Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89552
Authors: 
Bottazzi, Giulio
Grazzi, Marco
Secchi, Angelo
Tamagni, Federico
Year of Publication: 
2009
Series/Report no.: 
LEM Working Paper Series 2009/06
Abstract: 
This paper investigates the relevance of financial and economic variables as determinants of firm defaults. Our analysis is not limited to publicly traded companies but extends to a large sample of limited liability firms. We consider size, growth, profitability and productivity together with a standard set of financial indicators. Non parametric tests allow to assess to what extent defaulting firms differ from the non-defaulting group. Bootstrap probit regressions confirm that economic variables play both a long and short term effect. Our findings are robust with respect to the inclusion of Distance to Default and risk ratings among the regressors.
Subjects: 
firm default
financial indicators
selection and growth dynamics
kernel densities
stochastic equality
bootstrap probit regressions
Distance to Default
JEL: 
C14
C25
D20
G30
L11
Document Type: 
Working Paper

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