论文部分内容阅读
We use a stochastic frontier model with firm-specific technical inefficiency effects in a panel framework (Battese and Coelli 1995) to assess the default probability (DP) based on the discrete-time hazard model (DHM;Shumway 2001) and the long-term issuer credit rating (LTR) provided by Standard and Poor’s Ratings Services (S&P).For studying the effect of S&P LTR on technical inefficiency,a special design matrix is used to represent the ordinal level of S&P LTR in the stochastic frontier model.For US industrial firms spanning the period 1998-2011 on a monthly basis,our empirical result shows that S&P LTR provides significantly more information content about firm’s technical inefficiency than DP based on DHM.Combining the result with the fact that economic-based efficiency measures are reasonable indicators of the long-term health and prospects firms (Baek and Pagán 2002),we conclude that S&P LTR is a good credit risk proxy of firms.