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

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dc.contributor.authorTanthanongsakkun, Suparatana
dc.contributor.authorTreepongkaruna, Sirimon
dc.date.accessioned2015-12-07T22:44:11Z
dc.date.available2015-12-07T22:44:11Z
dc.date.issued2008
dc.date.updated2016-02-24T10:53:37Z
dc.description.abstractThis 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.
dc.identifier.issn0312-8962
dc.identifier.urihttp://hdl.handle.net/1885/25092
dc.publisherUniversity of New South Wales
dc.sourceAustralian Journal of Management
dc.subjectKeywords: Credit ratings; Default risk; Ordered probit
dc.titleExplaining Credit Ratings of Australian Companies-An Application of the Merton Model
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage276
local.bibliographicCitation.startpage261
local.contributor.affiliationTanthanongsakkun, Suparatana, Chulalongkorn University
local.contributor.affiliationTreepongkaruna, Sirimon, College of Business and Economics, ANU
local.contributor.authoruidTreepongkaruna, Sirimon, u4048702
local.description.notesImported from ARIES
local.identifier.absfor150299 - Banking, Finance and Investment not elsewhere classified
local.identifier.ariespublicationu4292316xPUB36
local.identifier.citationvolume33
local.identifier.scopusID2-s2.0-66649090622
local.type.statusPublished Version

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