Emel Kahya, Arav S. Ouandlous and Panayiotis Theodossiou
Outlines previous research on business failure prediction models and investigates the impact of serial correlation and non‐stationarity in financial variables on models based on…
Abstract
Outlines previous research on business failure prediction models and investigates the impact of serial correlation and non‐stationarity in financial variables on models based on linear discriminant analysis, logit and cumulative sums using 1974‐1991 data from a sample of failed and non‐failed US firms, plus a similar 1992 sample. Presents and discusses the time series behaviour of the explanatory variables, the estimation of the three types of models and their error rates over time. Concludes that models based on variables with strong positive serial correlation deteriorate over time in their forecasting power; and calls for research to develop stationary models.
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The purpose of this paper is to assess the usefulness of financial ratios derived from working capital‐based funds flow information to predict the failure of US industrial firms…
Abstract
The purpose of this paper is to assess the usefulness of financial ratios derived from working capital‐based funds flow information to predict the failure of US industrial firms. Unlike cash‐based funds flow ratios, used in the previous papers, capital‐based funds ratios are less volatile, therefore they are expected to be better predictors of business failure. Moreover, the paper utilizes a more general definition of business failure than the legal definition. The analysis is carried out using a stepwise logit procedure. The results indicate that working capital‐based funds flow measures are superior to cash‐based funds flow measures in business failure prediction models.
Emel Kahya, Gregory Koutmos and Diep Nuven
This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the…
Abstract
This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the response of volatility to exchange rate changes is asymmetric. For dollar exchange rates with respect to EMS currencies, volatility is higher during dollar depreciations, whereas, for non‐EMS dollar exchange rates, volatility is higher during dollar appreciations. In addition, there is evidence that exchange rate changes are related to volatility.
ROBERTO CURCI, TERRANCE GRIEB and MARIO G. REYES
This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during…
Abstract
This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during the period 1993–2000. The results indicate that mean‐return transmissions are common both within region and from external markets. The volatility transmission results are consistent with contagion theory and indicate that traders use both domestic news events as well as information contained by volatility in other markets in their information set.