2009/06 | LEM Working Paper Series | |
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Financial and Economic Determinants of Firm Default |
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Giulio Bottazzi, Marco Grazzi, Angelo Secchi and Federico Tamagni |
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Keywords | ||
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firm default, financial indicators, selection and growth dynamics, kernel densities, stochastic equality, bootstrap probit regressions, distance to default
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JEL Classifications | ||
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C14, C25, D20, G30, L11
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Abstract | ||
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This paper investigates the relevance of financial and economic
variables as determinants of firm defaults. Our analysis is not limited to publicly
traded companies but extends to a large sample of limited liability
firms. We consider size, growth, profitability and productivity
together with a standard set of financial indicators. Non parametric
tests allow to asses to what extent defaulting firms differ from the
non-defaulting group. Bootstrap probit regressions confirm that
economic variables play both a long and short term effect. Our
findings are robust with respect to the inclusion of Distance to
Deafult and risk ratings among the regressors.
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Downloads | ||
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