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The pattern of predicting financial distress for different industries with moderating effect of linearity
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Eslam Fakher *    1, Mohammad Hassan Ebrahimi Sarvolia2 , Jafar Babajani2 , Mohammad Reza Akhond1 |
1- Shahid Chamran University of Ahvaz
2- Allameh Tabatabei university |
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Abstract: (2293 Views) |
| Pay attention to the prediction of financial distress and huge costs that the financial crisis impose on the country and the shareholders is very important. After reviewing the theoretical literature a model for predicting financial distress is provided. Based on the conceptual model three aspects of accounting variables with 49 measures, market variables with 10 measures and age of the company were selected. Information of these variables for 219 companies during 11 years (1387-1398) were extracted and 23 variables were identified significant with Cox model. These companies were selected by systematic elimination method. Thus, the conditions for entering the companies in the statistical sample were considered and only the companies that met those conditions were included in the sample. Due to the large of variables and the probability of linearity, the variables were reduced to 6 factors by factor analysis. Then the final models for the 10 industries that had the highest average of market value were extracted. The accuracy of the final predicting models was tested and confirmed with ROC curve. |
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| Keywords: Financial distress, Survival analysis, Cox Regression, Factor analysis |
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Full-Text [PDF 683 kb]
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Type of Study: Research |
Subject:
Special
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