Statistical Analysis Of Bankruptcy Equity Securities
Abstract
In my research, I propose to accomplish two things. First, to analyze the returns of the survivors of bankruptcy on a large time interval in terms of unique and diversifiable risk, abnormal and cumulative returns, and pre- and post- bankruptcy. The long time frame was chosen because, presumably, the investor must wait a sufficient period for the company to reenhance its value, something that cannot be done on a day-by-day basis. Secondly, I will stratify my sample of survivors into two groups based on their subsequent performance and analyze shared characteristics of the two groups through the use of financial ratios and regression techniques. In this manner, the investor, given the knowledge of a corporation's bankruptcy filing, might discriminate between a firm which is likely to experience superior returns from those who would survive, but with merely average results. One introductory comment on the survival status of the companies. I chose the survivors because of the interest in multiplying an investment many times over in a relatively short span of time, something which liquidations often do not allow the investor to do. However, within the sample of survivors, there were approximately half which did not produce stellar results for investors over the time frame. In fact, some did very poorly, ultimately lapsing into bankruptcy again.
Description
Program year: 1989/1990Digitized from print original stored in HDR
Citation
Hartfield, Michael Noel (1990). Statistical Analysis Of Bankruptcy Equity Securities. University Undergraduate Fellow. Available electronically from https : / /hdl .handle .net /1969 .1 /CAPSTONE -KochK _1995.