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Efficacy of industry factors for corporate default prediction
Published in Elsevier
2019
Volume: 31
   
Issue: 1
Pages: 71 - 77
Abstract
The paper aims to assess whether a sensitivity variable named industry beta has a significant impact on the firm's likelihood of default as an independent predictor variable. The study uses logistic regression and multiple discriminant analysis for matched pair sample of defaulting and non-defaulting listed Indian firms. The industry beta is estimated by regressing the monthly stock return of each individual firm on the monthly return of the respective industry index. The sensitivity variable for industry factors, industry beta, is found to be statistically significant in predicting defaults. Higher sensitivity to industry factors leads to an increased probability of default.
About the journal
JournalData powered by TypesetIIMB Management Review
PublisherData powered by TypesetElsevier
ISSN0970-3896
Open AccessYes
Concepts (3)
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    Economics and econometrics
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    General business
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    Management and accounting