A Test of Catastrophe Theory Applied to Corporate Failure

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Catastrophe theory (CT) is a relatively new mathematical theory that comprehensively describes a system exhibiting discontinuous behavior when subjected to continuous stimuli. This study tests the theory using capital-market data. The data is a time series of stock returns on firms that filed for Chapter 11 reorganization during 1980-1985. The CT model used is based on a corporate failure model suggested by Francis, Hastings and Fabozzi (1983). The model predicts 1) as the filing date approaches, there will be a structural shift in the underlying stock-return generating process of the filing firm, and 2) firms with lower operating risk will ... continued below

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vii, 99 leaves: ill.

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Gregory-Allen, Russell B. (Russell Brian) August 1987.

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  • Gregory-Allen, Russell B. (Russell Brian)

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Description

Catastrophe theory (CT) is a relatively new mathematical theory that comprehensively describes a system exhibiting discontinuous behavior when subjected to continuous stimuli. This study tests the theory using capital-market data. The data is a time series of stock returns on firms that filed for Chapter 11 reorganization during 1980-1985. The CT model used is based on a corporate failure model suggested by Francis, Hastings and Fabozzi (1983). The model predicts 1) as the filing date approaches, there will be a structural shift in the underlying stock-return generating process of the filing firm, and 2) firms with lower operating risk will have a smaller jump than firms with higher operating risk, corresponding to their relative positions within the bifurcation set of the catastrophe cusp.

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vii, 99 leaves: ill.

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UNT Theses and Dissertations

Theses and dissertations represent a wealth of scholarly and artistic content created by masters and doctoral students in the degree-seeking process. Some ETDs in this collection are restricted to use by the UNT community.

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  • August 1987

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  • 1980 - 1985

Added to The UNT Digital Library

  • Aug. 22, 2014, 6 p.m.

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  • April 6, 2016, 12:29 p.m.

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Citations, Rights, Re-Use

Gregory-Allen, Russell B. (Russell Brian). A Test of Catastrophe Theory Applied to Corporate Failure, dissertation, August 1987; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc330705/: accessed August 24, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .