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Una comparacion de la seleccion de los ratios contables en los modelos contable-financieros de prediccion de la insolvencia empresarial

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  • Antonio David Somoza Lopez
  • Josep Vallverdu Calafell

    (Universitat de Barcelona)

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    Abstract

    During the last 30 years the growing appearance of quantitative models about insolvency prediction in the financial and accounting literature has awakened a great interest among the specialists and researchers of this field. What in the beginning were a few models with a sole objective, has evolved into a source of constant research. In this paper an insolvency prediction model is formulated through a combination of different quantitative variables extracted from the Annual Accounts of sample firms for the period 1994-1997. Using a stepwise procedure, those variables, which proved to be the most relevant in providing information were selected and analysed. Once we have formulated these models, we looked for an alternative to the previous variables through the use of factorial analysis of main components and it is made a variable selection through this technique. The univariate analysis is applied to both groups of ratios. Lastly, we compared the models obtained and we concluded that although the ratios of previous literature offer better results, the models with the variables of factorial analysis should not be rejected because the causes of insolvency are clearer than in those models that used variables from popularity in literature.

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    Bibliographic Info

    Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 94.

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    Length: 44 pages
    Date of creation: 2003
    Date of revision:
    Handle: RePEc:bar:bedcje:200394

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    1. Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. " Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, American Finance Association, vol. 40(1), pages 269-91, March.
    2. Eisenbeis, Robert A, 1977. "Pitfalls in the Application of Discriminant Analysis in Business, Finance, and Economics," Journal of Finance, American Finance Association, American Finance Association, vol. 32(3), pages 875-900, June.
    3. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, American Finance Association, vol. 23(4), pages 589-609, 09.
    4. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 1(1), pages 29-54, June.
    5. Hamer, Michelle M., 1983. "Failure prediction: Sensitivity of classification accuracy to alternative statistical methods and variable sets," Journal of Accounting and Public Policy, Elsevier, Elsevier, vol. 2(4), pages 289-307.
    6. Edmister, Robert O., 1972. "An Empirical Test of Financial Ratio Analysis for Small Business Failure Prediction," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 7(02), pages 1477-1493, March.
    7. Altman, Edward I. & Margaine, Michel & Schlosser, Michel & Vernimmen, Pierre, 1974. "Financial and Statistical Analysis for Commercial Loan Evaluation: A French Experience," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 9(02), pages 195-211, March.
    8. Barney, Douglas K. & Finley Graves, O. & Johnson, John D., 1999. "The farmers home administration and farm debt failure prediction," Journal of Accounting and Public Policy, Elsevier, Elsevier, vol. 18(2), pages 99-139.
    9. Sinkey, Joseph F, Jr, 1975. "A Multivariate Statistical Analysis of the Characteristics of Problem Banks," Journal of Finance, American Finance Association, American Finance Association, vol. 30(1), pages 21-36, March.
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