政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36879

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36879

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/36879

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/36879

題名:	以重複事件模型分析破產機率 Recurrent Event Analysis of Bankruptcy Probability
作者:	曾士懷 Tseng,Shih Huai
貢獻者:	謝淑貞 Shieh,Shwu Jane 曾士懷 Tseng,Shih Huai
關鍵詞:	重複事件破產機率 Recurrent Event Bankruptcy Probability
日期:	2007
上傳時間:	2009-09-18 20:01:11 (UTC+8)
摘要:	Bankruptcy prediction has been of great interest to academics in the fields of accounting and finance for decades. Prior literatures focus mostly on investigating the covariates that lead to bankruptcy. In this thesis, however, we extend the issue of interest to what are the possible covariates that cause significant jumps in bankruptcy probability for a company. We consider the BSM-probability measure examined by Hillegeist, Keating, Cram, and Lundsedt (2004) to help us calculate the variation in bankruptcy probabilities for companies. In addition, recurrent event data analysis is applied to explore these jumps in bankruptcy intensity. By investigating the S&P500 constituents with sample consists of 343 S&P500-listed companies and 17,836 quarter observations starting from 1994 to 2007, we find that, in three of our models, all of these six covariates are negatively related to the recurrences of event that a company will suffer significant jumps in its bankruptcy probability during the next quarter. Additionally, macroeconomic covariates have greater explanatory power as factors affecting the probability of these jumps, while company-specific covariates contribute less to these recurrences of events. In comparison, we conduct another estimation based on the observation of slight increases in bankruptcy probability for companies. Contrary to what we find on the prior dataset, our empirical results suggest the factors that evoke these events are less prominent and their influences on the event recurrence are mixed.
參考文獻:	Altman, E.I., 1968. Financial ratios, discriminant analysis, and the prediction of corporate bankruptcy. Journal of Finance 23, 589-609 Beaver, B., 1966. Financial ratios as predictors of failure. Journal of Accounting Research Autumn, 91–101, Empirical Research in Accounting: Selected Studies, Supplement. Beaver, B., 1968a. Alternative accounting measures as predictors of failure. Accounting Review January, 113–122. Beaver, B., 1968b. Market prices, financial ratios, and the prediction of failure. Journal of Accounting Research Autumn, 170–192. Beaver, W., McNichols, M., Rhie, J.-W., 2005. Have financial statements become less informative?—Evidence from the Ability of Financial Ratios to Predict Bankruptcy. Review of Accounting Studies 10, 93–122. Bharath, S., Shumway, T., 2004. Forecasting default with the KMV-merton model. Working paper, University of Michigan. Crosbie, P.J., Bohn, J.R., 2002. Modeling default risk. Technical Report, KMV, LLC. Das, S.R., Duffie, D., Kapadia, N., Saita, L., 2006. Common failings: how corporate defaults are correlated, Journal of Finance. Duffie, D., Lando, D., 2001. Term structures of credit spreads with incomplete accounting information. Econometrica 69, 633–664. Hillegeist, S.A., Keating, E.K., Cram, D.P., Lundstedt, K.G., 2004. Assessing the Probability of Bankruptcy. Review of Accounting Studies 9, 5–34. Jones, F., 1987. Current techniques in bankruptcy prediction. Journal of Accounting Literature 6, 131–164. Kealhofer, S., 2003. Quantifying credit risk I: default prediction. Financial Analysts Journal, January–February, 30–44. Lin, D. Y., and Wei, L. J., 1989. The robust inference for the Cox proportional hazards model. Journal of the American Statistical Association. McDonald, C.G., Van de Gucht, L.M., 1999. High-yield bond default and call risks. Review of Economics and Statistics 81, 409–419. Ohlson, J., 1980. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 19, 109–131. Pena, E. A., Hollander, M., 2004. Models for recurrent events in reliability and survival analysis. Kluwer Academic Publishers, 105-123 Pena, E. A., Slate, E. H., and Gonzalez, J. R., 2006. Semiparametric inference for a general calss of models for recurrent events. Journal of Statistical Planning and Inference, 137, 1727-1747 Pesaran, M.H., Schuermann, T., Treutler, B.-J., Weiner, S.M., 2006. Macroeconomic dynamics and credit risk: a global perspective. Journal of Money, Credit, and Banking 38, 1211–1262. Ripatti, S., and Palmgren, J., 2000. Estimation of multivariate frailty models using penalized partial likelihood. Biometrics, 1016-1022 Shumway, T., 2001. Forecasting bankruptcy more accurately: a simple hazard model. Journal of Business 74, 101–124. Therneau, T. M., and Hamilton, S. A., 1997. rhDNase as an example of recurrent event analysis. Statistics in Medicine 16, 2029-2047 Therneau, T. M., and Grambsch, P. M., 2000. Modeling survival data: extending the Cox model Rondeau, V., Commenges, D., and Joly, P., 2003. Maximun penalized likihood estimation in a gamma-frailty model. Lifetime Data Analysis 9, 139-153 Wei, L. J., Lin, D. Y., and Weissfeld, L., 1989. Regression analysis of multivariate incomplete failure time data by modeling marginal distributions, Journal of the American Statistical Association 84, 1065-1073
描述:	碩士國立政治大學國際經營與貿易研究所 95351013 96
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0953510131
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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