Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework
Yes === 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 relativ...
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ndltd-BRADFORD-oai-bradscholars.brad.ac.uk-10454-167032019-08-31T03:04:59Z Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework Mousavi, Mohammad M. Quenniche, J. Xu, B. Bankruptcy prediction Performance criteria Performance measures Data envelopment analysis Slacks-based measure Yes 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. 2018-12-18T16:38:29Z 2018-12-18T16:38:29Z 2015-12 2015-01-21 Article Accepted Manuscript 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. http://hdl.handle.net/10454/16703 en https://doi.org/10.1016/j.irfa.2015.01.006 © 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. |
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en |
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Bankruptcy prediction Performance criteria Performance measures Data envelopment analysis Slacks-based measure |
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Bankruptcy prediction Performance criteria Performance measures Data envelopment analysis Slacks-based measure Mousavi, Mohammad M. Quenniche, J. Xu, B. Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
description |
Yes === 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. |
author |
Mousavi, Mohammad M. Quenniche, J. Xu, B. |
author_facet |
Mousavi, Mohammad M. Quenniche, J. Xu, B. |
author_sort |
Mousavi, Mohammad M. |
title |
Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
title_short |
Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
title_full |
Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
title_fullStr |
Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
title_full_unstemmed |
Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework |
title_sort |
performance evaluation of bankruptcy prediction models: an orientation-free super-efficiency dea-based framework |
publishDate |
2018 |
url |
http://hdl.handle.net/10454/16703 |
work_keys_str_mv |
AT mousavimohammadm performanceevaluationofbankruptcypredictionmodelsanorientationfreesuperefficiencydeabasedframework AT quennichej performanceevaluationofbankruptcypredictionmodelsanorientationfreesuperefficiencydeabasedframework AT xub performanceevaluationofbankruptcypredictionmodelsanorientationfreesuperefficiencydeabasedframework |
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1719241197836304384 |