Assessing Bankruptcy Prediction Models Via Information Content of Technical Inefficiency
2010/07/06
研討會日期 : 2010-07-06
時間 : 14:30
主講人 : 黃瑞卿副教授
地點 : C103
演講者簡介 : Ruey-Ching Hwang got her Ph.D. in Management Science from National Chiao Tung University. She is currently serving as Associate Professor of Finance at National Dong Hwa University. Her research interest is in financial econometrics, risk management, and financial empirical evidence.
演講摘要 : We use a stochastic frontier model with firm-specific technical inefficiency effects in a panel framework (Battese and Coelli 1995) to assess two popular probability of bankruptcy (PB) measures based on Merton model (Merton 1974) and discrete-time hazard model (DHM; Shumway 2001). Three important results based on our empirical studies are obtained. First, a firm with a higher PB has less technical efficiency. Second, the technical efficiency of a bankrupt firm tends to decrease as the time point progresses toward its bankrupt time. Finally, the information content about firm’s technical inefficiency provided by PB based on DHM is significantly more than that based on Merton model. By the last result and the fact that economic-based efficiency measures are reasonable indicators of the long-term health and prospects of firms (Baek and Pagán 2002), we conclude that PB based on DHM is a better credit risk proxy of firms.
