Charitou, Andreas; Dionysiou, Dionysia; Lambertides, … - In: Journal of Banking & Finance 37 (2013) 7, pp. 2329-2341
We examine the empirical properties of the theoretical Black–Scholes–Merton (BSM) bankruptcy model. We evaluate the predictive ability of various existing modifications of the BSM model and extend prior studies by estimating volatility directly from market-observable returns on firm value....