Surviving Chapter 11 Bankruptcies: Duration and Payoff?
Three of the authors previously developed a model to predict the duration of Chapter 11 bankruptcy and the payoff to shareholders ( Partington et al., 2001 ). This work augments that study using a much larger sample to re-estimate the model and assess its stability. It also provides an opportunity f...
| Publicado en: | Abacus Vol. 43; no. 3; pp. 363 - 388 |
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| Autores principales: | , , , |
| Formato: | Artículo |
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Wiley-Blackwell
Sep2007
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=26219520&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 26219520 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 00013072 AUB jtl: Abacus issn: 00013072 maglogo: Y pubinfo: dt: Sep2007 vid: 43 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 26219520 10.1111/j.1467-6281.2007.00236.x ppf: 363 ppct: 25 formats: fmt: @attributes: type: P size: 193KB tig: atl: Surviving Chapter 11 Bankruptcies: Duration and Payoff? aug: au: Wong, Brad Partington, Graham Stevenson, Maxwell Torbey, Violet affil: The University of Sydney QSuper Finance, Government Superannuation Office, Queensland Treasury su: Bankruptcy Corporate reorganizations Stockholders Liquidity (Economics) Financial crises Capital market Statistics Forecasting Liquidation Bayesian analysis sug: subj: Bankruptcy Corporate reorganizations Stockholders Liquidity (Economics) Financial crises Capital market Statistics Forecasting Liquidation Bayesian analysis ab: Three of the authors previously developed a model to predict the duration of Chapter 11 bankruptcy and the payoff to shareholders ( Partington et al., 2001 ). This work augments that study using a much larger sample to re-estimate the model and assess its stability. It also provides an opportunity for out-of-sample testing of predictive accuracy. The resulting models are based on Cox's proportional hazards model and the current article points to the need to test two important assumptions underlying the model. First, that the hazards are proportional and, second, that censoring is independent of the event studied. Using the extended data set, all the previously significant accounting variables drop out of the model and only two covariates of the original model remain significant. These are the market wide credit spread and the market capitalization of the firm, both measured immediately prior to the firm's entry to Chapter 11. Receiver operating characteristic curves are then used to assess the predictive accuracy of the original and extended models. The results show that Lachenbruch tests can provide a misleading indication of predictive ability out of sample. Using the Lachenbruch method of in-sample testing, both models show predictive power, but in a true out-of-sample test they fail dismally. The lessons of this work are relevant to better predicting the gains and losses likely to accrue to shareholders of companies in Chapter 11 bankruptcy and in similar administrative arrangements in other jurisdictions. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y custom: Copyright of Abacus is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. item: Abacus holder: Wiley-Blackwell dt: @attributes: year: 2007 holdings: @attributes: islocal: N |
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