Listar INARBE - Institute for Advanced Research in Business and Economics por tema "Hard-to-value stocks"

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Lagged accuracy in credit-risk measures

Abinzano Guillén, María Isabel ; González Urteaga, Ana ; Muga Caperos, Luis Fernando ; Sánchez Alegría, Santiago (Elsevier, 2022) Artículo / Artikulua

This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure ...