Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.

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Table 3: Logit regressions on predictor variablesThis table reports results from logit regressions of the bankruptcy and failure indicator on predictorvariables. The value of the predictor variable is known at the beginning of the month over whichbankruptcy is measured. Net income and total liabilities are scaled by accounting and market totalassets.(1) (2) (3) (4) (5) (6)Dep variable: Bankruptcy Failure Failure Bankruptcy Failure FailureSample period: 1963-1998 1963-1998 1963-2003 1963-1998 1963-1998 1963-2003NITA -14.05 -13.79 -12.782(16.03)** (17.06)** (21.26)**NIMTAAVG -32.518 -32.457 -29.672(17.65)** (19.01)** (23.37)**TLTA 5.378 4.62 3.744(25.91)** (26.28)** (32.32)**TLMTA 4.322 3.865 3.36(22.82)** (23.39)** (27.80)**EXRET -3.297 -2.903 -2.319(12.12)** (11.81)** (13.57)**EXRETAVG -9.51 -8.819 -7.35(12.05)** (12.08)** (14.03)**SIGMA 2.148 2.28 2.763 0.92 1.15 1.482(16.40)** (18.34)** (26.63)** (6.66)** (8.79)** (13.54)**RSIZE -0.188 -0.253 -0.374 0.246 0.169 0.082(5.56)** (7.60)** (13.26)** (6.18)** (4.32)** (2.62)**CASHMTA -4.888 -3.218 -2.401(7.96)** (6.59)** (8.64)**MB 0.099 0.095 0.054(6.72)** (6.76)** (4.87)**PRICE -0.882 -0.807 -0.937(10.39)** (10.09)** (14.77)**Constant -15.214 -15.41 -16.576 -7.648 -8.45 -9.079(39.45)** (40.87)** (50.92)** (13.66)** (15.63)** (20.84)**Observations 1282853 1302564 1695036 1282853 1302564 1695036Failures 797 911 1614 797 911 1614Pseudo R sq 0.260 0.258 0.270 0.299 0.296 0.312Absolute value of z statistics in parentheses* significant at 5%; ** significant at 1%
Table 4: Logit regressions on lagged variablesThe table below takes our best-model variables and tests their predictive power as we lag them by 6, 12,24, and 36 months. The dependent variable is failure and the sample period is 1963-2003.(1) (2) (3) (4) (5)Lag (months) 0 6 12 24 36NIMTAAVG -29.672 -23.915 -20.264 -13.232 -14.061(23.37)** (21.82)** (18.09)** (10.50)** (9.77)**TLMTA 3.36 2.057 1.416 0.917 0.643(27.80)** (22.63)** (16.23)** (9.85)** (6.25)**EXRETAVG -7.35 -7.792 -7.129 -5.607 -2.564(14.03)** (15.97)** (14.15)** (10.14)** (4.14)**SIGMA 1.482 1.268 1.411 1.515 1.334(13.54)** (14.57)** (16.49)** (16.92)** (13.54)**RSIZE 0.082 0.047 -0.045 -0.132 -0.18(2.62)** (2.02)* (2.09)* (6.19)** (8.03)**CASHMTA -2.401 -2.397 -2.132 -1.37 -1.414(8.64)** (9.77)** (8.53)** (5.09)** (4.61)**MB 0.054 0.047 0.075 0.108 0.125(4.87)** (4.22)** (6.33)** (7.92)** (8.17)**PRICE -0.937 -0.468 -0.058 0.212 0.279(14.77)** (10.36)** (1.40) (4.96)** (6.00)**Constant -9.079 -8.069 -9.164 -10.233 -10.534(20.84)** (25.00)** (30.89)** (34.48)** (33.53)**Observations 1695036 1642006 1565634 1384951 1208610Failures 1614 2008 1968 1730 1467Pseudo R sq 0.312 0.188 0.114 0.061 0.044Absolute value of z statistics in parentheses* significant at 5%; ** significant at 1%
Page 1 and 2: H I E RHarvard Institute of Economi
Page 3 and 4: AbstractThis paper explores the det
Page 5 and 6: forecast. Some papers on bankruptcy
Page 7 and 8: Lunstedt (2004) summarize equity ma
Page 9 and 10: number of failures increases dramat
Page 11 and 12: the distributions of NIMTA and NITA
Page 13 and 14: 3 A logit model of bankruptcy and f
Page 15 and 16: Finally,weaddthelogpricepershareoft
Page 17 and 18: financial distress at long horizons
Page 19 and 20: 3.3 Other time-series and cross-sec
Page 21 and 22: An alternative possibility is that
Page 23 and 24: excess return of 10.0% with a t sta
Page 25 and 26: As a final specification check, we
Page 27: comes entirely from small value sto
Page 30: as an annualized three-month rollin
Page 33 and 34: Cohen, Randolph B., Christopher Pol
Page 35 and 36: Shumway, Tyler, 2001, Forecasting b
Page 37: Table 2: Summary statisticsThe tabl
Page 41 and 42: Table 6: Returns on distressed stoc
Page 43 and 44: Table 8: Double sorting on value an
Page 45 and 46: 1050-5-10-15-20-25-30Figure 2: Alph
Page 47: 2003m12002m12001m12000m110001001010

Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.

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