Chapter 11

Is Bankruptcy a Systematic Risk? Evidence From Vietnam

T. Chaiyakul*
K. Bangassa**
M. Iskandrani†*    Kasetsart University Sriracha Campus, Faculty of Management Sciences, Chonburi, Thailand**    University of Liverpool, Management School, Liverpool, United Kingdom†    University of Jordan, Faculty of Business, Amman, Jordan

Abstract

There is conflicting evidence reported in the existing academic literature regarding the pricing of bankruptcy risk. Also, existing studies concentrate on developed and emerging markets (to some extent), but not on frontier markets. We aim to investigate the pricing of bankruptcy risk by using the DLI (default likelihood indicator) bankruptcy estimation model developed by Vassalou and Xing [Vassalou, M., ...

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