Comparing the Performance of Market-Based and Accounting-Based Bankruptcy Prediction Models

By Vineet Agarwal, Richard J. Taffler. 2006

616 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/78f4fcb2ab60cd97cd6c8a65fb286cc7ee61bf58

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Citations in the corpus

The performance of insolvency prediction and credit risk models in the UK : a comparative study, development and wider application (2012, neutral): “Author(s) (year) Model type Country Failed Non-failed Beaver (1966) Single Ratio US 79 79 Altman (1968) MDA US 33 33 Ohlson (1980) Logit US 105 2058 Taffler (1983) MDA UK 46 46 Sobehart and Stein (2000) Options US 1,406 13,041 Charitou et al. (2004) Neural network UK 51 51 Bharath and Shumway (2004/”
Distressed Firm and Bankruptcy Prediction in an International Context: A Review and Empirical Analysis of Altman's Z-Score Model (2014, neutral): “Recent valuable reviews on the efficacy of the models have been delivered by Agarwal and Taffler (2008) and Bauer and Agarwal (2014), taking into account the performance of accounting-based models, market-based models and hazard models.”
Corporate Governance and Bankruptcy Risk (2016, neutral): “See, for example, Chava and Jarrow (2004) and Agarwal and Taffler (2008).”
Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013, background): “In a recent paper, Agarwal and Taffler (2008) perform a comparison of market-based and accounting-based bankruptcy predictionmodels, and find that traditionalmodels based onfinancial ratios are not inferior to KMV-type, option-basedmodels for credit risk assessment purposes.”
Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test (2014, methodology): “In addition, we use the framework of Stein (2005) and Agarwal and Taffler (2008a) to test the economic impact of using different bankruptcy prediction models in a competitive environment when costs of misclassification differ.”
Predicting Distress in European Banks (2014, background): “We do not consider market-based indicators, such as proposed by Agarwal and Taffler (2008). The key reasons are two: i) we aim at predicting underlying vulnerabilities 1-3 years prior to distress, whereas market-based signals tend to have a shorter horizon, and ii) we aim at using a broad sample of ”
Role of macroeconomic variables on firms’ performance: Evidence from the UK (2017, background): “Most accounting ratio-related studies focuses on the ability of financial statement related ratios to predict corporate failure (Agarwal & Taffler, 2008; Altman, 1968; Altman, Haldeman, & Narayanan, 1977; Beaver, 1966; Bunyaminu & Issah, 2012; Ohlson, 1980; Wang & Campbel, 2010).”
Do Traditional Financial Distress Prediction Models Predict the Early Warning Signs of Financial Distress? (2019, background): “Results of this study on the accounting-based models confirm the finding of Agarwal and Taffler (2008), who found that despite extensive criticism, traditional accounting-based models are robust compared to the market-based models.”
Comparative credit risk in Islamic and conventional bank (2015, positive): “For instance, being based on past performance, accounting values and ratios may not be informative in assessing future outcomes, actual asset values may differ from the historical value of assets because of conservative methods of recording (Altman and Saunders, 1997), and accounting figures may be ”
Private equity investment criteria: An experimental conjoint analysis of venture capital, business angels, and family offices (2019, background): “Since companies with poor profitability are associated with a high risk of bankruptcy (Agarwal and Taffler, 2008), FOs will consider such investments to be high-risk investments.”