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Bankruptcy Probability and Stock Prices: The Effect of Altman Z-Score Information on Stock Prices Through Panel Data 被引量:1

Bankruptcy Probability and Stock Prices: The Effect of Altman Z-Score Information on Stock Prices Through Panel Data
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机构地区 University of Piraeus
出处 《Journal of Modern Accounting and Auditing》 2011年第7期689-696,共8页 现代会计与审计(英文版)
关键词 股票价格 企业破产 破产概率 e模型 板数 信息 研究论文 经验设计 Airman's Z-score stock prices panel data
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参考文献24

  • 1Agarwal, V., & Taffler, R. (2008). Comparing the performance of market-based and accounting-based bankruptcy prediction models. Journal of Banking & Finance, 32, 1541 - 1551.
  • 2Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance, 23, 589-609.
  • 3Altman, E. I., & Brenner, M. (1981). Information effects and stock market response to signs of firm deterioration. The Journal of Financial and Quantitative Analysis, 16, 35-51.
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  • 6Campbell, J. Y., Hilscher, J., & Szilagyi, J. (2006). In search of distress risk. Journal of Finance, 63, 2899-2939.
  • 7Chan, L., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns in Japan. Journal of Finance, 46, 1739-1764.
  • 8Dichev, I. D. (1998). Is the risk of bankruptcy a systematic risk? Journal of Finance, 53, 1131-1147.
  • 9Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
  • 10Fama, E., & French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427-465.

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