Please use this identifier to cite or link to this item: 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
Authors: 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
Publisher: Elsevier
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.
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.
Type: Journal Article
URI: http://hdl.handle.net/1893/20138
DOI Link: http://dx.doi.org/10.1016/j.jbankfin.2013.01.020
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Cyprus University
Accounting and Finance
Cyprus University of Technology
Cyprus University

Files in This Item:
File Description SizeFormat 
Journal of Banking and Finance 2013.pdf320.77 kBAdobe PDFUnder Embargo until 31/12/2999     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependant on the depositor still being contactable at their original email address.

This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.