FinancialReporting%2CFinancialStatementAnalysis%2Cand：财务报告，财务报表分析，和.ppt

Bankruptcy -- The Extreme Risk Prediction models using sample of bankrupt and non-bankrupt companies to estimated likelihood of bankruptcy using historical accounting information General model: Bankrupt (yes/no) = ∫ Profitability, Liquidity, Solvency, Other Factors -- used some of the profitability, liquidity and solvency ratios we have discussed plus other indicators like firm age, size, negative income… Beaver – univariate, so only considers one factor at a time Altman’s Z Less than 1.81 - high probability of bankruptcy Between 1.81 and 3.00 – gray area Greater 3 – low probability Ohlson’s logit model Bankruptcy Issues Ch 11 filings: Who should file? Firm’s choice: estimation of the debt payment and interest payment, if the cash is insufficient, then firm can: Hold the news—but news will eventually leaks Reaction of the creditors: try to reprocessed the debt, which will affect the operation So firm file, creditors have no rights for the 6 month period Protection period, and restructure plan If not, then creditors can file the plan, Court decides Dishonest Case: MGT transfers Assets first, before filling the court Model: Probability=1/1+e (-y) while Y is estimated by Y=1.2 (CA-CL/TA)+1.4 (RE/AT)+ 3.3 (EBIT/AT)+0.6 (MV of equity/BV of liability) +1 (Sales/TA) liquidity Lt solvency probability Future value Profitability Bankruptcy Risk Altman’s Z-score Z=3== 2.75% Z=1.81=20.9% Some Issues with Bankruptcy Models Stability of weights – can change with time and shifts in types of firms in the economy Can assess risk of bankruptcy for your company using weights in SBW Logit Analysis---Probability of Bankruptcy for a firm Other research concerns; Sample-related studies: Equal samples size—Bankruptcy firms smaller than Non-bankruptcy firms Industry and size matched firms Accrual VS cash flow variables—Focus on Cash flow Time series method focusing on the changes in bankruptcy code Synthesis o