A comparative study between logistic model and Z-score model : empirical evidence from US markets
Academics in the fields of accounting and finance have actively studied bankruptcy since the revolutionary work of Beaver (1966, 1968) and Altman (1 968). The majority of these studies focused on the statistical methodology and expanding the set of explanatory variables with the objective of impr...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Thesis |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/7676 |
| _version_ | 1826111875307274240 |
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| author | Anand Venkata Subramanian Lee, Beng Hong Loi, Kok Cheng |
| author2 | Low, Buen Sin |
| author_facet | Low, Buen Sin Anand Venkata Subramanian Lee, Beng Hong Loi, Kok Cheng |
| author_sort | Anand Venkata Subramanian |
| collection | NTU |
| description | Academics in the fields of accounting and finance have actively studied
bankruptcy since the revolutionary work of Beaver (1966, 1968) and Altman
(1 968). The majority of these studies focused on the statistical methodology
and expanding the set of explanatory variables with the objective of improving prediction accuracy. Along the same vein, this study relied on accounting based measures as the predictor variables. In particular, we attempt to adopt the statistical approach as proposed by Westgaard Wijst (2000) “Default Probabilities In A Corporate Bank Portfolio : A Logistic Model Approach” to calibrate a bankruptcy prediction model and using it to investigate bankruptcies events in the United States from 1999 to 2001. Eivind (2001)’s “A Model Of Bankruptcy Prediction” also applied a similar methodology on the Norwegian market. Of the multivariate approaches, the multivariate discriminant analysis (MDA) approach is frequently cited and notable results are provided by Altman (2001 ) “Predicting Financial Distress Of Companies”.
The effectiveness and reliability of prediction results from the logistic
regression model is studied and then compared to those obtained by ZScores. |
| first_indexed | 2024-10-01T02:57:42Z |
| format | Thesis |
| id | ntu-10356/7676 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T02:57:42Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/76762024-01-12T10:10:08Z A comparative study between logistic model and Z-score model : empirical evidence from US markets Anand Venkata Subramanian Lee, Beng Hong Loi, Kok Cheng Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Risk management Academics in the fields of accounting and finance have actively studied bankruptcy since the revolutionary work of Beaver (1966, 1968) and Altman (1 968). The majority of these studies focused on the statistical methodology and expanding the set of explanatory variables with the objective of improving prediction accuracy. Along the same vein, this study relied on accounting based measures as the predictor variables. In particular, we attempt to adopt the statistical approach as proposed by Westgaard Wijst (2000) “Default Probabilities In A Corporate Bank Portfolio : A Logistic Model Approach” to calibrate a bankruptcy prediction model and using it to investigate bankruptcies events in the United States from 1999 to 2001. Eivind (2001)’s “A Model Of Bankruptcy Prediction” also applied a similar methodology on the Norwegian market. Of the multivariate approaches, the multivariate discriminant analysis (MDA) approach is frequently cited and notable results are provided by Altman (2001 ) “Predicting Financial Distress Of Companies”. The effectiveness and reliability of prediction results from the logistic regression model is studied and then compared to those obtained by ZScores. Master of Science (Financial Engineering) 2008-09-18T07:49:31Z 2008-09-18T07:49:31Z 2003 2003 Thesis http://hdl.handle.net/10356/7676 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Risk management Anand Venkata Subramanian Lee, Beng Hong Loi, Kok Cheng A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title | A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title_full | A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title_fullStr | A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title_full_unstemmed | A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title_short | A comparative study between logistic model and Z-score model : empirical evidence from US markets |
| title_sort | comparative study between logistic model and z score model empirical evidence from us markets |
| topic | DRNTU::Business::Finance::Risk management |
| url | http://hdl.handle.net/10356/7676 |
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