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.
| Identifer | oai:union.ndltd.org:unt.edu/info:ark/67531/metadc330705 |
| Date | 08 1900 |
| Creators | Gregory-Allen, Russell B. (Russell Brian) |
| Contributors | Henderson, Glenn V., Jr., Baen, John Spencer, Karafiath, Imre, 1955- |
| Publisher | North Texas State University |
| Source Sets | University of North Texas |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | vii, 99 leaves: ill., Text |
| Coverage | 1980-1985 |
| Rights | Public, Gregory-Allen, Russell B. (Russell Brian), Copyright, Copyright is held by the author, unless otherwise noted. All rights reserved. |
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