A semiparametric method for predicting bankruptcy
Bankruptcy prediction methods based on a semiparametric logit model are proposed for simple random (prospective) and case-control (choice-based; retrospective) data. The unknown parameters and prediction probabilities in the model are estimated by the local likelihood approach, and the resulting estimators are analyzed through their asymptotic biases and variances. The semiparametric bankruptcy prediction methods using these two types of data are shown to be essentially equivalent. Thus our proposed prediction model can be directly applied to data sampled from the two important designs. One real data example and simulations confirm that our prediction method is more powerful than alternatives, in the sense of yielding smaller out-of-sample error rates. Copyright © 2007 John Wiley & Sons, Ltd.
Volume (Year): 26 (2007)
Issue (Month): 5 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Grice, John Stephen & Dugan, Michael T, 2001. "The Limitations of Bankruptcy Prediction Models: Some Cautions for the Researcher," Review of Quantitative Finance and Accounting, Springer, vol. 17(2), pages 151-166, September.
- 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, 09.
- repec:bla:joares:v:18:y:1980:i:1:p:109-131 is not listed on IDEAS
- repec:bla:joares:v:22:y:1984:i::p:59-82 is not listed on IDEAS
- Lejeune, Michel & Sarda, Pascal, 1992. "Smooth estimators of distribution and density functions," Computational Statistics & Data Analysis, Elsevier, vol. 14(4), pages 457-471, November.
- Maria Vassalou & Yuhang Xing, 2004. "Default Risk in Equity Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 831-868, 04.
- 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..
- Sudheer Chava & Robert A. Jarrow, 2004. "Bankruptcy Prediction with Industry Effects," Review of Finance, European Finance Association, vol. 8(4), pages 537-569.
- Thomas E. McKee, 2003. "Rough sets bankruptcy prediction models versus auditor signalling rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(8), pages 569-586.
- 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.
- Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. " Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, vol. 40(1), pages 269-291, March.
- William F. Messier, Jr. & James V. Hansen, 1988. "Inducing Rules for Expert System Development: An Example Using Default and Bankruptcy Data," Management Science, INFORMS, vol. 34(12), pages 1403-1415, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:26:y:2007:i:5:p:317-342. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.