Articlebronze2006

The influence of the business cycle on bankruptcy probability

62 citations0/0 files storedInternational Transactions in Operational Research

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Financial Distress and Bankruptcy Prediction Corporate Insolvency and Governance Forecasting Techniques and Applications

Abstract

Abstract Two fields of research on default prediction are combined on a unique dataset covering all limited liability firms in Norway. This is done by empirically testing a bankruptcy prediction function where unlisted firms are evaluated on the basis of both their financial statement analysis and movements in the business cycle. This combination is found to improve the default prediction compared with financial statements alone. The GDP gap, a production index and the money supply M1 in combination with some financial health indicators for individual firms are found to be significant predictors on default for Norwegian firms during both recovery and expansion in the 1990s.

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References

1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1997Postwar U.S. Business Cycles: An Empirical Investigation 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy 1966Financial Ratios As Predictors of Failure 1984Methodological Issues Related to the Estimation of Financial Distress Prediction Models 1977ZETATM analysis A new model to identify bankruptcy risk of corporations 1972A Discriminant Analysis of Predictors of Business Failure 2000A comparative analysis of current credit risk models

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