Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147898
Title: DEFAULT PREDICTION IN EMERGING MARKETS -THE CASE OF CHINESE LISTED COMPANIES
Authors: HUA MENG
Issue Date: 2011
Citation: HUA MENG (2011). DEFAULT PREDICTION IN EMERGING MARKETS -THE CASE OF CHINESE LISTED COMPANIES. ScholarBank@NUS Repository.
Abstract: This study examines the credit risk profiles of listed companies in emerging markets where the institutional environments are drastically different from those of developed markets. Using hand-collected credit events of Chinese listed companies from 2000 to 2009, this study shows that most firm-specific accounting and market-based variables are also effective in predicting defaults in the context of China. More importantly, given the prevalence of policy loans and government ownership of listed companies, a new variable state ownership is constructed and it is found that other things being equal, higher state ownership is associated with lower default risks. Further analysis shows that the effect of state ownership is particularly strong from 2000 to 2005 while the variable lost its significance from 2006 to 2009. It is also found that some variables that prove to be significant in the full period sample lost its significance during the sub-periods.
URI: http://scholarbank.nus.edu.sg/handle/10635/147898
Appears in Collections:Bachelor's Theses

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