "Bank efficiency and foreign ownership: Do good institutions matter?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 834-844, May.
    12. Antonio Alvarez & Christine Amsler & Luis Orea & Peter Schmidt, 2006. "Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics," Journal of Productivity Analysis, Springer, vol. 25(3), pages 201-212, June.
    13. Hunt-McCool, Janet & Koh, Samuel C & Francis, Bill B, 1996. "Testing for Deliberate Underpricing in the IPO Premarket: A Stochastic Frontier Approach," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1251-1269.
    14. repec:bla:jfinan:v:59:y:2004:i:2:p:831-868 is not listed on IDEAS
    15. Sudheer Chava & Robert A. Jarrow, 2008. "Bankruptcy Prediction with Industry Effects," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 21, pages 517-549, World Scientific Publishing Co. Pte. Ltd..
    16. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    17. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
    18. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    19. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    20. Zmijewski, Me, 1984. "Methodological Issues Related To The Estimation Of Financial Distress Prediction Models," Journal of Accounting Research, Wiley Blackwell, vol. 22, pages 59-82.
    21. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
    22. Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
    23. Battese, G E & Coelli, T J, 1995. "A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data," Empirical Economics, Springer, vol. 20(2), pages 325-332.
    24. Kumbhakar,Subal C. & Lovell,C. A. Knox, 2003. "Stochastic Frontier Analysis," Cambridge Books, Cambridge University Press, number 9780521666633, September.
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    Cited by:

    1. Ruey-Ching Hwang & Huimin Chung & Jiun-Yi Ku, 2013. "Predicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(3), pages 321-341, June.
    2. Ruey-Ching Hwang & Chih-Kang Chu, 2013. "Forecasting forward defaults: a simple hazard model with competing risks," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1467-1477, August.
    3. Hua Wu & Taiwen Feng & Wenbo Jiang & Ting Kong, 2022. "Environmental Penalties, Investor Attention and Stock Market Reaction: Moderating Roles of Air Pollution and Industry Saliency," IJERPH, MDPI, vol. 19(5), pages 1-27, February.
    4. Nyitrai, Tamás & Virág, Miklós, 2019. "The effects of handling outliers on the performance of bankruptcy prediction models," Socio-Economic Planning Sciences, Elsevier, vol. 67(C), pages 34-42.
    5. Hwang, Ruey-Ching, 2012. "A varying-coefficient default model," International Journal of Forecasting, Elsevier, vol. 28(3), pages 675-688.
    6. Aliya Alimhanova & Andrey Vazhdaev & Artur Mitsel & Anatoly Sidorov, 2022. "Dynamic Model of Enterprise Revenue Management Based on the SFA Model," Mathematics, MDPI, vol. 11(1), pages 1-13, December.

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    More about this item

    Keywords

    Discrete-time hazard model; Merton model; Robust Wald test; Stochastic frontier model; D24; G20;
    All these keywords.

    JEL classification:

    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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