Data on US bankruptcy rate vs. standard valuation ratios

Question

Does anyone know of any research or data on US corporate bankruptcy rates as a function of standard valuation ratios, such as P/B, P/E, etc.?

I'm trying to adjust the results of backtests to account for survivorship bias. My first thought was to put an upper bound on the impact of survivorship bias by assuming a certain percentage of holdings go bankrupt each period. I was looking for some data on what that percentage should be.

I'm aware of values like Altman's Z-score, but that doesn't quite apply to what I'm trying to do. That's meant to predict bankruptcy, but I'm looking for a typical bankruptcy rate. Even an overall rate would be better than nothing, but it would be more useful if it was broken down cross-sectionally in some way.

Alternatively, are there any better methods of dealing with survivorship bias when working with incomplete data sets?

Answer 1

I get my stock data from Univ of Chicago's Center for Research in Security Prices (CRSP), which keeps stocks after delisting, so there's no survivorship bias. I assume that Bloomberg and Reuters do the same. But if you use Yahoo! or Google, there will be a survivorship bias.

I think that trying to look at bankruptcies to remove a survivorship bias would be really challenging (not all bankruptcies result in delisting), and might insert an error bigger than survivorship bias. But Compustat provides more corporate finance data than almost anyone knows what to do with.

I am not sure that there's a clean work-around for survivorship bias short of moving to a data set like CRSP. HTH.