Combining corporate governance indicators with stacking ensembles for financial distress prediction

In this paper, we use a stacking ensemble to construct a bankruptcy prediction model. We collect a comprehensive list of 40 financial ratios (FRs) and 21 corporate governance indicators (CGIs) for US companies, and conduct two experiments. In the first, we utilize all FRs and CGIs to build our model...

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Veröffentlicht in:Journal of business research 2020-11, Vol.120, p.137-146
Hauptverfasser: Liang, Deron, Tsai, Chih-Fong, Lu, Hung-Yuan (Richard), Chang, Li-Shin
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we use a stacking ensemble to construct a bankruptcy prediction model. We collect a comprehensive list of 40 financial ratios (FRs) and 21 corporate governance indicators (CGIs) for US companies, and conduct two experiments. In the first, we utilize all FRs and CGIs to build our model. Our results show that this model does not perform significantly better than the baseline models. In the second experiment, we use 6 specific FRs and 6 specific CGIs selected by a stepwise discriminant analysis to construct another model. We find that this model performs better than the baseline models, and exhibits strong performance when the costs of misclassifying bankruptcy companies are high.
ISSN:0148-2963
1873-7978
DOI:10.1016/j.jbusres.2020.07.052