Performance of default-risk measures: the sample matters
| dc.contributor.author | Abinzano Guillén, María Isabel | |
| dc.contributor.author | González Urteaga, Ana | |
| dc.contributor.author | Muga Caperos, Luis Fernando | |
| dc.contributor.author | Sánchez Alegría, Santiago | |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.contributor.department | Institute for Advanced Research in Business and Economics - INARBE | en |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.funder | Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa | es |
| dc.contributor.funder | Gobierno de Navarra / Nafarroako Gobernua, PI017-PI039 CORRAL | es |
| dc.date.accessioned | 2021-03-17T12:50:17Z | |
| dc.date.available | 2022-05-01T23:00:09Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures are unavailable for some firm types, pair wise comparisons are made between the various measures, using same-size samples in every case. The results show the superiority of market-based measures, although their accuracy depends on the prediction horizon and the type of default events considered. Furthermore, examination shows that the effect of within-sample firm characteristics varies across measures. The overall finding is of poorer goodness of fit for accurate default prediction in samples characterised by high book-to-market ratios and/or high asset intangibility, both of which suggest pricing difficulty. In the case of large-firm samples, goodness of fit is in general negatively related to size, possibly because of the 'too-big-to-fail' effect. | en |
| dc.description.sponsorship | This paper has been possible thanks to the SANFI Research Grant for Young Researchers Edition 2015, the financial support from the Spanish Ministry of Economy, Industry and Competitiveness (ECO2016-77631-R (AEI/FEDER, UE)) and the Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039/501100011033). Ana González Urteaga particularly acknowledges financial support from the Spanish Ministry of Science, Innovation and Universities through grant PGC2018-095072-B-I00. | en |
| dc.embargo.lift | 2022-05-01 | |
| dc.embargo.terms | 2022-05-01 | |
| dc.format.extent | 44 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1016/j.jbankfin.2020.105959 | |
| dc.identifier.issn | 0378-4266 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/39435 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Journal of Banking and Finance, 2020, 120, 105959 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R/ | |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/ | |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/ | |
| dc.relation.publisherversion | https://doi.org/10.1016/j.jbankfin.2020.105959 | |
| dc.rights | © 2020 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Credit-risk measures | en |
| dc.subject | Default prediction | en |
| dc.subject | Hard to value stocks | en |
| dc.title | Performance of default-risk measures: the sample matters | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
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