The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level.
Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/36220 |
Date | 29 March 2022 |
Creators | Zille, Nicholas Wolf |
Contributors | Holman, Glen |
Publisher | Faculty of Commerce, Department of Finance and Tax |
Source Sets | South African National ETD Portal |
Language | English |
Detected Language | English |
Type | Master Thesis, Masters, MCom |
Format | application/pdf |
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