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STORRE: Stirling Online Research Repository
http://hdl.handle.net/1893/20138| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Alternative bankruptcy prediction models using option-pricing theory |
| Author(s): | Charitou, Andreas Dionysiou, Dionysia Lambertides, Neophytos Trigeorgis, Lenos |
| Contact Email: | dionysia.dionysiou@stir.ac.uk |
| Keywords: | Bankruptcy prediction Option-pricing theory Volatility estimation |
| Issue Date: | Jul-2013 |
| Date Deposited: | 12-May-2014 |
| Citation: | Charitou A, Dionysiou D, Lambertides N & Trigeorgis L (2013) Alternative bankruptcy prediction models using option-pricing theory. Journal of Banking and Finance, 37 (7), pp. 2329-2341. https://doi.org/10.1016/j.jbankfin.2013.01.020 |
| 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. |
| DOI Link: | 10.1016/j.jbankfin.2013.01.020 |
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| Licence URL(s): | http://www.rioxx.net/licenses/under-embargo-all-rights-reserved |
| File | Description | Size | Format | |
|---|---|---|---|---|
| Journal of Banking and Finance 2013.pdf | Fulltext - Published Version | 320.77 kB | Adobe PDF | Under Embargo until 3000-01-01 Request a copy |
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