Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147389
Title: PREDICTING BANK FINANCIAL DISTRESS USING EQUITY MARKET SIGNALS: A REVIEW OF EAST ASIAN EMPIRICAL EVIDENCE
Authors: YAP QIUYI
Issue Date: 2007
Citation: YAP QIUYI (2007). PREDICTING BANK FINANCIAL DISTRESS USING EQUITY MARKET SIGNALS: A REVIEW OF EAST ASIAN EMPIRICAL EVIDENCE. ScholarBank@NUS Repository.
Abstract: In this paper, I examine if equity market signals, including the equity market based distance to default, turnover ratio and cumulative returns, can signal bank distress in a sample of East Asian banks during the period 2001 to 2005. Using logistic regression models, I find the turnover ratio is an inappropriate indicator of fragility, while the distance to default and cumulative return measures are better indicators of bank distress. The distance to default measure also performs poorer at a date closer to the downgrade, while the cumulative returns performs better for less distant prediction. I obtained similar results after macroeconomic and size factors were controlled for. However, I found that the power of prediction power of these two indicators is sensitive to the accuracy level. They fail to identify the downgraded banks at high level of accuracy
URI: http://scholarbank.nus.edu.sg/handle/10635/147389
Appears in Collections:Bachelor's Theses

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
b27005963.pdf444.68 kBAdobe PDF

RESTRICTED

NoneLog In

Page view(s)

23
checked on Oct 16, 2020

Download(s)

8
checked on Oct 16, 2020

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.