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Please use this identifier to cite or link to this item: http://dspace.lib.cranfield.ac.uk/handle/1826/7694

Document Type: Article
Title: Comparing the performance of market-based and accounting-based bankruptcy prediction models
Authors: Agarwal, Vineet
Taffler, Richard
Issue Date: 2008
Citation: Vineet Agarwal and Richard Taffler, Comparing the performance of market-based and accounting-based bankruptcy prediction models, Journal of Banking & Finance, 2008, Volume 32, Number 8, Pages 1541-1551.
Abstract: Recently developed corporate bankruptcy prediction models adopt a contingent claims valuation approach. However, despite their theoretical appeal, tests of their performance compared with traditional simple accounting-ratio-based approaches are limited in the literature. We find the two approaches capture different aspects of bankruptcy risk, and while there is little difference in their predictive ability in the UK, the z-score approach leads to significantly greater bank profitability in conditions of differential decision error costs and competitive pricing regime. (C) 2007 Published by Elsevier B.V.
URI: http://dx.doi.org/10.1016/j.jbankfin.2007.07.014
http://dspace.lib.cranfield.ac.uk/handle/1826/7694
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