Predicting financial distress based on the credit cycle index: A two-stage empirical analysis

Bi-Huei Tsai*, Chih Huei Chang

*此作品的通信作者

研究成果: Article同行評審

10 引文 斯高帕斯(Scopus)

摘要

Predictive models of financial distress are developed using the two-stage method applied to listed Taiwanese firms. Firm-specific financial ratios and market factors are adopted to measure the probability of financial distress based on the discrete-time hazard models of Shumway (2001). The Kim (1999) credit cycle index is further established using macroeconomic factors to determine the cutoff indicator of financial distress. The results demonstrate that performance improves as the distressed cutoff indicators are adjusted according to the credit cycle index in the two-stage models, suggesting that the model effectively predicts financial distress, particularly in emerging markets.

原文English
頁(從 - 到)67-79
頁數13
期刊Emerging Markets Finance and Trade
46
發行號3
DOIs
出版狀態Published - 1 5月 2010

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