Bankruptcy Detection in Different Time Horizons Based on Macroeconomic and Firm Factors and Distance to Default Based on Black and Scholes Pricing Model

Subject Areas : Journal of Investment Knowledge

Mostafa Rezaei ¹ , REZA TEHRANI ² , seyed mojtaba mirlohi, ³

1 - Financial Vice President of Blue Beam Companies Group
2 - Professor, Management and Insurance Group, Faculty of Management, Tehran University, Tehran, Iran
3 - Assistant Professor, Faculty of Industry and Management, Department of Accounting, Shahroud University of Technology, Iran.

Received: 2021-12-04 Accepted : 2022-04-20 Published : 2023-09-23

Keywords: Corporate Factors, Market Factors, Black-Scholes model, Bankruptcy,

Abstract :

In the present study, bankruptcy forecasting has been done in different time horizons based on the Black and Scholes pricing model. The statistical population of the study includes companies listed on the Tehran Stock Exchange during the years 2014 to 2020 that 129 companies were considered as a statistical sample of the research. The research method is correlational and the statistical method used in this research is the combined data regression method. The results of testing the hypotheses have shown that corporate and market factors have a significant effect on the risk of bankruptcy of companies and in different time horizons, have different effects on the risk of bankruptcy. The results also indicate that bankruptcy forecasting based on the Black-Scholes model and using corporate and market factors can be done with an accuracy of more than %90. According to the results, some factors affect the risk of bankruptcy in the short term and others in the long term.

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