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hw6-acquisition-model-questions-2012.xls
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Errors

1. Acquisition of a Financially Distressed Firm Model
37 Acquired firms
49 Non-Acquired Firms
86 Total
Error Type I Type II Average
Cut-off EN EA (EN+EA)/2
0.40 18 36.73% 7 18.92% 25 27.83%
0.45 15 30.61% 10 27.03% 25 28.82%
0.50 12 24.49% 11 29.73% 23 27.11%
0.55 9 18.37% 15 40.54% 24 29.45%
0.60 7 14.29% 16 43.24% 23 28.76%
2. Financial Distressed Firm Model
86 Distressed Firms
95 Healthy Firms
181 Total
Error Type I Type II Average
Cut-off EH ED (EH+ED)/2
0.40 30 31.58% 18 20.93% 48 26.25%
0.45 20 21.05% 25 29.07% 45 25.06%
0.50 14 14.74% 30 34.88% 44 24.81%
0.55 13 13.68% 38 44.19% 51 28.94%
0.60 12 12.63% 38 44.19% 50 28.41%

Models

1. Financial Distress Models
1. Three-Variable Logit Model - Distress
Dependent Variable YD - Estimation by Logit
Usable Observations 181
Log Likelihood -93.9
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -1.5520 0.7281 -2.13 0.0344
2 TDTA 4.1655 1.1397 3.66 0.0003
3 GEMPL -4.9657 1.8836 -2.64 0.0091
4 OPITA -7.1977 2.2434 -3.21 0.0016
2. Four-Variable Logit Model - Distress
Usable Observations 181
Log Likelihood -92.1
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -2.4767 0.8897 -2.78 0.0060
2 TDTA 4.2716 1.1483 3.72 0.0003
3 GEMPL -5.9024 1.9867 -2.97 0.0034
4 OPITA -6.1298 2.2843 -2.68 0.0080
5 INVSLS 4.3044 2.3043 1.87 0.0634
3. Five-Variable Logit Model - Distress
Usable Observations 181
Log Likelihood -90.6
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -1.5087 1.0436 -1.45 0.1501
2 TDTA 4.8133 1.2171 3.95 0.0001
3 GEMPL -6.1228 1.9811 -3.09 0.0023
4 OPITA -5.1431 2.3577 -2.18 0.0305
5 INVSLS 3.6199 2.3607 1.53 0.1270
6 LSLS -0.2151 0.1251 -1.72 0.0874
No Variable Mean Std Error Minimum Maximum
1 YD 0.4751 0.5008 0.0000 1.0000
2 TDTA 0.5589 0.2220 0.1083 1.5130
3 GEMPL -0.0007 0.1069 -0.2880 0.4565
4 OPITA 0.1094 0.1201 -0.3995 0.3822
5 INVSLS 0.1736 0.0993 0.0163 0.8367
6 LSLS 5.7286 1.6388 2.1923 11.3788
7 LTA 5.3647 1.6683 1.7032 11.0170
8 NWCTA 0.2708 0.1779 -0.4295 0.7936
9 CACL 2.2192 1.0737 0.4788 6.8381
10 QACL 1.2615 0.8639 0.1227 6.0934
11 EBITA 0.0660 0.1257 -0.4822 0.3102
12 RETA 0.2506 0.2802 -0.9590 0.8352
13 LTDTA -0.9090 10.5032 -99.9900 0.9020
14 MVETL 1.3341 8.3298 -99.9900 27.6318
15 FATA 0.3401 0.1650 0.0272 0.8050
2. Acquisition of A financially Distress Firm
1. Four-Variable Logit Model - Acquisition
Usable Observations 86
Log Likelihood -48.83
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -4.1983 1.5397 -2.73 0.0078
2 SLSTA 0.9614 0.3455 2.78 0.0067
3 INVSLS 7.3104 3.1338 2.33 0.0221
4 INSIDR -0.0351 0.0158 -2.23 0.0288
5 FATA 4.8138 2.0244 2.38 0.0198
2. Five-Variable Logit Model - Acquisition
Usable Observations 86
Log Likelihood -44.8
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -4.6086 1.6674 -2.76 0.0071
2 SLSTA 1.3334 0.4011 3.32 0.0013
3 INVSLS 8.4913 3.4237 2.48 0.0152
4 INSIDR -0.0429 0.0166 -2.58 0.0118
5 FATA 4.5072 2.1801 2.07 0.0419
6 NIFA 0.9563 0.4084 2.34 0.0217
6. Five-Variable Logit Model - Acquisition
Usable Observations 86
Log Likelihood -43.06
No Variable Coefficient Standard Error T-Statistics Significance
1 Constant -3.6857 1.7305 -2.13 0.0363
2 SLSTA 1.5235 0.4350 3.50 0.0008
3 INVSLS 9.3671 3.3904 2.76 0.0071
4 INSIDR -0.0458 0.0170 -2.69 0.0088
5 FATA 5.3880 2.2985 2.34 0.0216
6 NIFA 0.6485 0.4023 1.61 0.1109
7 TDTA -2.6727 1.4967 -1.79 0.0780
No Variable Mean Std Error Minimum Maximum
1 YM 0.4302 0.4980 0.0000 1.0000
2 SLSTA 1.6250 0.9654 0.3114 5.5073
3 INVSLS 0.1923 0.1167 0.0348 0.8367
4 INSIDR 19.9521 19.5296 0.0000 75.6000
5 FATA 0.3127 0.1560 0.0320 0.6488
6 NIFA -0.2800 1.0312 -4.0858 2.0262
7 TDTA 0.6578 0.2440 0.1083 1.5130
8 LSLS 5.4575 1.4649 2.1923 10.0096
9 LTA 5.1208 1.5355 1.7032 9.5025
10 NWCTA 0.2452 0.1878 -0.4295 0.7145
11 CACL 2.0256 1.0236 0.4788 6.8381
12 QACL 1.1330 0.7848 0.1227 5.3057
13 EBITA 0.0146 0.1347 -0.4822 0.3102
14 RETA 0.1323 0.3196 -0.9590 0.7725
15 LTDTA 0.2211 0.1644 0.0000 0.9020
16 MVETL 0.9682 1.2858 0.0530 6.5552

PA

Acquired 0.40 0.45 0.50 0.55 0.60 Non-Acquired 0.40 0.45 0.50 0.55 0.60
TOTAL 7 10 11 15 16 TOTAL 18 15 12 9 7
1 0.7612 0 0 0 0 0 0 0.1133 0 0 0 0 0
1 0.6076 0 0 0 0 0 0 0.117 0 0 0 0 0
1 0.028 1 1 1 1 1 0 0.0121 0 0 0 0 0
1 0.6959 0 0 0 0 0 0 0.0971 0 0 0 0 0
1 0.472 0 0 1 1 1 0 0.2074 0 0 0 0 0
1 0.0928 1 1 1 1 1 0 0.4824 1 1 0 0 0
1 0.7142 0 0 0 0 0 0 0.1098 0 0 0 0 0
1 0.542 0 0 0 1 1 0 0.0606 0 0 0 0 0
1 0.3466 1 1 1 1 1 0 0.1266 0 0 0 0 0
1 0.8317 0 0 0 0 0 0 0.1224 0 0 0 0 0
1 0.2629 1 1 1 1 1 0 0.249 0 0 0 0 0
1 0.5189 0 0 0 1 1 0 0.0045 0 0 0 0 0
1 0.7666 0 0 0 0 0 0 0.7165 1 1 1 1 1
1 0.8832 0 0 0 0 0 0 0.1092 0 0 0 0 0
1 0.7038 0 0 0 0 0 0 0.3143 0 0 0 0 0
1 0.5895 0 0 0 0 1 0 0.1396 0 0 0 0 0
1 0.7921 0 0 0 0 0 0 0.6026 1 1 1 1 1
1 0.9279 0 0 0 0 0 0 0.1182 0 0 0 0 0
1 0.5369 0 0 0 1 1 0 0.6692 1 1 1 1 1
1 0.8771 0 0 0 0 0 0 0.6565 1 1 1 1 1
1 0.7936 0 0 0 0 0 0 0.4399 1 0 0 0 0
1 0.7818 0 0 0 0 0 0 0.5197 1 1 1 0 0
1 0.6177 0 0 0 0 0 0 0.3734 0 0 0 0 0
1 0.3237 1 1 1 1 1 0 0.0904 0 0 0 0 0
1 0.7676 0 0 0 0 0 0 0.0289 0 0 0 0 0
1 0.4075 0 1 1 1 1 0 0.122 0 0 0 0 0
1 0.8613 0 0 0 0 0 0 0.5134 1 1 1 0 0
1 0.7998 0 0 0 0 0 0 0.5707 1 1 1 1 0
1 0.4484 0 1 1 1 1 0 0.582 1 1 1 1 0
1 0.9645 0 0 0 0 0 0 0.0557 0 0 0 0 0
1 0.3322 1 1 1 1 1 0 0.2739 0 0 0 0 0
1 0.7104 0 0 0 0 0 0 0.122 0 0 0 0 0
1 0.8673 0 0 0 0 0 0 0.0807 0 0 0 0 0
1 0.4263 0 1 1 1 1 0 0.3028 0 0 0 0 0
1 0.5332 0 0 0 1 1 0 0.2754 0 0 0 0 0
1 0.3923 1 1 1 1 1 0 0.001 0 0 0 0 0
1 0.7523 0 0 0 0 0 0 0.4711 1 1 0 0 0
0 0.1747 0 0 0 0 0
0 0.7242 1 1 1 1 1
0 0.4524 1 1 0 0 0
0 0.4184 1 0 0 0 0
0 0.0341 0 0 0 0 0
0 0.0011 0 0 0 0 0
0 0.4379 1 0 0 0 0
0 0.6404 1 1 1 1 1
0 0.5475 1 1 1 0 0
0 0.0961 0 0 0 0 0
0 0.254 0 0 0 0 0
0 0.637 1 1 1 1 1

PD

Distresses 0.40 0.45 0.50 0.55 0.60 Healthy 0.40 0.45 0.50 0.55 0.60
TOTAL 18 25 30 38 38 TOTAL 30 20 14 13 12
1 0.9298 0 0 0 0 0 0 0.0448 0 0 0 0 0
1 0.9631 0 0 0 0 0 0 0.2697 0 0 0 0 0
1 0.2844 1 1 1 1 1 0 0.3398 0 0 0 0 0
1 0.2137 1 1 1 1 1 0 0.3496 0 0 0 0 0
1 0.3523 1 1 1 1 1 0 0.1496 0 0 0 0 0
1 0.2881 1 1 1 1 1 0 0.3578 0 0 0 0 0
1 0.7125 0 0 0 0 0 0 0.0722 0 0 0 0 0
1 0.8336 0 0 0 0 0 0 0.1666 0 0 0 0 0
1 0.7156 0 0 0 0 0 0 0.1893 0 0 0 0 0
1 0.9703 0 0 0 0 0 0 0.4398 1 0 0 0 0
1 0.4818 0 0 1 1 1 0 0.2775 0 0 0 0 0
1 0.97 0 0 0 0 0 0 0.4447 1 0 0 0 0
1 0.2004 1 1 1 1 1 0 0.0403 0 0 0 0 0
1 0.1771 1 1 1 1 1 0 0.04 0 0 0 0 0
1 0.9992 0 0 0 0 0 0 0.4234 1 0 0 0 0
1 0.7654 0 0 0 0 0 0 0.4902 1 1 0 0 0
1 0.4002 0 1 1 1 1 0 0.7565 1 1 1 1 1
1 0.7443 0 0 0 0 0 0 0.3494 0 0 0 0 0
1 0.3639 1 1 1 1 1 0 0.6474 1 1 1 1 1
1 0.4923 0 0 1 1 1 0 0.3529 0 0 0 0 0
1 0.2516 1 1 1 1 1 0 0.0443 0 0 0 0 0
1 0.7771 0 0 0 0 0 0 0.8222 1 1 1 1 1
1 0.985 0 0 0 0 0 0 0.4189 1 0 0 0 0
1 0.6495 0 0 0 0 0 0 0.412 1 0 0 0 0
1 0.9857 0 0 0 0 0 0 0.2974 0 0 0 0 0
1 0.9769 0 0 0 0 0 0 0.4291 1 0 0 0 0
1 0.3707 1 1 1 1 1 0 0.0336 0 0 0 0 0
1 0.2957 1 1 1 1 1 0 0.3068 0 0 0 0 0
1 0.7412 0 0 0 0 0 0 0.2555 0 0 0 0 0
1 0.998 0 0 0 0 0 0 0.0795 0 0 0 0 0
1 0.755 0 0 0 0 0 0 0.2688 0 0 0 0 0
1 0.945 0 0 0 0 0 0 0.1112 0 0 0 0 0
1 0.3845 1 1 1 1 1 0 0.2277 0 0 0 0 0
1 0.5452 0 0 0 1 1 0 0.3568 0 0 0 0 0
1 0.9094 0 0 0 0 0 0 0.4077 1 0 0 0 0
1 0.894 0 0 0 0 0 0 0.137 0 0 0 0 0
1 0.8976 0 0 0 0 0 0 0.4409 1 0 0 0 0
1 0.9529 0 0 0 0 0 0 0.3529 0 0 0 0 0
1 0.74 0 0 0 0 0 0 0.412 1 0 0 0 0
1 0.9356 0 0 0 0 0 0 0.4272 1 0 0 0 0
1 0.7414 0 0 0 0 0 0 0.6835 1 1 1 1 1
1 0.9595 0 0 0 0 0 0 0.22 0 0 0 0 0
1 0.963 0 0 0 0 0 0 0.2596 0 0 0 0 0
1 0.4982 0 0 1 1 1 0 0.4721 1 1 0 0 0
1 0.9107 0 0 0 0 0 0 0.2878 0 0 0 0 0
1 0.4185 0 1 1 1 1 0 0.1269 0 0 0 0 0
1 0.4794 0 0 1 1 1 0 0.3426 0 0 0 0 0
1 0.7739 0 0 0 0 0 0 0.766 1 1 1 1 1
1 0.9971 0 0 0 0 0 0 0.451 1 1 0 0 0
1 0.5131 0 0 0 1 1 0 0.2507 0 0 0 0 0
1 0.7531 0 0 0 0 0 0 0.3912 0 0 0 0 0
1 0.9971 0 0 0 0 0 0 0.048 0 0 0 0 0
1 0.8363 0 0 0 0 0 0 0.6685 1 1 1 1 1
1 0.7259 0 0 0 0 0 0 0.2791 0 0 0 0 0
1 0.3719 1 1 1 1 1 0 0.491 1 1 0 0 0
1 0.0761 1 1 1 1 1 0 0.3066 0 0 0 0 0
1 0.8893 0 0 0 0 0 0 0.0418 0 0 0 0 0
1 0.7027 0 0 0 0 0 0 0.1801 0 0 0 0 0
1 0.8811 0 0 0 0 0 0 0.1908 0 0 0 0 0
1 0.7296 0 0 0 0 0 0 0.5776 1 1 1 1 0
1 0.8478 0 0 0 0 0 0 0.2067 0 0 0 0 0
1 0.2812 1 1 1 1 1 0 0.3374 0 0 0 0 0
1 0.9962 0 0 0 0 0 0 0.2028 0 0 0 0 0
1 0.5454 0 0 0 1 1 0 0.1532 0 0 0 0 0
1 0.9391 0 0 0 0 0 0 0.7933 1 1 1 1 1
1 0.7594 0 0 0 0 0 0 0.2202 0 0 0 0 0
1 0.2357 1 1 1 1 1 0 0.8293 1 1 1 1 1
1 0.6554 0 0 0 0 0 0 0.1667 0 0 0 0 0
1 0.6305 0 0 0 0 0 0 0.1521 0 0 0 0 0
1 0.2933 1 1 1 1 1 0 0.8859 1 1 1 1 1
1 0.5296 0 0 0 1 1 0 0.1906 0 0 0 0 0
1 0.4461 0 1 1 1 1 0 0.2227 0 0 0 0 0
1 0.4246 0 1 1 1 1 0 0.6237 1 1 1 1 1
1 0.2454 1 1 1 1 1 0 0.1239 0 0 0 0 0
1 0.6183 0 0 0 0 0 0 0.469 1 1 0 0 0
1 0.4692 0 0 1 1 1 0 0.7392 1 1 1 1 1
1 0.5073 0 0 0 1 1 0 0.0372 0 0 0 0 0
1 0.4325 0 1 1 1 1 0 0.2682 0 0 0 0 0
1 0.5429 0 0 0 1 1 0 0.2315 0 0 0 0 0
1 0.9616 0 0 0 0 0 0 0.0116 0 0 0 0 0
1 0.4268 0 1 1 1 1 0 0.2094 0 0 0 0 0
1 0.4347 0 1 1 1 1 0 0.0393 0 0 0 0 0
1 0.5251 0 0 0 1 1 0 0.2867 0 0 0 0 0
1 0.3472 1 1 1 1 1 0 0.5309 1 1 1 0 0
1 0.8657 0 0 0 0 0 0 0.0946 0 0 0 0 0
1 0.5257 0 0 0 1 1 0 0.1782 0 0 0 0 0
0 0.1813 0 0 0 0 0
0 0.8003 1 1 1 1 1
0 0.1806 0 0 0 0 0
0 0.2345 0 0 0 0 0
0 0.0732 0 0 0 0 0
0 0.1729 0 0 0 0 0
0 0.4983 1 1 0 0 0
0 0.3926 0 0 0 0 0
0 0.2312 0 0 0 0 0