Comparing the performance of market-based and accounting-based bankruptcy prediction models

dc.contributor.authorAgarwal, Vineet-
dc.contributor.authorTaffler, Richard J.-
dc.date.accessioned2012-12-11T23:01:07Z
dc.date.available2012-12-11T23:01:07Z
dc.date.issued2008-01-01T00:00:00Z-
dc.description.abstractRecently 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.en_UK
dc.identifier.citationVineet 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.
dc.identifier.issn0378-4266-
dc.identifier.urihttp://dx.doi.org/10.1016/j.jbankfin.2007.07.014-
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/7694
dc.language.isoen_UK-
dc.publisherElsevier Science B.V., Amsterdam.en_UK
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance, 2008, Volume 32, Number 8, Pages 1541-1551. http://dx.doi.org/10.1016/j.jbankfin.2007.07.014
dc.titleComparing the performance of market-based and accounting-based bankruptcy prediction modelsen_UK
dc.typeArticle-

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