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    Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework

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    Publication date
    2015-12
    Author
    Mousavi, Mohammad M.
    Quenniche, J.
    Xu, B.
    Keyword
    Bankruptcy prediction
    Performance criteria
    Performance measures
    Data envelopment analysis
    Slacks-based measure
    Rights
    © 2015 Elsevier Inc. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
    Peer-Reviewed
    Yes
    
    Metadata
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    Abstract
    Prediction of corporate failure is one of the major activities in auditing firms risks and uncertainties. The design of reliable models to predict bankruptcy is crucial for many decision making processes. Although a large number of models have been designed to predict bankruptcy, the relative performance evaluation of competing prediction models remains an exercise that is unidimensional in nature, which often leads to reporting conflicting results. In this research, we overcome this methodological issue by proposing an orientation-free super-efficiency data envelopment analysis model as a multi-criteria assessment framework. Furthermore, we perform an exhaustive comparative analysis of the most popular bankruptcy modeling frameworks for UK data including our own models. In addition, we address two important research questions; namely, do some modeling frameworks perform better than others by design? and to what extent the choice and/or the design of explanatory variables and their nature affect the performance of modeling frameworks?, and report on our findings.
    URI
    http://hdl.handle.net/10454/16703
    Version
    Accepted Manuscript
    Citation
    Mousavi MM, Quenniche J and Xu B (2015) Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework. International Review of Financial Analysis. 42: 64-75.
    Link to publisher’s version
    https://doi.org/10.1016/j.irfa.2015.01.006
    Type
    Article
    Collections
    Management and Law Publications

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