La previsione dei fallimenti societari e l'efficienza del mercato: le evidenze del mercato azionario italiano

Translated title of the contribution: [Autom. eng. transl.] The forecast of corporate bankruptcies and market efficiency: the evidence of the Italian stock market

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Abstract

This work is a statistical test, on a sample of Italian firms, about the ability of market models to predict corporate failure. The paper compares different estimates of default probability on the basis of the different equity volatilities estimated, extrapolating some specific patterns. A comparative analysis is performed between the ability of these models and several accounting and hybrid models. The results highlight that the market approach is not always able to predict failure as the accounting models presented and adding this information in a hybrid models improves slightly the explanatory power. That suggests the ability of market models depends on the stock market efficiency, as pointed out in literature
Translated title of the contribution[Autom. eng. transl.] The forecast of corporate bankruptcies and market efficiency: the evidence of the Italian stock market
Original languageItalian
Pages (from-to)455-488
Number of pages34
JournalBANCA IMPRESA SOCIETÀ
DOIs
Publication statusPublished - 2014

Keywords

  • credit risk
  • efficienza del mercato
  • market efficiency
  • rischio di credito

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