Abnormal trading behavior of specific types of shareholders before US firm bankruptcy and its implications for firm bankruptcy prediction

Our study proposes firm bankruptcy prediction using logit analysis after the passage of the Sarbanes-Oxley (SOX) Act using 2008-2009 U.S. data. The results of our logit analysis show an 80% (90% with one year before bankruptcy data) prediction accuracy rate using financial and other data from the 10-K report in the post-SOX period. This prediction rate is comparable to other data mining tools. Overall, our results show that, as compared to the prediction rates documented by other bankruptcy studies before SOX, firm bankruptcy prediction rates have improved since the passage of SOX. Our findings shed light on the benefits of SOX by providing evidence that legislation makes the financial reporting more informative. This study is important for regulators to implement public policy. Investors may be interested in our findings to better assess company risk when making portfolio decisions.

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Bankruptcy Prediction Models: A Bet on Artificial Neural Networks

Global Journal For Research Analysis ◽

10.15373/22778160/february2014/16 ◽

2012 ◽

Vol 3 (2) ◽

pp. 48-50

Author(s):

Ana Isabel Velasco Fernández ◽

◽

Ricardo José Rejas Muslera ◽

Juan Padilla Fernández-Vega ◽

María Isabel Cepeda González

Keyword(s):

Neural Networks ◽

Artificial Neural Networks ◽

Prediction Models ◽

Bankruptcy Prediction ◽

Artificial Neural

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An Internal Control Weakness: FERC and Investor's Trading Behavior

Korean Accounting Journal ◽

10.24056/kaj.2017.06.001 ◽

2017 ◽

Vol 26 (3) ◽

pp. 175-217

Author(s):

Eunhye Jo ◽

Haewon Moon

Keyword(s):

Internal Control ◽

Trading Behavior

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Alphabetic Bias, Investor Recognition, and Trading Behavior

CFA Digest ◽

10.2469/dig.v46.n10.6 ◽

2016 ◽

Vol 46 (10) ◽

Author(s):

Marc L. Ross

Keyword(s):

Trading Behavior

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Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽

10.26643/gis.v11i3.3435 ◽

2016 ◽

Vol 11 (3) ◽

pp. 32-44

Author(s):

Martin Bernard ◽

Malabika Deo

Keyword(s):

Equity Returns ◽

Trading Behavior ◽

Momentum Effect ◽

Momentum Strategy ◽

Price Momentum ◽

Momentum Profits ◽

Indian Context ◽

Time Period ◽

Monthly Return ◽

Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

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