Determinants of corporate default: A BMA approach
González-Aguado Carlos
Determinants of corporate default: A BMA approach created by Carlos González-Aguado and Enrique Moral-Benito - Applied economics letters Volume 20, number 5 .
In this article, we aim to identify the main determinants of corporate default by considering Bayesian Model Averaging (BMA) techniques. Our empirical findings suggest that the most robust determinants of firm default are firm-specific variables such as the ratio of working capital to total assets and the SD of the firm stock return. In contrast, aggregate variables do not seem to play a relevant role once firm-specific characteristics (observable and unobservable) and model uncertainty are taken into consideration.
13504851
Bayesian model averaging--Panel data--Corporate default
HB1.A666 APP
Determinants of corporate default: A BMA approach created by Carlos González-Aguado and Enrique Moral-Benito - Applied economics letters Volume 20, number 5 .
In this article, we aim to identify the main determinants of corporate default by considering Bayesian Model Averaging (BMA) techniques. Our empirical findings suggest that the most robust determinants of firm default are firm-specific variables such as the ratio of working capital to total assets and the SD of the firm stock return. In contrast, aggregate variables do not seem to play a relevant role once firm-specific characteristics (observable and unobservable) and model uncertainty are taken into consideration.
13504851
Bayesian model averaging--Panel data--Corporate default
HB1.A666 APP