Determinants of corporate default: a BMA approach
AbstractModel uncertainty hampers consensus on the main determinants of corporate default. We employ Bayesian model averaging (BMA) techniques in order to shed light on this issue. Empirical findings suggest that the most robust determinants of corporate default are firm-specific variables such as the ratio of working capital to total assets, the ratio of retained earnings to total assets, the ratio of total liabilities to total assets and the standard deviation of the firm’s stock return. In contrast, aggregate variables do not seem to play a relevant role once firm-specific characteristics (observable and unobservable) are taken into consideration
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1221.
Length: 24 pages
Date of creation: Jun 2012
Date of revision:
Default probabilities; Bayesian model averaging; Credit Risk;
Other versions of this item:
- Carlos Gonz�lez-Aguado & Enrique Moral-Benito, 2013. "Determinants of corporate default: a BMA approach," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(6), pages 511-514, April.
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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