Publication:
Measuring credit risk in family firms

Consultable a partir de

Date

2020

Director

Publisher

SAGE
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión publicada / Argitaratu den bertsioa

Project identifier

ES/1PE/ECO2016-77631-R

Abstract

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000–2016. The results show that the Black–Scholes–Merton (BSM) measure gives the best fit in both types of firm. However, all the accounting-based measures, especially Altman’s Z-score, come closest to the market-based measures when used to assess the credit risk of family firms. The two types of measures also coincide more closely in their default risk orderings of family than of non-family firms. Useful practical implications can be drawn from these findings, which show that accounting-based measures can be used reliably in the absence of market data for family firms with similar characteristics to those in our sample.

Keywords

Goodness of fit of credit risk, Default risk ranking of firms, Black-Scholes-Merton measure, Family firms

Department

Enpresen Kudeaketa / Institute for Advanced Research in Business and Economics - INARBE / Gestión de Empresas

Faculty/School

Degree

Doctorate program

Editor version

Funding entities

The research funding was provided by the Ministry of Science and Innovation (PID2019-104304GB-I00), the Spanish Ministry of Economy and Competitiveness, (ECO2016-77631-R (AEI/FEDER, UE)), the SANFI Research Grant for Young Researchers Edition 2015, and the Ramón Areces Fundation.
The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: The research funding was provided by the Ministry of Science and Innovation (PID2019-104304GB-I00), the Spanish Ministry of Economy and Competitiveness, (ECO2016-77631-R (AEI/FEDER, UE)), the SANFI Research Grant for Young Researchers Edition 2015, and the Ramón Areces Fundation.

© The Author(s) 2020. This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License which permits non-commercial use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access page (https://uk.sagepub.com/aboutus/openaccess.htm).

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