The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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REPLY
Published: 06/01/1972 | DOI: 10.1111/j.1540-6261.1972.tb00996.x
Edward I. Altman
Measuring Corporate Bond Mortality and Performance
Published: 09/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02630.x
EDWARD I. ALTMAN
This study develops an alternative way to measure default risk and suggests an appropriate method to assess the performance of fixed‐income investors over the entire spectrum of credit‐quality classes. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten‐year horizon and that, despite relatively high mortality rates, B‐rated and CCC‐rated securities outperform all other rating categories for the first four years after issuance, with BB‐rated securities outperforming all others thereafter.
RAILROAD BANKRUPTCY PROPENSITY
Published: 05/01/1971 | DOI: 10.1111/j.1540-6261.1971.tb00901.x
Edward I. Altman
A REPLY
Published: 12/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00880.x
Edward I. Altman
DISCUSSION
Published: 05/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02259.x
EDWARD I. ALTMAN
A Further Empirical Investigation of the Bankruptcy Cost Question
Published: 09/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03893.x
EDWARD I. ALTMAN
In this paper, empirical evidence with respect to both the direct and indirect costs of bankruptcy is assessed. This should be of interest for three related reasons. First, there is a need to provide further evidence as to the size of bankruptcy costs. Second, for the first time a proxy methodology for measuring indirect costs of bankruptcy is presented and actually measured. Third, a simple format for measuring the present value of expected bankruptcy costs is compared with the present value of expected tax benefits from interest payments on leverage. This comparison has important implications for the continuing debate as to whether or not an optimum capital structure exists for corporations.
The Equity Performance of Firms Emerging from Bankruptcy
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00169
Allan C. Eberhart, Edward I. Altman, Reena Aggarwal
This study assesses the stock return performance of 131 firms emerging from Chapter 11. Using differing estimates of expected returns, we consistently find evidence of large, positive excess returns in 200 days of returns following emergence. We also examine the reaction of our sample firms' equity returns to their earnings announcements after emergence from Chapter 11. The positive and significant reactions suggest that our results are driven by the market's expectational errors, not mismeasurement of risk. The results provide an interesting contrast, but not a contradiction, to previous work that has documented poor operating performance for firms emerging from Chapter 11.
Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04949.x
HALINA FRYDMAN, EDWARD I. ALTMAN, DUEN‐LI KAO
The purpose of this study is to present a new classification procedure, Recursive Partitioning Algorithm (RPA), for financial analysis and to compare it with discriminant analysis within the context of firm financial distress. RPA is a computerized, nonparametric technique based on pattern recognition which has attributes of both the classical univariate classification approach and multivariate procedures. RPA is found to outperform discriminant analysis in most original sample and holdout comparisons. We also observe that additional information can be derived by assessing both RPA and discriminant analysis results.