A study of financial distress prediction models:considering macroeconomic variables
碩士 === 國立交通大學 === 經營管理研究所 === 98 === In this paper, we use the discrete-time survival model, discrete-time Cox model, Logit model, and Probit model to predict the probability of financial distress for each firm. We use a set of variables, including market-driven variables, accounting ratios, and mac...
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| Format: | Others |
| Language: | en_US |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33987317265628403690 |
| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 98 === In this paper, we use the discrete-time survival model, discrete-time Cox model, Logit model, and Probit model to predict the probability of financial distress for each firm. We use a set of variables, including market-driven variables, accounting ratios, and macroeconomic variables to predict financial distress.
Shumway estimates a multi-period Logit model that can be defined as discrete-time survival model. The maximum likelihood method is used to determine the probability of the model. Then we want to modify the discrete-time survival model’s likelihood function because it ignores the probability of surviving at time t for all firms.
Empirical studies demonstrate that the dynamic models can yield more accurate out-of-sample forecasts than static models in general. All these macroeconomic variables are significant. Unfortunately, three sets of variables’ type-one-error rate are higher than original sets of variables.
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