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?