CEU Electronic Theses and Dissertations, 2019
| Author | Riabkov, Kostiantyn |
|---|---|
| Title | Why Do Firms Fail, Emerge, and Fail Again? Predicting Corporate Bankruptcy with Hazard Models |
| Summary | This thesis examines the drivers of corporate distress for US-based, publicly-traded firms over the 1994-2018 period based on a dynamic logit model that was first applied for bankruptcy prediction by Shumway (2001) and later extended by Campbell et al (2008). Applying these techniques, we find that a vast majority of the variables of interest retained their underlying relationships with the probability of the first default, or Chapter 11. However, as we extrapolate these techniques to predicting repeated default, or Chapter 22, we discover that fundamental characteristics, such as profitability and leverage, play a considerably larger role than equity-market factors for reorganized firms. Finally, we extend both Shumway`s and Campbell`s specifications by incorporating macroeconomic and industry factors. We conclude that both are significant predictors of Chapter 11; in contrast, firms that remain distressed after being restructured tend to default irrespectively of the economic cycle. |
| Supervisor | Adam Zawadowski |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2019/riabkov_kostiantyn.pdf |
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