Titulo: “How useful are auditors’ going concern opinions as predictors of default? 

Autores: Elizabeth Gutierrez (FEN)

A landmark study by Hopwood, McKeown, and Mutchler (1994) demonstrates that auditors’ going concern opinions (GCO) are just as good predictors of bankruptcy as a statistical model based on key accounting ratios. Regulatory and economic conditions, default prediction models, and available data have evolved since the 1990’s, while the usefulness of GCOs continues to be questioned. We examine whether GCOs are better predictors of defaults, including bankruptcies, than ex ante statistical models of probability of default (PD), based on a comprehensive set of accounting, market, and macroeconomic variables available at the opinion’s date. We demonstrate that GCOs and the PDs independently have similar overall predictive accuracy. Nevertheless, GCOs and PDs do not have perfect overlap. Using GCOs and the PDs combined results in small, although statistically significant, incremental predictive accuracy. We also compare GCOs against changes in public credit ratings and find that GCOs have statistically greater predictive power. Our findings highlight that GCOs impound public information and an incrementally predictive component. Thus, GCOs constitute a useful signal for investors. However, there is an area of opportunity in implementing data-driven and comprehensive statistical models as part of routine going concern assessments.

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Fecha y hora: 1 de Diciembre de 2017 | 13:00 hrs
Lugar: Sala 504 Torre 26 (Diagonal Paraguay # 257, Santiago, Chile)

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