Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Explaining Credit Ratings of Australian Companies-An Application of the Merton Model

Thumbnail Image

Date

2008

Authors

Tanthanongsakkun, Suparatana
Treepongkaruna, Sirimon

Journal Title

Journal ISSN

Volume Title

Publisher

University of New South Wales

Abstract

This paper examines how the default likelihood indicator computed from the option-based model of Merton (1974) together with two default-related factors, namely firm size and book-to-market ratio, effectively explain credit ratings when compared to accounting ratios. Using Australian companies that are rated by Standard and Poor's during 1992-2003 and ordered probit analysis we find that the market-based model is more informative in explaining credit ratings than the accounting-based model.

Description

Keywords

Keywords: Credit ratings; Default risk; Ordered probit

Citation

URI

http://hdl.handle.net/1885/25092

Collections

ANU Research Publications

Source

Australian Journal of Management

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until

DSpace software copyright © 2002-2026 LYRASIS

abcd