<p>This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz?s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.
| Identifer | oai:union.ndltd.org:PROQUEST/oai:pqdtoai.proquest.com:10268695 |
| Date | 25 May 2017 |
| Creators | McKibben, Michael |
| Publisher | Duquesne University |
| Source Sets | ProQuest.com |
| Language | English |
| Detected Language | English |
| Type | thesis |
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