Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.
Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.
Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Table 5: Distance to default <strong>and</strong> our best modelIn panel A we report the coefficients on distance to default variable in a logit regression by itself <strong>and</strong>included in our best model. The dependent variable is failure <strong>and</strong> the sample period is 1963-2003.Regression results are reported for various horizons: 0, 12, <strong>and</strong> 36 months. Panel B reports the in-sample<strong>and</strong> out-of-sample pseudo-R squared for the regressions from panel A.Panel A - Coefficients(1) (2) (3)Lag (months) 0 12 36DD only -0.883 -0.345 -0.165(39.73)** (33.73)** (20.88)**DD in best model 0.048 -0.091 -0.09(2.62)** (7.52)** (8.09)**Observations 1695036 1565634 1208610Failures 1614 1968 1467Panel B - R squared(1) (2) (3)In-sample (1963 - 2003)DD only 0.159 0.066 0.026Best model 0.312 0.114 0.044DD in Best model 0.312 0.117 0.045Out-of-sample (1981 - 2003)DD only 0.156 0.064 0.025Best model 0.310 0.108 0.039
Change language