Bankruptcy Modelling of Indian Public Sector Banks: Evidence from Neural Trace

International Journal of Applied Behavioral Economics, Volume 6 • Issue 2 • April-June 2017, DOI: 10.4018/IJABE.2017040104

Posted: 7 Jun 2017

Date Written: April 7, 2017

Abstract

The paper estimates earnings per share (EPS) of top three Indian public sector banks on the basis of Ohlson O score, Zmijewski score and Graham Number, for a period of 12 years (2004-2015), with the help of the generalized method of moments (GMM), along with the use of an artificial neural network (ANN) algorithm. The time period has been carefully selected so that it could capture crash and consolidation phase, along with unprecedented bull rally too. It has been found that the fitment of ANN based model is accurate. Thus, using this model, their future EPS during distress could be predicted with a higher degree of precision. The authors believe this to illustrate a clear trace of the availability heuristic, timid choice, bold forecast and herding, as bulk deals by institutional investors decide the feat of a stock even on the futuristic possibility of bankruptcy.

Keywords: Artificial Neural Network, Availability Heuristics, Bankruptcy, Behavioural Finance, Generalized Method of Moments, Graham Number, Herding, Ohlson Score, Zmijewski Score

Suggested Citation

Ghosh, Bikramaditya, Bankruptcy Modelling of Indian Public Sector Banks: Evidence from Neural Trace (April 7, 2017). International Journal of Applied Behavioral Economics, Volume 6 • Issue 2 • April-June 2017, DOI: 10.4018/IJABE.2017040104, Available at SSRN: https://ssrn.com/abstract=2982254

Bikramaditya Ghosh (Contact Author)

SIBM-B ( email )

95/1,95/2 Electronic city phase 1
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Bengaluru, 560100
India

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