prikaz prve stranice dokumenta Bankruptcy risk model and empirical tests
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Bankruptcy risk model and empirical tests
Proceedings of the National Academy of Sciences of the United States of America, 107 (2010), 43; 18325-18330. https://doi.org/10.1073/pnas.1011942107
Podobnik, Boris; Horvatić, Davor; Petersen, Alexander M.; Urošević, Branko; Stanley, H. Eugene

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Podobnik, B., Horvatić, D., Petersen, A. M., Urošević, B. i Stanley, H. E. (2010). Bankruptcy risk model and empirical tests. Proceedings of the National Academy of Sciences of the United States of America, 107. (43), 18325-18330. doi: 10.1073/pnas.1011942107

Podobnik, Boris, et al. "Bankruptcy risk model and empirical tests." Proceedings of the National Academy of Sciences of the United States of America, vol. 107, br. 43, 2010, str. 18325-18330. https://doi.org/10.1073/pnas.1011942107

Podobnik, Boris, Davor Horvatić, Alexander M. Petersen, Branko Urošević i H. Eugene Stanley. "Bankruptcy risk model and empirical tests." Proceedings of the National Academy of Sciences of the United States of America 107, br. 43 (2010): 18325-18330. https://doi.org/10.1073/pnas.1011942107

Podobnik, B., et al. (2010) 'Bankruptcy risk model and empirical tests', Proceedings of the National Academy of Sciences of the United States of America, 107(43), str. 18325-18330. doi: 10.1073/pnas.1011942107

Podobnik B, Horvatić D, Petersen AM, Urošević B, Stanley HE. Bankruptcy risk model and empirical tests. Proceedings of the National Academy of Sciences of the United States of America [Internet]. 2010. [pristupljeno 24.04.2024.];107(43):18325-18330. doi: 10.1073/pnas.1011942107

B. Podobnik, D. Horvatić, A. M. Petersen, B. Urošević i H. E. Stanley, "Bankruptcy risk model and empirical tests", Proceedings of the National Academy of Sciences of the United States of America, vol. 107, br. 43, str. 18325-18330, 2010. [Online]. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:217:744656. [Citirano: 24.04.2024.]

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Podaci o radu
Naslov (engleski)Bankruptcy risk model and empirical tests
AutorBoris Podobnik
AutorDavor Horvatić
AutorAlexander M. Petersen
AutorBranko Urošević
AutorH. Eugene Stanley
Autorova ustanovaSveučilište u Zagrebu
Prirodoslovno-matematički fakultet
(Fizički odsjek)
Znanstveno / umjetničko
područje, polje i grana		PRIRODNE ZNANOSTI
Fizika
Sažetak (engleski)
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor—the debt-to-asset ratio R—in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market crashes, implying that firms go bankrupt with larger values of R. Based on the Zipf analysis, we employ Bayes’s theorem and relate the conditional probability that a bankrupt firm has a ratio R with the conditional probability of bankruptcy for a firm with a given R value. For 2, 737 bankrupt firms, we demonstrate size dependence in assets change during the bankruptcy proceedings. Prepetition firm assets and petition firm assets follow Zipf distributions but with different exponents, meaning that firms with smaller assets adjust their assets more than firms with larger assets during the bankruptcy process. We compare bankrupt firms with nonbankrupt firms by analyzing the assets and liabilities of two large subsets of the US economy: 2, 545 Nasdaq members and 1, 680 New York Stock Exchange (NYSE) members. We find that both assets and liabilities follow a Pareto distribution. The finding is not a trivial consequence of the Zipf scaling relationship of firm size quantified by employees—although the market capitalization of Nasdaq stocks follows a Pareto distribution, the same distribution does not describe NYSE stocks. We propose a coupled Simon model that simultaneously evolves both assets and debt with the possibility of bankruptcy, and we also consider the possibility of firm mergers.
Ključne riječi (engleski)
Jezikengleski
Vrsta publikacijeZnanstveni rad - Izvorni znanstveni rad
Status objaveObjavljen
Vrsta recenzijeRecenziran - međunarodna recenzija
Verzija publikacijeObjavljena verzija rada (izdavačev PDF)
Naslov časopisaProceedings of the National Academy of Sciences of the United States of America
Brojčani podacivol. 107, br. 43, str. 18325-18330
p-ISSN0027-8424
DOIhttps://doi.org/10.1073/pnas.1011942107
URN:NBNurn:nbn:hr:217:744656
Datum objave publikacije2010
URL dokumentahttp://dx.doi.org/10.1073/pnas.1011942107
Vrsta resursaTekst
Prava pristupaOtvoreni pristup
Uvjeti korištenjaIkona licence Zaštićeno autorskim pravom.
Javna napomena© 2010 National Academy of Sciences. Freely available online through the PNAS open access option. Contributed by H. Eugene Stanley, August 18, 2010 (sent for review May 6, 2010). Published online before print on October 11, 2010. Published October 26, 2010.
Datum i vrijeme pohrane2019-11-03 16:52:25