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Persistent link: https://www.econbiz.de/10011080629
I argue that hazard models are more appropriate than single-period models for forecasting bankruptcy. Single-period models are inconsistent, while hazard models produce consistent estimates. I describe a simple technique for estimating a discrete-time hazard model. I find that about half of the...
Persistent link: https://www.econbiz.de/10005728416
We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a "naïve" alternative, which uses the functional form suggested by the Merton model but does not solve the model for an implied...
Persistent link: https://www.econbiz.de/10005743991
We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of - 55 percent for...
Persistent link: https://www.econbiz.de/10005214402
The author documents a delisting bias in the stock return data base maintained by the Center for Research in Security Prices. He finds that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that...
Persistent link: https://www.econbiz.de/10005214648
Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find evidence of two types of learning:...
Persistent link: https://www.econbiz.de/10008553442
This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse, regularly assuming above-average afternoon risk to recover from morning losses. This...
Persistent link: https://www.econbiz.de/10005162099
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