Bankruptcy, Bankruptcy prediction models, Multiple discriminant analysis

M. Laurentius Marais, An Application of the Bootstrap Method to the Analysis of Squared, Standardized Market Model Prediction Errors, Journal of Accounting Research, Vol. 22, Studies on Current Econometric Issues in Accounting Research (1984), pp. 34-54

M. Laurentius Marais, James M. Patell, Mark A. Wolfson, The Experimental Design of Classification Models: An Application of Recursive Partitioning and Bootstrapping to Commercial Bank Loan Classifications, Journal of Accounting Research, Vol. 22, Studies on Current Econometric Issues in Accounting Research (1984), pp. 87-114

This paper proposes a simple, new diagnostic indicating the presence of uncorrected heterogeneity in exponential models of duration. The use of the diagnostic is illustrated in an example dealing with unemployment duration in the DIME data. The diagnostic is seen to supplement the information on the fit given by the maximized likelihood value.

We develop a theory of warrants held by competitive warrantholders not constrained to exercise their warrants as one block; the theory also applies to convertible bonds held by competitive bondholders not constrained to convert their bonds as one block. We prove that the warrant (bond) price in each of the competitive equilibria is less than or equal to the price in an economy with the block constraint; and for at least one competitive equilibrium the warrant (bond) price equals the warrant (bond) price in the block-constrained economy. We illustrate the paths of competitive warrant exercise and bond conversion and conclude that under realistic assumptions they can be long.

The tax law confers upon the investor a timing option - to realize capital losses and defer capital gains. With the tax rate on long term gains and losses being about half the short term rate, the law provides a second timing option - to realize losses short term and gains long term, if at all. Our theory and simulation over the 1962–1977 period establish that taxable investors should realize long term gains in high variance stocks and repurchase stock in order to realize potential future losses short term. Tax trading does not explain the small-firm anomaly but predicts a seasonal pattern in trading volume which maps into a seasonal pattern in stock prices, the January anomaly, only if investors are irrational or ignorant of the price seasonality.

This paper formulates and estimates a model for the determination of employer and union demand for multiemployer (vs. single employer) bargaining units. Utility-maximizing, risk-averse firms and unions are both assumed to weigh the impact of each type of bargaining unit on the expected level and variability of profits and wages, respectively. The model is tested on a 1975 sample of 3,486 individual collective bargaining agreements. Because either party can generally leave a multiemployer unit without the other party's consent, a partially observed bivariate probit model is used to estimate demand for structure. It is found that the forgone profits due to a multiemployer unit (relative to a single-firm unit) lower firm demands for this type of unit, while forgone wages in a multiemployer unit (relative to a single-firm unit) lower union demand for this type of unit.

Inflation reduces the effective cost of homeownership and raises the tax subsidy to owner occupation. This paper presents an asset-market model of the housing market and estimates how changes in the expected inflation rate affect the real price of houses and the equilibrium size of the housing capital stock. Simulation results suggest that the accelerating inflation of the 1970s, which substantially reduced homeowners' user costs, could have accounted for as much as a 30 percent increase in real house prices. Persistent high inflation rates could lead ultimately to a sizable increase in the stock of owner-occupied housing.

Reformulating marginal productivity theory by replacing productivity with respect to commodities with productivity with respect to persons and then defining perfectly competitive equilibrium as an allocation at which each person receives the marginal product of his/her contribution called a no-surplus allocation there emerges a competitive theory of price determination. Characterizations of no-surplus allocations are given in models with a nonatomic continuum of agents and an infinite-dimensional commodity space. Comparisons between the no-surplus and Walrasian equilibrium definitions of competitive equilibrium are made and some sufficient conditions are obtained for the existence of a no-surplus allocation.