Equity Misvaluation and Corporate Bankruptcy Prediction
| Autor: | George E. Batta, Wan Wongsunwai |
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| Rok vydání: | 2011 |
| Předmět: | |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.1671685 |
| Popis: | This paper examines the impact of equity misvaluation on the predictive accuracy of bankruptcy models. We find that structural bankruptcy prediction models are not affected by misvaluation. However, for hazard models, forecasting accuracy for properly-valued firms is greater than for misvalued firms and model forecasting accuracy improves significantly if model coefficients vary with misvaluation. Our results show the importance of taking stock market misvaluation into account when forecasting bankruptcies using hazard models. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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