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    A dynamic performance evaluation of distress prediction models

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    Mousavi_et_al_Journal_of_Forecasting.pdf (2.617Mb)
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    Publication date
    2022
    Author
    Mousavi, Mohammad M.
    Ouenniche, J.
    Tone, K.
    Keyword
    Corporate credit risk
    Distress prediction models
    Malmquist productivity index
    Performance evaluation
    Rights
    © 2022 The Authors. Journal of Forecasting published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
    Peer-Reviewed
    Yes
    Open Access status
    openAccess
    
    Metadata
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    Abstract
    So far, the dominant comparative studies of competing distress prediction models (DPMs) have been restricted to the use of static evaluation frameworks and as such overlooked their performance over time. This study fills this gap by proposing a Malmquist Data Envelopment Analysis (DEA)-based multi-period performance evaluation framework for assessing competing static and dynamic statistical DPMs and using it to address a variety of research questions. Our findings suggest that (1) dynamic models developed under duration-dependent frameworks outperform both dynamic models developed under duration-independent frameworks and static models; (2) models fed with financial accounting (FA), market variables (MV), and macroeconomic information (MI) features outperform those fed with either MVMI or FA, regardless of the frameworks under which they are developed; (3) shorter training horizons seem to enhance the aggregate performance of both static and dynamic models.
    URI
    http://hdl.handle.net/10454/19213
    Version
    Published version
    Citation
    Mousavi MM, Ouenniche J and Tone K (2022) A dynamic performance evaluation of distress prediction models. Journal of Forecasting. Accepted for Publication.
    Link to publisher’s version
    https://doi.org/10.1002/for.2915
    Type
    Article
    Collections
    Management and Law Publications

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