Some new models for financial distress prediction in the UK

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Some new models for financial distress prediction in the UK

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dc.contributor.author Christidis, Angela Chih-Ying en_GB
dc.contributor.author Gregory, Alan en_GB
dc.date.accessioned 2010-11-04T15:11:53Z en_GB
dc.date.accessioned 2011-01-25T10:28:35Z en_US
dc.date.accessioned 2013-03-20T11:11:37Z
dc.date.issued 2010-09 en_GB
dc.description.abstract In this paper we develop some new models for the prediction of failure in the UK that add to the literature by showing that “dynamic logit” models that incorporate market variables of the form developed by Chava and Jarrow (2004) and Campbell et al (2008) add considerable power to pure accounting-based models. Importantly, we extend the logic of Campbell et al (2008) by showing that incorporating macro-economic variables adds predictive power, both in and out-of-sample, to market-based accounting models. Last, we show that adding industry controls gives a modest improvement to such models for UK firms in the case of a models based on accounting, market and economic variables, but a greater improvement in terms of a pure accounting based model. en_GB
dc.identifier.uri http://hdl.handle.net/10036/114713 en_GB
dc.language.iso en en_GB
dc.publisher University of Exeter Business School en_GB
dc.relation.ispartofseries Xfi - Centre for Finance and Investment Discussion Paper en_GB
dc.relation.ispartofseries no.10/04 en_GB
dc.relation.url http://business-school.exeter.ac.uk/research/areas/topics/finance/outputs/ en_GB
dc.title Some new models for financial distress prediction in the UK en_GB
dc.type Working Paper en_GB
dc.date.available 2010-11-04T15:11:53Z en_GB
dc.date.available 2011-01-25T10:28:35Z en_US
dc.date.available 2013-03-20T11:11:37Z
dc.description Discussion paper en_GB


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