À繫¿¬±¸ Á¦ ±Ç È£ (2011³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1489~1518
pp.1489~1518
Logit Regression Based Bankruptcy Prediction Of Korean Firms
Chulwoo Han Capital Markets and Portfolio Research
Hyeongmook Kang Korea Advanced Institute of Science and Technology
Gamin Kim Mizuho Corporate Bank
Joseph Yi Capital Markets and Portfolio Research
In this article, we develop a bankruptcy prediction model for Ko- rean rms that utilize logit regression. We nd that not only nancial accounting ratios but equity market inputs and macro-economic vari- ables are also important predictors of bankruptcy. However, unlike the ndings in Campbell et al. (2008), using market value of equity in computing total assets did not improve the model. We compare the model with a Merton type structural model and nd that our model demonstrates a higher prediction power in distinguishing distressed rms from healthy rms. Though our model proves to perform better, we are careful to make a conclusion and rather suggest to use several models for the purpose of risk management to reduce model risk.
Chulwoo Han
Hyeongmook Kang
Gamin Kim
Joseph Yi
In this article, we develop a bankruptcy prediction model for Ko- rean rms that utilize logit regression. We nd that not only nancial accounting ratios but equity market inputs and macro-economic vari- ables are also important predictors of bankruptcy. However, unlike the ndings in Campbell et al. (2008), using market value of equity in computing total assets did not improve the model. We compare the model with a Merton type structural model and nd that our model demonstrates a higher prediction power in distinguishing distressed rms from healthy rms. Though our model proves to perform better, we are careful to make a conclusion and rather suggest to use several models for the purpose of risk management to reduce model risk.
Bankruptcy Prediction,Probability of Default,Reduced Form Model,Logit Regression.
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