TY - JOUR
T1 - Predicting defaults of highly-levered firms with an adapted Altman model
AU - Levy, H. K.
AU - Kanat, Y.
AU - Kunin, A.
AU - Tooshknov, D.
AU - Tzruya, P.
AU - Tzruya, P.
N1 - Publisher Copyright:
© 2014 Investment Analysts Society of Southern Africa.
PY - 2014/11/1
Y1 - 2014/11/1
N2 - The purpose of this paper is to analyse whether applying Altman's model, with specific adjustments to highly levered firms, can reliably predict bankruptcies one quarter, one year, and two years in advance. Our focus on highly levered firms is motivated by leverage-driven theories of financial crises, where highly levered firms are the early defaulters once the expansionary phase of the business cycle turns into a recessionary phase. We find high predictability of defaults of firms in the Real-estate and Holding-companies sectors in Israel one year before the recent crisis.
AB - The purpose of this paper is to analyse whether applying Altman's model, with specific adjustments to highly levered firms, can reliably predict bankruptcies one quarter, one year, and two years in advance. Our focus on highly levered firms is motivated by leverage-driven theories of financial crises, where highly levered firms are the early defaulters once the expansionary phase of the business cycle turns into a recessionary phase. We find high predictability of defaults of firms in the Real-estate and Holding-companies sectors in Israel one year before the recent crisis.
UR - https://www.scopus.com/pages/publications/84907484401
U2 - 10.1080/10293523.2014.11082574
DO - 10.1080/10293523.2014.11082574
M3 - Article
AN - SCOPUS:84907484401
SN - 1029-3523
SP - 37
EP - 43
JO - Investment Analysts Journal
JF - Investment Analysts Journal
IS - 80
ER -
