Download or read book Distress Risk and Corporate Failure Modelling written by Stewart Jones and published by Taylor & Francis. This book was released on 2022-09-15 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction text to distress risk and corporate failure modelling techniques. It illustrates how to apply a wide range of corporate bankruptcy prediction models and, in turn, highlights their strengths and limitations under different circumstances. It also conceptualises the role and function of different classifiers in terms of a trade-off between model flexibility and interpretability. Jones's illustrations and applications are based on actual company failure data and samples. Its practical and lucid presentation of basic concepts covers various statistical learning approaches, including machine learning, which has come into prominence in recent years. The material covered will help readers better understand a broad range of statistical learning models, ranging from relatively simple techniques, such as linear discriminant analysis, to state-of-the-art machine learning methods, such as gradient boosting machines, adaptive boosting, random forests, and deep learning. The book’s comprehensive review and use of real-life data will make this a valuable, easy-to-read text for researchers, academics, institutions, and professionals who make use of distress risk and corporate failure forecasts.
Download or read book Corporate Financial Distress and Bankruptcy written by Edward I. Altman and published by John Wiley & Sons. This book was released on 2010-03-11 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at the enormous growth and evolution of distressed debt, corporate bankruptcy, and credit risk default This Third Edition of the most authoritative finance book on the topic updates and expands its discussion of corporate distress and bankruptcy, as well as the related markets dealing with high-yield and distressed debt, and offers state-of-the-art analysis and research on the costs of bankruptcy, credit default prediction, the post-emergence period performance of bankrupt firms, and more.
Download or read book Corporate Financial Distress Restructuring and Bankruptcy written by Edward I. Altman and published by John Wiley & Sons. This book was released on 2019-03-26 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at the enormous growth and evolution of distressed debt markets, corporate bankruptcy, and credit risk models This Fourth Edition of the most authoritative finance book on the topic updates and expands its discussion of financial distress and bankruptcy, as well as the related topics dealing with leveraged finance, high-yield, and distressed debt markets. It offers state-of-the-art analysis and research on U.S. and international restructurings, applications of distress prediction models in financial and managerial markets, bankruptcy costs, restructuring outcomes, and more.
Download or read book Corporate Financial Distress written by Edward I. Altman and published by . This book was released on 1983-02-14 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A Wiley-Interscience publication."Includes index. Bibliography: p. 355-361.
Download or read book In Search of Distress Risk written by John Y. Campbell and published by . This book was released on 2014 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.
Download or read book In Search of Distress Risk written by John Y. Campbell and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistentfirm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress"--National Bureau of Economic Research web site.
Download or read book Corporate Financial Distress written by Natalia Outecheva and published by . This book was released on 2007 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Corporate Bankruptcy written by Konstantin A. Danilov and published by . This book was released on 2014 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is divided into three sections that address the various elements of understanding, predicting and analyzing corporate failure and bankruptcy. Part I covers the definitions of corporate failure, explains the bankruptcy process and then classifies various potential causes of failure into broad categories. The causes are bifurcated into company-specific versus external factors. The company-specific factors include an in depth discussion and analysis of business causes versus financial causes, as well as the interrelation between the two. The most important factors, such as financial and operating leverage, are explored in great detail to gain a better understanding of their implications and impact on corporate failure. Part II covers various approaches for analyzing corporate risk and predicting corporate failure. It first details the credit analysis process from the perspective of lenders and credit agencies as a method for credit evaluation and prediction of default. Then, it provides an in depth explanation of financial ratio analysis as a prediction method and provides an overview of the main statistical prediction models. It concludes with a discussion of the implications of the model findings with respect to the causes detailed in Part I. Lastly, Part III describes the outcome of the study performed to analyze the causes of failure as described in Part I by using a combination of the methods highlighted in Part II. The purpose of the study is to identify the sequence and magnitude of relative ratio deterioration in failed firms in order to establish the relative frequency of the various categories of causes of failure. Various ratios and metrics were used as proxies for relative liquidity complications, profitability issues, business problems, and leverage concerns. The impact of macroeconomic events is also evaluated by isolating the impact of the 2008-2009 recession on the relative ratio measures.
Download or read book Corporate Financial Distress written by Matteo Pozzoli and published by Springer. This book was released on 2017-09-11 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores methods and techniques to predict and eventually prevent financial distress in corporations. It analyzes the effects of the global financial crisis on Italian manufacturing companies and, more specifically, whether the crisis has increased the number of firms that are likely to fail. In the first chapter, the authors widely discuss the Corporate Financial Distress as well as the process and costs incurred. The second chapter is based on a review of the most used statistical models, splitting them into accounting-based and market-based models. The following chapter is dedicated to the methodology and the empirical analysis on Italian manufacturing companies from different industries. The last chapter presents practical evidence from Italian manufacturing companies during the recent financial crisis.
Download or read book Corporate Bankruptcy written by CFA Danilov (Konstantin A.) and published by . This book was released on 2014 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is divided into three sections that address the various elements of understanding, predicting and analyzing corporate failure and bankruptcy. Part I covers the definitions of corporate failure, explains the bankruptcy process and then classifies various potential causes of failure into broad categories. The causes are bifurcated into company-specific versus external factors. The company-specific factors include an in depth discussion and analysis of business causes versus financial causes, as well as the interrelation between the two. The most important factors, such as financial and operating leverage, are explored in great detail to gain a better understanding of their implications and impact on corporate failure. Part II covers various approaches for analyzing corporate risk and predicting corporate failure. It first details the credit analysis process from the perspective of lenders and credit agencies as a method for credit evaluation and prediction of default. Then, it provides an in depth explanation of financial ratio analysis as a prediction method and provides an overview of the main statistical prediction models. It concludes with a discussion of the implications of the model findings with respect to the causes detailed in Part I. Lastly, Part III describes the outcome of the study performed to analyze the causes of failure as described in Part I by using a combination of the methods highlighted in Part II. The purpose of the study is to identify the sequence and magnitude of relative ratio deterioration in failed firms in order to establish the relative frequency of the various categories of causes of failure. Various ratios and metrics were used as proxies for relative liquidity complications, profitability issues, business problems, and leverage concerns. The impact of macroeconomic events is also evaluated by isolating the impact of the 2008-2009 recession on the relative ratio measures.
Download or read book Revisiting the Relation between Distress Risk and Stock Returns written by Michael S. O'Doherty and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several prior studies use reduced-form models of bankruptcy or default risk to proxy for corporate distress and find evidence of a significant negative relation between distress risk and average returns. This paper introduces a substantially broader measure of firm failure risk, the probability a firm is delisted from a major U.S. stock exchange for performance reasons, and revisits the pricing of distressed stocks. In contrast to the prior literature, I find distressed stocks earn higher average returns than those with a low probability of failure. Moreover, distress risk is significantly priced in the cross section. While the size and value effects remain robust to controlling for failure risk, I find evidence that SMB and HML contain some distress-related information.
Download or read book Financial Statement Analysis and the Prediction of Financial Distress written by William H. Beaver and published by Now Publishers Inc. This book was released on 2011 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Statement Analysis and the Prediction of Financial Distress discusses the evolution of three main streams within the financial distress prediction literature: the set of dependent and explanatory variables used, the statistical methods of estimation, and the modeling of financial distress. Section 1 discusses concepts of financial distress. Section 2 discusses theories regarding the use of financial ratios as predictors of financial distress. Section 3 contains a brief review of the literature. Section 4 discusses the use of market price-based models of financial distress. Section 5 develops the statistical methods for empirical estimation of the probability of financial distress. Section 6 discusses the major empirical findings with respect to prediction of financial distress. Section 7 briefly summarizes some of the more relevant literature with respect to bond ratings. Section 8 presents some suggestions for future research and Section 9 presents concluding remarks.
Download or read book Corporate Financial Distress written by Marisa Agostini and published by Springer. This book was released on 2018-05-16 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, divided into three main parts, will offer a complete overview of the concept of corporate financial distress, emphasizing the different typologies of corporate paths included in this broad concept. It will reorganize and update academic literature about the evaluation of corporate financial distress from the first studies about failure prediction to the most recent contributions. It will also provide evidence about the evolution of going concern standards in both international and U.S. contexts. Moreover, an in-depth analysis of this broad concept will permit the identification of a set of research questions to be investigated from both theoretical and empirical points of view, and will be of interest to academic researchers and doctoral students of accounting, auditing and finance, professionals, and standard setters.
Download or read book Early Warning Indicators of Corporate Failure written by Richard Morris and published by Routledge. This book was released on 2018-12-17 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1997, this text focuses on the conundrum between the academics ability to distinguish between failing and non-failing businesses with models of over 85.5per cent accuracy, and the reasons why credit agencies and the like do not act on such information. The author asks, are the models defective?
Download or read book Doomed Firms written by P.J. Cybinski and published by Routledge. This book was released on 2018-12-13 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2003. This book provides a much-needed comprehensive and up-to-date treatise on financial distress modelling. Since many of the challenges facing researchers of financial distress can only be addressed by a totally new research design and modelling methodology, this book concentrates on extending the potential for bankruptcy analysis from single-equation modelling to multi-equation analysis. Essentially, the work provides an innovative new approach by comparing each firm with itself over time rather than testing specific hypotheses or improving predictive and classificatory accuracy. Added to this new design, a whole new methodology - or way of modelling the process - is applied in the form of a family of models of which the traditional single equation logit or MDA models is just a special case. Preliminary two-equation and three-equation models are presented and tested in the final chapters as a taste of things to come. The groundwork for a full treatise on these sorts of multi-equation systems is laid for further study - this family of models could be used as a basis for more specific applications to different industries and to test hypotheses concerning influential variables to bankruptcy risk.
Download or read book Duration Analysis of Financial Distress written by Ke Wang and published by . This book was released on 2004 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Accounting and Information Theory written by Baruch Lev and published by . This book was released on 1969 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
