Narrow search
Showing 1 - 10 of 18,221
Cover Image
Capital Structure and Corporate Failure Prediction : Theory and Applications
Pasaribu, Rowland Bismark - 2017
This paper addresses the theoretical foundations of corporate failure prediction, using the neo-classical theory of … compared to the multitude of theory-less empirical studies and a useful alternative to the default theory …
Persistent link: https://www.econbiz.de/10012975529
Cover Image
Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score
Miller, Warren - 2009
This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....
Persistent link: https://www.econbiz.de/10013156771
Cover Image
Evaluating Cross-Sectional Forecasting Models for Implied Cost of Capital
Li, Kevin K. - 2014
correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …
Persistent link: https://www.econbiz.de/10013063029
Cover Image
Forecasting Earnings with Predicted, Conditional Probability Density Functions
Hendriock, Mario - 2021
This study provides empirical evidence for the efficacy of deriving firms' earnings forecasts from predictions of the complete, conditional probability density function (pdf). Relative to cross-sectional earnings forecasts based on OLS regressions, improvements of accuracy, bias and measures for...
Persistent link: https://www.econbiz.de/10013216393
Cover Image
Special Items : Implications for Forecasting
Nissim, Doron - 2022
Earnings estimates are often calculated as the product of sales and profit margin forecasts. The profit margin is predicted based on its past levels and other relevant information. A key component of such information is whether and the extent to which the company has recognized special items...
Persistent link: https://www.econbiz.de/10013292307
Cover Image
Evaluating Cross-Sectional Forecasting Models for Implied Cost of Capital
Li, Kevin K. - 2014
correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …
Persistent link: https://www.econbiz.de/10013057608
Cover Image
Predicting Market Risk with Density Combination : An Introduction
Ardia, David - 2017
Density forecast combination is a useful tool for risk managers to reduce model risk. We present up …
Persistent link: https://www.econbiz.de/10012972128
Cover Image
Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin - 2013
financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …
Persistent link: https://www.econbiz.de/10013084434
Cover Image
Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …
Persistent link: https://www.econbiz.de/10009723920