Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9844
Title: | Alternative bankruptcy prediction models using option-pricing theory | Authors: | Charitou, Andreas Dionysiou, Dionysia Lambertides, Neophytos Trigeorgis, Lenos |
metadata.dc.contributor.other: | Λαμπερτίδης, Νεόφυτος | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Bankruptcy prediction;Option-pricing theory;Volatility estimation | Issue Date: | Jul-2013 | Source: | Journal of Banking and Finance, 2013, vol. 37, no. 7, pp. 2329-2341 | Volume: | 37 | Issue: | 7 | Start page: | 2329 | End page: | 2341 | Journal: | Journal of Banking & Finance | Abstract: | We examine the empirical properties of the theoretical Black-Scholes-Merton (BSM) bankruptcy model. We evaluate the predictive ability of various existing modifications of the BSM model and extend prior studies by estimating volatility directly from market-observable returns on firm value. We show that parsimonious models using our direct market-observable volatility estimate perform better than alternative, more sophisticated, models. Our findings suggest the adoption of simpler modelling approaches relying on market data when implementing the BSM model. | URI: | https://hdl.handle.net/20.500.14279/9844 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2013.01.020 | Rights: | © Elsevier | Type: | Article | Affiliation : | University of Cyprus University of Stirling Cyprus University of Technology |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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