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The Relationship between Bankruptcy Model Predictions and Stock Market Perceptions of Bankruptcy

  • Michael T. Dugan(corresponding author)
    ,
  • Timothy B. Forsyth
*Corresponding author for this work
  • University of Alabama
    ,
  • Appalachian State University
Scholary Output:
Contribution to journal
Article
Peer-review

Abstract

This study uses a cumulative sum technique to determine the point at which the stock market first perceives that a firm may file for bankruptcy. The study then attempts to identify information, whether from financial statements or from other sources, that may have influenced the market in its reassessment of the firm's prospects. The results indicate that the switching point of the mean and variance of stock returns appears to be related both to financial statement information (as measured by changes in bankruptcy model probability assessments) and the release of unfavorable news in the Wall Street Journal.

Publication Information

Output type

Scholary Output:
Contribution to journal
Article
Peer-review

Original language

English (US)

Pages from-to (Number of pages)

Pages 507-527 (21 pages)

Journal (Volume, Issue Number)

Financial Review (Volume 30, Issue 3)

Publication milestones

  • Published - 08/1995

Publication status

Published - 08/1995

ISSN

0732-8516

Publication IDs

  • Scopus: 84987582912

Publication metrics

Metrics

Fractional count
1
Fractional count
0.50
Fractional count
1
Fractional count
0.50
Fractional count
1
Fractional count
1
Scopus
citations

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Citation count
6
Captures
11