Article ID Journal Published Year Pages File Type
5089664 Journal of Banking & Finance 2011 11 Pages PDF
Abstract
► We exploit the mean-reversion of leverage to enhance long-term default prediction. ► Adding leverage forecasts increases the discriminating power of a logit model. ► Predictive information contained in credit ratings is unrelated to the mean reversion of leverage.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Incorporating the dynamics of leverage into default prediction
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