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Barney School Assistant Professor Onur Oz's Forthcoming Article on Bankruptcy Models

Posted 02/05/2018
Category: Accolades

“Bankruptcy prediction models’ generalizability: Evidence from emerging market economies,” by Onur Oz, Assistant Professor of Accounting, Barney School of Business and co-author Can Simga-Mugan, will appear in Advances in Accounting.  

Abstract:  This study examines the generalizability of five prominent financial distress/bankruptcy prediction models for the analysis of ongoing distressed industrial firms in seventeen emerging market economies. The distress prediction models scrutinized in this study are the Altman (1968), Ohlson (1980), Taffler (1983), Zmijewski (1984) and Shumway (2001) models. This study reveals the prediction model generalizability by exercising each model for their original and re-estimated versions with respect to: i) full sample analysis, ii) pre- and post-financial crisis of 2008, and iii) establishing holdout samples from small to large observations in accordance with the original distress and non-distress proportions of each model. The study sample consists of Morgan Stanley Capital International (MSCI) Emerging Market Index countries for the period between 2000 and 2012. The results highlight that the Ohlson (1980), Zmijewski (1984) and Shumway (2001) prediction models are generalizable for emerging market economies. However, researchers and practitioners should be cautious in exercising the Taffler (1983) model while the Altman (1968) model produces poor prediction results.