Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets

Maryam Mirzaei; Suresh Ramakrishnan; Mahmoud Bekri

Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets

Year 2016, Volume: 6 Issue: 3, 161 - 169, 01.05.2016

Maryam Mirzaei Suresh Ramakrishnan Mahmoud Bekri

Abstract

The accurate prediction of corporate bankruptcy for the firms in different industries is of a great concern to investors and creditors. Firm-specific data accompany with industry and macroeconomic factors offer a potentially large number of candidate predictors of corporate default. We employ a predictor selection procedure based on non-parametric regression and classification tree method (CART) and test its performance within a standard logistic regression model. Overall entire analyses indicate that the orientation between firm-level determinants and the probability of default is affected by each industry's characteristics. As well, our selection method represents an efficient way of introducing non-linear effects of predictor variables on the default probability.

Keywords

Default prediction modelling, Industry effects, Emerging markets

Year 2016, Volume: 6 Issue: 3, 161 - 169, 01.05.2016

Maryam Mirzaei Suresh Ramakrishnan Mahmoud Bekri

Abstract

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Details

Other ID	JA24NP88RS
Journal Section	Research Article
Authors	Maryam Mirzaei This is me Suresh Ramakrishnan This is me Mahmoud Bekri This is me
Publication Date	May 1, 2016
Published in Issue	Year 2016 Volume: 6 Issue: 3

Cite

APA	Mirzaei, M., Ramakrishnan, S., & Bekri, M. (2016). Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets. International Journal of Economics and Financial Issues, 6(3), 161-169.
AMA	Mirzaei M, Ramakrishnan S, Bekri M. Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets. IJEFI. May 2016;6(3):161-169.
Chicago	Mirzaei, Maryam, Suresh Ramakrishnan, and Mahmoud Bekri. “Corporate Default Prediction With Industry Effects: Evidence from Emerging Markets”. International Journal of Economics and Financial Issues 6, no. 3 (May 2016): 161-69.
EndNote	Mirzaei M, Ramakrishnan S, Bekri M (May 1, 2016) Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets. International Journal of Economics and Financial Issues 6 3 161–169.
IEEE	M. Mirzaei, S. Ramakrishnan, and M. Bekri, “Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets”, IJEFI, vol. 6, no. 3, pp. 161–169, 2016.
ISNAD	Mirzaei, Maryam et al. “Corporate Default Prediction With Industry Effects: Evidence from Emerging Markets”. International Journal of Economics and Financial Issues 6/3 (May 2016), 161-169.
JAMA	Mirzaei M, Ramakrishnan S, Bekri M. Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets. IJEFI. 2016;6:161–169.
MLA	Mirzaei, Maryam et al. “Corporate Default Prediction With Industry Effects: Evidence from Emerging Markets”. International Journal of Economics and Financial Issues, vol. 6, no. 3, 2016, pp. 161-9.
Vancouver	Mirzaei M, Ramakrishnan S, Bekri M. Corporate Default Prediction with Industry Effects: Evidence from Emerging Markets. IJEFI. 2016;6(3):161-9.