Determinants of corporate default: A BMA approach created by Carlos González-Aguado and Enrique Moral-Benito

By:

González-Aguado Carlos [author]

Contributor(s):

Moral-Benito Enrique [co-author]

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 5New York: Taylor & Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Bayesian model averaging -- Corporate default -- Panel data

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: 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.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no. 5 (pages 511-514)	SP17976	Not for loan	For In House Use Only

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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.

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