Sample bias in the research on corporate bankruptcy

Marek Gruszczyński (1)
(1) Warsaw School of Economics, Poland

Abstract

This article is devoted to considerations on sample biases in bankruptcy modelling. Typically, the models are estimated based on non-random samples with proportion of bankrupt companies differing from that in the population. This causes bias in estimated bankruptcy probabilities for single companies. The paper opens with remarks on samples used in bankruptcy research in Poland which are followed by exposition on sample choice biases, starting with the findings of Zmijewski [1984]. The major issue presented is the development of Skogsvik and Skogsvik [2013] formula of a relationship between biased and unbiased estimated probability of bankruptcy of a given company. It is shown that the formula coincides with Anderson-Maddala correction (Anderson 1973, Maddala 1983) for the logit model. Comments on sample bias in classification modelling conclude the paper.

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Authors

Marek Gruszczyński
Gruszczyński, M. (2017). Sample bias in the research on corporate bankruptcy. Kwartalnik Nauk O Przedsiębiorstwie, 44(3), 22–29. https://doi.org/10.5604/01.3001.0010.4688