Abinzano Guillén, María IsabelGonzález Urteaga, AnaMuga Caperos, Luis FernandoSánchez Alegría, Santiago2021-03-172022-05-0120200378-426610.1016/j.jbankfin.2020.105959https://academica-e.unavarra.es/handle/2454/39435This 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.44 p.application/pdfeng© 2020 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0Credit-risk measuresDefault predictionHard to value stocksinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess