The Effect of Firm Size and Stress Level on Bankruptcy Prediction 公司规模和力对破产预测水平的影响.docVIP

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The Effect of Firm Size and Stress Level on Bankruptcy Prediction 公司规模和力对破产预测水平的影响.doc

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The Effect of Firm Size and Stress Level on Bankruptcy Prediction 公司规模和力对破产预测水平的影响

The Effects of Client Size and Stress Criteria on Bankruptcy Prediction Models: An Empirical Analysis Lili Sun** Acknowledgements: I am indebted to Mike Ettredge and Rajendra Srivastava for their guidance and valuable suggestions during the entire research process. ** Lili Sun, doctoral candidate, Department of Accounting and Information Systems, School of Business, University of Kansas, 1300 Sunnyside Ave., Lawrence, KS 66045-7585. Email: sunlili@The Effects of Client Size and Stress Criteria on Bankruptcy Prediction Models: An Empirical Analysis ABSTRACT: This study analyzes the effects of stress level and client size on the power of bankruptcy prediction models. First, four different stress criteria are tested regarding their effectiveness in increasing bankruptcy prediction models’ power These four criteria are: 1. Auditor View Criterion, 2. Altman Z-score Criterion, 3. Zmijewski Probability Criterion, 4.Stock Return Criterion. I find that Criteria 3 and 4 significantly outperform the other two criteria. The model’s performance is even better when I create a new stress criterion by combining Criteria 3 and 4. Secondly, I find that the traditional wisdom that larger firms are generally less likely to go bankrupt does not hold for stressed firms. This study documents a positive relationship between firm size and the probability of bankruptcy for stressed firms, and provides relevant explanations. Third, I hypothesize and find that firm size has a significant impact upon the relationship between the probability of bankruptcy and other bankruptcy predictors. The interaction terms between firm size and other predictors add significant incremental explanatory power to bankruptcy prediction models. Key Words: Bankruptcy Prediction; Stress; Firm Size The Effects of Client Size and Stress Criteria on Bankruptcy Prediction Models: An Empirical Analysis 1. Introduction SAS 59 (AU341) requires the auditor to evaluate whether there is a substantial doubt