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Altman’s Z-Score Models of Predicting Corporate Distress : Evidence from the Emerging Sri Lankan Stock Market

Samarakoon, Lalith P. - 2010

This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...

Persistent link: https://www.econbiz.de/10013152873

Bankruptcy Risk Among Indonesian Stock Exchange Listed Companies

Setiawan, Anton - 2020

Objective - This research analyses whether there was a change in bankruptcy risk of companies in Indonesia for the period between 2015–2018, during the first presidency period of Joko Widodo, when Indonesia experienced tremendous dynamic economic, political and technological change. Previous...

Persistent link: https://www.econbiz.de/10012842095

The Altman ‘Z’ is ‘50’ and Still Young : Bankruptcy Prediction and Stock Market Reaction Due to Sudden Exogenous Shock

Poudel, Rajeeb - 2019

This study is motivated by the continuing popularity of the Altman Z-score as a measure of distress risk. Altman first introduced the ‘Z' score in 1968 and 50 years later it is still going strong as a means to predicting bankruptcy. During these 50 years, academicians have studied the...

Persistent link: https://www.econbiz.de/10012893618

Stock liquidity and default risk around the world

Nadarajah, Sivathaasan - 2020

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

Persistent link: https://www.econbiz.de/10012854783

Positive Equity Prices with Insolvency under Legal Solvency Tests

Heaton, J.B. - 2020

It is well understood that the equity of an insolvent firm can trade for a positive price so long as there is some positive probability that the firm will become solvent at some future point. Currently, however, this insight exists in the case law in an informal sense, while its use in the...

Persistent link: https://www.econbiz.de/10012854945

Forecasting Corporate Defaults in the German Stock Market

Mertens, Richard - 2016

We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...

Persistent link: https://www.econbiz.de/10012983935

Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from...

Persistent link: https://www.econbiz.de/10013222017

Financial distress and hedging : evidence from Canadian oil firms

Mo, Kun; Suvankulov, Farrukh; Griffiths, Sophie - 2019

The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms. Specifically, we argue that the expected costs of financial distress have been associated with the hedging behaviour for Canadian oil firms between 2005 and 2015. We use...

Persistent link: https://www.econbiz.de/10011999674

Financial Distress Risk and Stock Price Crashes

Andreou, Christoforos - 2020

This study uses 469,816 monthly observations of US public firms for the period 1990-2018 to document a strong positive relationship between short-term changes in financial distress risk and future stock price crashes. This result is economically significant as a one interquartile increase of the...

Persistent link: https://www.econbiz.de/10012847850

Cash flow and financial distress of private listed enterprises on the Vietnam stock market : a quantile regression approach

Thuy Duong Phan; Thi Thanh Hoang; Ngoc Mai Tran - In: Cogent business & management 9 (2022) 1, pp. 1-13

The study evaluates the influence of cash flow on the financial distress of private listed enterprises on the Vietnamese stock market from 2010 to 2020. We use the data collected from the financial statements of 263 private non-financial enterprises listed on the Ho Chi Minh and Hanoi stock...

Persistent link: https://www.econbiz.de/10014436294

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