Determinants of corporate default: a BMA approach

作者：Gonzalez Aguado Carlos; Moral Benito Enrique^*

来源：Applied Economics Letters, 2013, 20(6): 511-514.

DOI：10.1080/13504851.2012.718051

• Bayesian model averaging
• corporate default
• panel data
• credit risk

In this article, we aim to identify the main determinants of corporate default by considering Bayesian Model Averaging (BMA) techniques. Our empirical findings suggest that the most robust determinants of firm default are firm-specific variables such as the ratio of working capital to total assets and the SD of the firm stock return. In contrast, aggregate variables do not seem to play a relevant role once firm-specific characteristics (observable and unobservable) and model uncertainty are taken into consideration.

• 出版日期2013