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...

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Main Authors: Anand Venkata Subramanian, Lee, Beng Hong, Loi, Kok Cheng
Other Authors: Low, Buen Sin
Format: Theses and Dissertations
Published: 2008
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Online Access:http://hdl.handle.net/10356/7676
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Institution: Nanyang Technological University
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spelling sg-ntu-dr.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
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Risk management
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
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.
author2 Low, Buen Sin
author_facet Low, Buen Sin
Anand Venkata Subramanian
Lee, Beng Hong
Loi, Kok Cheng
format Theses and Dissertations
author Anand Venkata Subramanian
Lee, Beng Hong
Loi, Kok Cheng
author_sort Anand Venkata Subramanian
title 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_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_sort comparative study between logistic model and z-score model : empirical evidence from us markets
publishDate 2008
url http://hdl.handle.net/10356/7676
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