Financial and Economic Determinants of Firm Default

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Financial and Economic Determinants of Firm Default

Author Info

Giulio Bottazzi
Marco Grazzi
Angelo Secchi
Federico Tamagni

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Abstract

This paper investigates the relevance of financial and economic variables as determinants of firm defaults. Our analysis is not limited to publicly traded companies but extends to a large sample of limited liability firms. We consider size, growth, profitability and productivity together with a standard set of financial indicators. Non parametric tests allow to asses to what extent defaulting firms differ from the non-defaulting group. Bootstrap probit regressions confirm that economic variables play both a long and short term effect. Our findings are robust with respect to the inclusion of Distance to Deafult and risk ratings among the regressors.

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Publisher Info
Paper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 2009/06.

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Date of creation: 09 Jun 2009
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Handle: RePEc:ssa:lemwps:2009/06

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
D20 - Microeconomics - - Production and Organizations - - - General
G30 - Financial Economics - - Corporate Finance and Governance - - - General
L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-06-10 (All new papers)
NEP-EFF-2009-06-10 (Efficiency & Productivity)
NEP-RMG-2009-06-10 (Risk Management)

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