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Outecheva, Natalia. "Corporate financial distress : an empirical analysis of distress risk." kostenfrei, 2007. http://www.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3430.
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Sang, Le Quang. "The value of financial flexibility, corporate investment policy and financial distress risk." Thesis, University of Southampton, 2018. https://eprints.soton.ac.uk/427735/.
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This study investigates the effects of the value of financial flexibility (VOFF) on corporate investment policies and distress risk. I empirically examine three main following research questions: (1) Does VOFF affect level and efficiency of firm's capital investment, (2) does VOFF impact corporate ability to invest in working capital and the speed of working capital adjustment, and (3) does VOFF explain the variation in a firm's default probability. The study is mainly motivated by the well-established theoretical framework that suggests that financial flexibility enables a firm to finance desirable projects in a timely and value-maximising manner when such profitable opportunities arise and it may reduce the likelihood of financial distress under the effects of negative shocks in cash flows (Gamba and Triantis, 2008). However, to date, no systematic investigation has considered whether and to which extent the value, not level, of financial flexibility can affect firm investment, whether VOFF's effects are the same across different types of investment and how it can explain the variations in failure probability. I use a sample of 8024 non-financial US firms over the period of 1978-2013 and employ multiple methods under the panel data methodology to answer the research and hypothesis questions. I find that higher VOFF can lead to lower investment level in fixed capital, a higher likelihood of bypassing investment opportunities, and more likelihood of suffering from higher investment distortions, especially underinvestment, in long-term assets. In addition, the negative relation between investment efficiency and VOFF is higher for more financially constrained firms. With regards to the effect of VOFF on firm policy in working capital management, I uncover that firms whose shareholders confer a higher value on financial flexibility suffer from both underinvestment and overinvestment problems, particularly the latter. I also find that VOFF accelerates the SOA of WC and that such factors as WC approach, financial constraint, and types of industry have bearing effects on the relation between VOFF and SOA of WC. I also show that firms with higher VOFF suffer less from the risk of failure. I find that the main mechanism for this negative relation is via a reduction in total leverage, especially short-term debts. I also evince that such factors as firm rigidity (a proxy for operating flexibility), credit-default swaps trading and managerial quality have moderating effects that exert possible influences on the nature and strength of the credit risk-VOFF relation. The thesis's results advance the literature in several ways. First, it provides evidence in support of theoretical works that emphasise the precautionary motive of cash holding, the value of liquid assets, and their implications for corporate decisions (Gamba and Triantis, 2008, Riddick and Whited, 2009, Bolton et al., 2011). Second, while existing approaches aim at to measure the level of financial flexibility, I, in contrast, follow a new approach to measure the economic value of financial flexibility by using the stock market reaction as a means to an end to measure VOFF and subsequently utilize this measure to study different issues on corporate investment and credit risk. I view my thesis as an extension to Rapp et al.'s (2014) works by providing new empirical evidence of possible effects of VOFF a firm's investment policy and credit risk. From a practical viewpoint, this thesis highlights the impacts of financial flexibility on real investment decisions and its risk relevance. The findings also help to explain why financial flexibility is a first-order consideration in making financial decisions among the top CEO around the globe (Graham and Harvey, 2001, Brounen et al., 2004, Campello et al., 2010). Furthermore, since VOFF is found to have significantly explanatory power for the variation in credit risk it can help to increase the information set to predict credit risk by relevant parties such as managers, suppliers, and lenders, among others.
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Costa, Magali Pedro. "Three essays on firms' financial distress." Doctoral thesis, Universidade de Évora, 2015. http://hdl.handle.net/10174/17512.
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Financial and output market decisions are crucial to the success or failure of an or-
ganization. These decisions are influenced by the dynamic and competitive economic
environment in which firms operate and, in turn, affect the ability of firms to meet their
debt obligations.
This thesis is constituted by three separate but interrelated essays which explore the
impact of financial and operating decisions on the default risk. The first two essays study
the equilibrium default probability, in a two-stage differentiated product duopoly model
with uncertainty, where firms decide their financial structure in the first stage and their
quantities in the second stage. These two essays analyze the impact of changes in the
parameters of the model, on the equilibrium default probability (the first essay uses com-
parative statics tools while the second uses numerical simulation). The impact of changes
in the uncertainty level, in the degree of product substitutability, in the marginal costs
and in the default cost on the financing and output decisions and on the default risk are
analyzed. The third essay tests empirical the relationship between market structure and
capital structure decisions and their relationship with the default probability using a sam-
ple of eleven members of the Organization for Economic Cooperation and Development
(OECD).
The three essays reach a coherent set of conclusions. In particular, they show that
uncertainty, market structure and default costs influence financial and product market de-
cisions and the probability of default. Moreover, they show that the default probability is
influenced directly by the parameters, but it is also influenced by the way firms optimally
adjust their financial and product market decisions when the parameters change. There-
fore a less favorable environment does not necessarily imply higher default probability, as
firms may respond by financing less with debt; RESUMO:Decisões financeiras e no mercado do produto são cruciais para o sucesso ou falência de
uma organização. Estas decisões são influenciadas pelo ambiente econômico, dinâmico e
competitivo em que as empresas operam e, por sua vez, afetam a capacidade das empresas
cumprirem suas obrigações.
Esta tese é constituída por três ensaios distintos, mas interrelacionados que exploram
o impacto das decisões financeiras e operacionais sobre o risco de incumprimento. Os dois
primeiros ensaios estudam a probabilidade de incumprimento de equilíbrio, num modelo
duopólio, com produtos diferenciados, com dois estágios e com incerteza, onde as em-
presas no primeiro estágio decidem a sua estrutura financeira, e no segundo estágio as
suas quantidades. Estes dois ensaios analisam o impacto de alterações dos parâmetros
do modelo na probabilidade de incumprimento de equilíbrio (o primeiro ensaio usa ferra-
mentas de estática comparada, enquanto o segundo usa simulação numérica). É analisado
o impacto de mudanças no nível de incerteza, no grau de substituibilidade do produto,
nos custos marginais e no custo de incumprimento sobre as decisões de financiamento e
de produção, e sobre o risco de incumprimento. O terceiro ensaio testa empíricamente a
relação entre estrutura de mercado e as decisões da estrutura de capital e a sua relação
com a probabilidade de incumprimento, utilizando uma amostra de onze membros da
Organização para a Cooperação e Desenvolvimento Económico (OCDE).
Os três ensaios chegam a um conjunto coerente de conclusões. Nomeadamente, mostram
que a incerteza, a estrutura de mercado e custos de incumprimento infuenciam as decisões
financeiras e no mercado do produto e a probabilidade de incumprimento. Além disso,
mostram que a probabilidade de incumprimento é infuênciada diretamente pelos parâmetros
, mas também é infuênciada pela forma como as empresas ajustam de forma ótima as
suas decisões financeiras e no mercado do produto quando os parâmetros alteram. Por
conseguinte, um ambiente menos favorável não significa necessariamente maior probabilidade
de incumprimento, uma vez que as empresas podem responder financiando-se com menos dívida
4
Dove, Howard. "Distress risk, financial crisis and investment strategies : evidence from the United Kingdom." Thesis, Durham University, 2018. http://etheses.dur.ac.uk/12755/.
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The thesis focuses on the impacts of market distress conditions and firms’ default probability on two key investment strategies in the UK. These are investment decisions in value firms versus growth firms (chapter 3), and well-performing firms versus poorly-performing firms (chapter 4). Although distress risk (measured by the market conditions and default probability) is a relevant factor in explaining the general movement of stock returns, this is the first study addressing a direct link between these distress elements and the above two investment choices. The thesis employs a range of distress indicators, including the following: firm-specific proxies such as Fama-French’s (1993) three factors (i.e. the market beta, firm size and book-to-market factors), idiosyncratic volatility, default risk, and market-related factors (e.g. business cycles, market downturn and upturn conditions). More recent data and well-developed proxies are used to make sure the results are valid and robust. First of all, the thesis finds positive abnormal returns from investing in value and momentum companies. Among these investment strategies, momentum stocks generate significant profitability in the short run. However, the value firms’ investments generate positive but insignificant profit. In terms of explanatory ability, distress risk is found to play an important role in explaining value and momentum anomalies. For example, there is evidence that highly volatile stocks tend to suffer greater default risk, and that stocks with a higher default risk generate lower returns. The results in this study also suggest that momentum-oriented investors would benefit from significantly high returns during market upturns, however these strategies would lead to great losses during recessions.
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Rugangira, Paul Kato. "Corporate governance, financial distress, and risk-taking in the USA banking sector." Thesis, University of Leeds, 2012. http://etheses.whiterose.ac.uk/7526/.
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This thesis investigates the role of corporate governance in US bank holding companies between 1998 to 2007. In the course of the thesis, four main contributions to extant literature are brought to the fore. First, the research facilitates a better understanding of the link between corporate governance and risk-taking. This is the main focus of the thesis and so this strand permeates the entire text. Second, it constructs a distance-to-default indicator, which is used to predict and compare financial conditions in banks that issued subordinated debt with those that did not. Third, it considers the impact of managerial incentives on bank risk-taking through board structure. Finally, the results provide a platform from which to view the various policy implications raised by the thesis. In analysing the extent to which distance to default is explained by bank risk fundamentals, it is shown that distance to default is predicted marginally better in sub-debt banks relative to non-sub-debt banks. For banks that issue sub-debts, again, it is found that charter values and bank capitalisation further increase the power of bank fundamentals to predict default risk. Turning to bank risk-related variables, capital to assets and non-performing loan ratios negatively and positively affect managerial ownership, respectively. This evidence is new. The percentage of independent directors is positively related to capital to asset and liquid asset ratios, and negatively related to the non-performing loans ratio. Capital to assets and non-performing loan ratios have an observed positive and negative correlation with the percentage of institutional ownership. Also, excessive risk-taking is evident in ex-ante and ex-post Sarbanes and Regulation and linked to board size. With respect to managerial incentives, equity- and cash-based compensation is positively related to bank risk. Finally, while leverage varies directly with stock options, it is inversely associated with cash compensation.
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Zhiyong, Li. "Predicting financial distress using corporate efficiency and corporate governance measures." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/9934.
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Credit models are essential to control credit risk and accurately predicting bankruptcy and financial distress is even more necessary after the recent global financial crisis. Although accounting and financial information have been the main variables in corporate credit models for decades, academics continue searching for new attributes to model the probability of default. This thesis investigates the use of corporate efficiency and corporate governance measures in standard statistical credit models using cross-sectional and hazard models. Relative efficiency as calculated by Data Envelopment Analysis (DEA) can be used in prediction but most previous literature that has used such variables has failed to follow the assumptions of Variable Returns to Scale and sample homogeneity and hence the efficiency may not be correctly measured. This research has built industry specific models to successfully incorporate DEA efficiency scores for different industries and it is the first to decompose overall Technical Efficiency into Pure Technical Efficiency and Scale Efficiency in the context of modelling financial distress. It has been found that efficiency measures can improve the predictive accuracy and Scale Efficiency is a more important measure of efficiency than others. Furthermore, as no literature has attempted a panel analysis of DEA scores to predict distress, this research has extended the cross sectional analysis to a survival analysis by using Malmquist DEA and discrete hazard models. Results show that dynamic efficiency scores calculated with reference to the global efficiency frontier have the best discriminant power to classify distressed and non-distressed companies. Four groups of corporate governance measures, board composition, ownership structure, management compensation and director and manager characteristics, are incorporated in the hazard models to predict financial distress. It has been found that state control, institutional ownership, salaries to independent directors, the Chair’s age, the CEO’s education, the work location of independent directors and the concurrent position of the CEO have significant associations with the risk of financial distress. The best predictive accuracy is made from the model of governance measures, financial ratios and macroeconomic variables. Policy implications are advised to the regulatory commission.
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Smit, Candice. "The use of recursive partitioning to build a financial distress prediction for JSE listed companies." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20633.
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The financial crises of 2008 increased the focus around financial distress and even more so on predicting financially distressed companies prior to the fact. This research paper investigates using recursive partitioning to predict financially distressed companies on the Johannesburg Stock Exchange, taking different business cycle periods into account over the time period 1997-2014. The updated as well as longer time period over which the analysis is conducted distinguishes this research paper from prior research. This paper employs both the CART and CHAID algorithm and obtains financially distressed prediction models which have a higher correct classification rate than chance alone and prior literature in South Africa. This paper also makes use of a matched data sample approach and the manner in which missing data is addressed makes a valuable contribution to financial distress prediction research. Furthermore, support is found for prior literature in that financial variables are statistically significant in predicting financial distress.
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Pålsson, Moa, and Patric Beijer. "Corporate Sustainability Performance and the Risk of Financial Distress : A Panel Data Analysis." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185346.
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There are increased calls for corporations to act responsibly. Those responsibilities exceed the classical assumption that the only responsibility of the firm is its shareholders and ultimately to maximize their wealth. Any social issue participation has been described as charity or squandering of resources at the expense of the shareholders. According to the Stakeholder theory, firms should consider every stakeholder that is affected by the company and stakeholder management can be a source of value. The risk reduction hypothesis is especially interesting in the context of corporate sustainability. There have been multiple studies that have explored the relationship between corporate sustainability performance and the risk of financial distress. Like those studies, this study found that corporate sustainability performance is negatively associated with the risk of financial distress. Thereby answering the research question proposed by the authors: “Does corporate sustainability performance affect the risk of financial distress?”. Companies with higher sustainability performance will experience less risk and engagement in those activities works as a risk reduction tool. Different levels of sustainability performance have different effect on the risk, which should be considered by investors and management. It should inspire investors to incorporate sustainable companies in their investment portfolios. Furthermore, the thesis contributes to the field of knowledge by analyzing the empirical results using the Stakeholder Theory, the Shareholder Theory, the Legitimacy Theory, the Resource-based view, the Agency Theory and the Stewardship Theory. The study provides evidence of an increasing importance of sustainability performance and suggests that firms can use sustainability performance to mitigate risk. This is a panel data analysis including approximately 16,000 firm-year observations. The study takes a deductive approach, and the research is conducted under a positivist paradigm. The data is tested through conducting OLS regressions with fixed effects. The results of the statistical testing have been compared to previous studies and other relevant literature.
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Elgammal, Mohammed. "An empirical analysis of the relationship between the value premium and financial distress within a GARCH framework." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=137007.
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This thesis provides an empirical analysis of the relationship between the value premium and financial distress. Measures of leverage and default are used as proxies for financial distress. Using both an international data set, 1991 to 2006 and a long time series data set for the United States, 1927 – 2007, the thesis adds knowledge about the role of the value premium in asset pricing theory. Generalised autoregressive conditional heteroscedastic modelling (GARCH) is used and information gathered on the volatility of the value premium. A vector autoregressive (VAR) framework and Granger Causality tests are utilised in order to offer a deeper examination of the relationship between risk premium and economic activity. The results add further evidence to support the view that the value premium appears to be linked to variables associated with financial distress, although it is noted that this does not necessarily mean that participants in financial markets behave rationally.
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Mselmi, Nada. "Financial distress prediction and equity pricing models : Theory and empirical evidence in France." Thesis, Orléans, 2017. http://www.theses.fr/2017ORLE0502.
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Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels que le momentum, la détresse relative, la liquidité et la Value-at-Risk, sur le marché boursier Français. Cette étude comporte deux parties. La première partie, composée de 2 chapitres, s’interroge sur les principaux indicateurs discriminants entre les petites et moyennes entreprises françaises saines et celles en détresse financière un an et deux ans avant la défaillance. Elle mobilise différentes approches de prédiction et aboutit à des résultats empiriques qui font l’objet d’analyse. La deuxième partie, composée aussi de 2 chapitres, étudie le pouvoir explicatif, du modèle de Fama et French (1993) augmenté de certains facteurs de risque, mais aussi des modèles alternatifs à cette approche dans le contexte français. Les tests portent aussi sur le caractère systématique des facteurs de risque additionnels ou alternatifs, explicatifs des rendements des actions. Les résultats empiriques obtenus font l’objet d’analyse et permettent de proposer des implications managériales aux décideursThis thesis focuses on financial distress and its impact on stock returns. The main goal of this dissertation is: (i) to predict the financial distress of French small and medium-sized firms using a number of techniques namely Logit model, Artificial Neural Networks, Support Vector Machine techniques, and Partial Least Squares, and (ii) to identify the systematic risk factors of financial distress that can explain stock returns, in addition to those of Fama and French (1993) such as the momentum, the relative distress, the liquidity, and the Value-at-Risk in the French stock market. This study has been concretized in two parts. The first part, composed of 2 chapters, wonders about the main indicators that can discriminate between distressed and non-distressed French small and medium-sized firms one and two years before default. It mobilizes different prediction techniques and leads to the empirical results that are the subject of the analysis. The second part, composed also of 2 chapters, investigates the explanatory power of Fama and French (1993) model augmented by a number of risk factors, as well as alternative models in the French context. The tests also focus on the systematic nature of the additional or alternative risk factors, explaining the stock returns. The obtained empirical results are analyzed and propose managerial implications to decision makers
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Yilmaz, Aycan. "Pricing Default And Financial Distress Risks In Foreign Currency-denominated Corporate Loans In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613707/index.pdf.
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The globalization leads to integration of the economies worldwide. As the firms'businesses also get integrated with each other, the financing choices of the firms diversify. Among these choices, the popularity and the share of foreign currency borrowing in total borrowing by non-financial firms increase in Turkey similar to the global developments. The main purpose of this thesis is to price the risks of default and financial distress due to foreign currency denominated loans of non-financial firms in Turkey. The valuation model of foreign currency corporate loans is established by two state variable option pricing model based on the study of Cox, Ingersoll and Ross. In our model, the main risk factors are identified as the exchange rate and the interest rate, which are the state variables of the main partial differential equation whose solution gives the value of the asset. The numerical results are tested for different parameters and for different economic environments. The findings show that interest rate fluctuations are more important both for the default and financial distress option values than the fluctuations in exchange rate. However, the effect of upside movements of exchange rate on the financial distress and default values is sharper than the downside movement effect of interest rate. Furthermore, high loan-to-value (LTV) foreign currency loans result in significantly high financial distress values that cannot be disregarded and can lead to default of the firm. To the best of our knowledge, this thesis is the first study that develops a structural model to evaluate foreign currency denominated corporate loans in an option-pricing framework.
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Chen, Rui. "Dynamic optimal control for distress large financial networks and Mean field systems with jumps Optimal connectivity for a large financial network Mean Field BSDEs and Global Dynamic Risk Measures." Thesis, Paris Sciences et Lettres (ComUE), 2019. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2019PSLED042.
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Cette thèse propose des modèles et des méthodes pour étudier le contrôle du risque dans de larges systèmes financiers. Nous proposons dans une première partie une approche structurelle : nous considérons un système financier représenté comme un réseau d’institutions connectées entre elles par des interactions stratégiques sources de financement mais également par des interactions qui les exposent à un risque de contagion de défaut. La nouveauté de notre approche réside dans le fait que ces deux types d’interaction interfèrent. Nous proposons des nouvelles notions d’équilibre pour ces systèmes et étudions la connectivité optimale du réseau et le risque systémique associé. Dans une deuxième partie, nous introduisons des mesures de risque systémique définies par des équations différentielles stochastiques rétrogrades dirigées par des opérateurs à champ moyen et étudions des problèmes d’arrêt optimal associés. La dernière partie aborde des questions de liquidation optimale de portefeuillesThis thesis presents models and methodologies to understand the control of systemic risk in large systems. We propose two approaches. The first one is structural : a financial system is represented as a network of institutions. They have strategic interactions as well as direct interactions through linkages in a contagion process. The novelty of our approach is that these two types of interactions are intertwined themselves and we propose new notions of equilibria for such games and analyze the systemic risk emerging in equilibrium. The second approach is a reduced form.We model the dynamics of regulatory capital using a mean field operator : required capital depends on the standalone risk but also on the evolution of the capital of all other banks in the system. In this model, required capital is a dynamic risk measure and is represented as a the solution of a mean-field BDSE with jumps. We show a novel dual representation theorem. In the context of meanfield BSDEs the representation gives yield to a stochastic discount factor and a worst-case probability measure that encompasses the overall interactions in the system. We also solve the optimal stopping problem of dynamic risk measure by connecting it to the solution of reflected meanfield BSDE with jumps. Finally, We provide a comprehensive model for the order book dynamics and optimal Market making strategy appeared in liquidity risk problems
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Okehi, Daniel Onyebuchi. "Modelling Risk Management in Banks: Examining Why Banks Fail?" ScholarWorks, 2014. https://scholarworks.waldenu.edu/dissertations/158.
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The persistent bank failures in the Nigerian financial system have been a major concern of the government, depositors, shareholders, and the general public because of the important roles banks play in the economy. The aim of this research was to determine why there have been persistent bank failures in Nigeria and to investigate whether ineffective risk management in banks, coupled with poor corporate governance practices and nonadherence to regulations (independent variables), play a significant role in the banks' performance(dependent variable). The variables were operationalized by taking VaR as the proxy for risk management, having CRO as proxy for ERM , CAR as proxy for corporate governance, and ROE as proxy for performance. The square gap model formed the theoretical basis of this study. The research design was survey design, and a survey instrument was used to collect data from the target population of 300 senior bank executives who were randomly selected from the 24 operating banks in Nigeria. A multiple regression model was used to examine if risk management, governance practices, and regulation adherence significantly predicted bank performance. The findings of the study confirmed that there is a significant positive relationship between the independent variables and the dependent variable. These findings suggest that, by adopting effective risk management, improving corporate governance practices, and adhering to regulations, Nigerian banks can improve their performance. This research has positive social implications for those in the banking industry by ensuring the safety of the depositors' funds in banks, and stabilizing the payment system in the economy, which historically would have been disrupted by systemic failure in the banking industry.
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Ericsson, Jan. "Credit Risk in Corporate Securities and Derivatives : valuation and optimal capital structure choice." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1997. http://www.hhs.se/efi/summary/446.htm.
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GRASSELLI, FRANCESCA. "L'Analisi e la Previsione delle Insolvenze: Lo Studio del Caso Italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2007. http://hdl.handle.net/10280/132.
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A causa delle conseguenze che il fenomeno comporta, sia sul piano finanziario sia sul fronte dell'economia reale, l'analisi e la previsione delle insolvenze societarie continua a rappresentare un argomento attuale nell'ambito della ricerca economica. I recenti sforzi condotti dal Comitato di Basilea verso la diffusione di criteri di valutazione del rischio di credito più precisi ed oggettivi, hanno ulteriormente accresciuto l'importanza della materia.
L'obiettivo del presente studio è l'analisi del fenomeno del fallimento sul territorio italiano, al fine di valutare quali variabili sono più efficaci nell'individuazione di una situazione di dissesto dell'impresa.
Per l'analisi si sono sviluppati dei modelli di previsione delle insolvenze in grado di individuare i segnali early warning di dissesto finanziario. L'analisi econometrica è basata su un campione ampio ed originale di fallimenti rilevati negli anni 2003 e 2004: a tal fine sono stati costituiti dei campioni comparabili di imprese fallite e non fallite ed è stato verificato, mediante l'applicazione di una metodologia logit, il potere previsivo di diversi indici di bilancio e di variabili di tipo non finanziario. I risultati ottenuti sono stati validati su un campione hold-out.
L'analisi si evidenzia l'importanza delle caratteristiche del settore di attività nel determinare la forma del processo di fallimento: i modelli sector specific ottengono risultati migliori rispetto ai modelli generali stimati. Inoltre, alcuni fattori comuni ai diversi settori di attività si dimostrano particolarmente efficaci nella previsione dei dissesti aziendali: l'età, il livello di leverage e la composizione del debito d'impresa, così come la sua redditività.Due to the consequences that the phenomenon entails both on the financial and real sides of the economy, the analysis and prediction of corporate failures continue to be a current topic in economic research. The recent efforts laid by the Basel Committee towards the diffusion of more precise and objective ways of assessing credit risk have further increased the importance of this matter. The purpose of the study is to analyse the bankruptcy phenomenon among Italian firms, in order to assess what firm-specific and industry variables are more important in determining corporate failure events. We develop a bankruptcy prediction model that aims at detecting early signals of financial distress. The econometric analysis is based on a wide and unique sample of recent failure events: comparable sets of bankrupt and non-bankrupt firms are identified and several prior balance-sheet and economic indicators are tested for their power in predicting failure probabilities in a logit modelling framework; model performances are cross-validated on hold-out samples. The analyses provide evidence of the importance of industry membership in determining and shaping corporate failure processes: sector-specific models produce a better assessment of financial distress than general ones. Also, some common factors emerge as important predictors of corporate collapse across different industries: age, gearing and the composition of a firm's debt, as well as its capability of generating profits.
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ANSELMI, GIULIO. "ESSAYS ON OPTION IMPLIED VOLATILITY RISK MEASURES FOR BANKS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/10402.
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La tesi comprende tre saggi sul ruolo della volatilità implicita per le banche. La tesi è organizzata in tre capitoli. Capitolo I - studia il ruolo di skew e spread della volatilità implicita nel determinare i rendimenti delle azioni bancarie. Capitolo II - analizza gli effetti degli skew della volatilità implicita e della realized volatility sulla leva finanziaria delle banche. Capitolo III - si focalizza sul rapporto tra il coefficiente di liquidità delle banche e le misure per il rischio estratte dalla volatilità (skew, spread, realized volatility).The thesis comprehends three essays on option implied volatility risk measures for banks. The thesis is organized in three chapters. Chapter I - studies the informational content for banks' stock returns in option's implied volatilities skews and spread. Chapter II - analyzes the effect of volatility risk measures (volatility skew and realized volatility) on banks' leverage. Chapter III - studies the relationship between banks' liquidity ratio and volatility risk measures.
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Lindblad, Fredrik. "Market structure and economic status for firms producing single-family houses in Sweden." Licentiate thesis, Linnéuniversitetet, Institutionen för maskinteknik (MT), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-60000.
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The gradually changing behavior of the population, towards urbanization, ledto an increased shortage of available housing. This development has resultedin a serious issue in Sweden, where too few firms are providing solutions formulti-family houses in wood. Potential firms that could fill this increasingdemand are those in the single-family house industry. Yet, these firms mightface considerable problems with productivity, predominately derived fromincreasing production costs and inadequate production development.Developing these firms are associated with long-term investments, whichis investigated by evaluating the industry structure for sellers, highlightingthe financial and market situation within their industry. These factors aregrowing in importance due to the current market concentration, where morefirms are required to focus on product development driven by the demand toprefabricate wooden elements, volumes or modules in an industrialized way.This thesis studies Swedish firms producing wooden single-familyhouses, with the aim to investigate their possibilities to enter the woodenmulti-family house industry in Sweden.Investigations will be conducted by applying Altman’s Z’ value, riskposition model, the Herfindahl-Hirschman index, the Herfindahl-Hirschmannumber equivalent, productivity ratio model for profitability and finally amodel measuring market Concentration Ratio.Results show that the industry tends towards perfect competition with toomany firms involved, i.e. firms mainly have to compete by prices. Further,firms are grouped into three zones; risk, grey or safe zone. The levels withinthese zone show a reduction of firms in the red zone over time. Related to thecurrent risks, many firms have promising positions to invest in productdevelopment towards wooden multi-family houses, in addition to theircurrent products, even though firm productivity has declined during thestudied time frame. The results that the investigated firms have goodpossibilities gaining a competitive advantage by diversifying into thegrowing wooden multi-family house industry.
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Pranckh, Rupprecht. "Corporate Financial Distress and Financial Restructuring Solutions." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01666007002/$FILE/01666007002.pdf.
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Ashraf, Sumaira. "Three essays on financial distress." Doctoral thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/30150.
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Large corporate failures and scandals in recent years indicate the shortcomings of current risk assessment tools and highlight the need for more extensive research on predicting financial distress (FD). The main objective of this thesis, comprised of three independent essays, is to provide empirical evidence on the factors affecting financial distress of firms. The first essay compares the accuracy of traditional distress prediction models at predicting the early warning signs of financial distress. The results reveal that the prediction accuracy of models declines for both early and more progressed financially distressed firms, when applied to an emerging market, Pakistan. The study results suggest that the researchers and practitioners should periodically revise the distress prediction models to adjust them with the dynamic changes in the business environment. The second essay for the first time investigates the benefit of combining accounting, market-based and financial reporting quality (FRQ) measures to predict financial distress of the developed and emerging market firms, UK and Pakistan, respectively. The resulting model shows good prediction accuracy for firms in the developed and emerging market, showing that the FRQ plays a significant role in the financial distress of firms. The findings of the study suggest that the researchers should use this hidden information of financial reports to predict financial distress of firms. The third essay explores the importance of board committee independence for firms operating in a developed market, the UK, and an emerging market, China. Our overall results support current best practice for corporate governance, which recommends more independent board members in compensation and nomination committees to ensure the unbiased selection and evaluation of corporate leadership; Três Ensaios sobre Empresas em Dificuldades Financeiras
Resumo: Nos últimos anos observou-se a falência de grandes empresas, bem como vários escândalos financeiros, o que se tornou indicativo da existência de falhas ao nível das actuais ferramentas de avaliação de riscos, bem como da necessidade de estudos relacionados com a previsão da existência de empresas em dificuldades financeiras (FD). O principal objetivo desta tese, composta de três ensaios independentes, é fornecer evidências empíricas sobre os fatores que afetam as empresas em FD. O primeiro ensaio compara a exatidão dos modelos tradicionais de previsão de stress em prever os primeiros sinais de alerta de FD nas empresas. Os resultados revelaram que a exactidão da previsão dos modelos diminui no caso das empresas em fase inicial ou mais avançada de FD, quando aplicados ao mercado emergente Paquistão. Os resultados do estudo sugerem que tanto investigadores como profissionais devem periodicamente rever os modelos de previsão de FD por forma a os ajustar às mudanças dinâmicas do ambiente de negócios. O segundo ensaio investiga, pela primeira vez, o benefício da combinação de medidas contabilísticas, baseadas no mercado e na qualidade dos relatórios financeiros (FRQ), para prever se as empresas dos mercados desenvolvido e emergente, Reino Unido e Paquistão, respectivamente, se encontram em FD. O modelo final resultante mostra uma boa precisão de previsão para as empresas dos mercados desenvolvidos e emergentes, mostrando que a FRQ desempenha um papel significativo no FD das empresas. Os resultados do estudo sugerem que os investigadores devem usar essa informação, oculta dos relatórios financeiros, para prever o nível de FD das empresas. O terceiro ensaio explora a importância da independência do conselho do quadro de directores para as empresas que operam quer num mercado desenvolvido, Reino Unido, quer num mercado emergente, China. Os resultados globais fundamentam a prática da melhor governança empresarial, o que conduz à recomendação de um quadro de directores mais independente, ao nível dos comités de remuneração e nomeação, como forma de garantir uma selecção e avaliação da liderança empresarial não enviesadas.
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Aziz, Muhammad A. "Predicting corporate financial distress in UK." Thesis, Loughborough University, 2007. https://dspace.lboro.ac.uk/2134/34090.
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The motivation for empirical research in corporate financial distress prediction is clear: the early detection of financial distress and the use of corrective measures are preferable to protection under insolvency law. Many different models have been used to predict corporate financial distress, and choosing between them for empirical application is not straightforward. One objective of this research is providing a comprehensive review, clarifying the problem of model choice in empirical prediction of corporate financial distress. To that end, we conduct a meta-analysis of the literature reviewed in this thesis. This analysis supports the use of Multiple Discriminant Analysis on rather objective grounds. This study adopts a novel approach by using a large panel of UK-quoted firms (3135) from 1990 to 2004 and develops a multiple discriminant distress prediction model, using 58 firm-specific financial ratios. The results are also compared with cross-sectional data sets and using GDP growth rate as a control variable.
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Oshiro, Renan Kenji. "Estruturas de governança corporativa e financial distress: há relação entre conselho de administração e empresas em financial distress?" reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15858.
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In this master’s thesis it was analyzed if there is a significant relationship among governance structures (structure and board composition) and financial distress. This essay focused on this issue because academic studies in corporate governance and its relation to financial distress are still largely unexplored. In addition, the topic has relevance in the corporate world, since understanding which board structures and its compositions would be more efficient to avoid financial distress is attractive for many stakeholders, mainly for shareholders and creditors. To check the existence of this relationship, it was used data from Brazilian public companies and logit models of financial distress were developed. With financial distress as response variable and starting from a base model with financial control variables, new determinants and combinations of these variables were added step by step to set up intermediate models. At last, the final model included all relevant explanatory variables. The variables can be classified into governance structure variables (DUA, GOV and COF), board quality (QUA) and ownership structure (PRO1 and PRO2). The following base models were used: Daily and Dalton (1994a) and an own model, which was developed to model better financial distress and its relation to the governance structure variables. In several tested models, significant relationships were found in the percentage of dependent directors (GOV), percentage of education’s elite directors (QUA), percentage of discriminated stock (PRO1) and percentage of relevant state stock ownership (PRO2). Hence, the hypothesis that more dependent directors, less education’s elite directors and less concentrated ownership structures contribute to a future financial distress situation cannot be rejected. On the other hand, in dummy variables as duality (DUA) and supervisory board (COF) were not found statistical significance
Nesta dissertação foi analisada se há uma relação significante entre estruturas de governança (estrutura e composição de conselho) e financial distress. Este trabalho focou neste tema porque os estudos acadêmicos em governança corporativa e sua relação com financial distress ainda são pouco explorados. Além disso, o tema tem relevância no mundo corporativo, pois entender quais estruturas e composições de conselho seriam mais eficientes para evitar financial distress é interessante para diversos stakeholders, principalmente para os acionistas e os credores. Para verificar a existência dessa relação, foram utilizados dados de empresas brasileiras de capital aberto e foram desenvolvidos modelos logit de financial distress. Sendo a variável resposta financial distress, partiu-se de um modelo base com variáveis financeiras de controle e, por etapas, foram adicionadas novos determinantes e combinações dessas variáveis para montar modelos intermediários. Por fim, o modelo final contou com todas as variáveis explicativas mais relevantes. As variáveis de estudo podem ser classificadas em variáveis de estrutura de governança (DUA, GOV e COF), qualidade do conselho (QUA) e estrutura de propriedade (PRO1 e PRO2). Os modelos base utilizados foram: Daily e Dalton (1994a) e um próprio, desenvolvido para modelar melhor financial distress e sua relação com as variáveis de estrutura de governança. Nos diversos modelos testados foram encontradas relações significativas no percentual de conselheiros dependentes (GOV), percentual de conselheiros da elite educacional (QUA), percentual de ações discriminadas (PRO1) e percentual de ações de acionista estatal relevante (PRO2). Portanto, não se descartam as hipóteses de que mais conselheiros dependentes, menos conselheiros da elite educacional e estrutura de propriedade menos concentrada contribuem para uma situação de financial distress futura. Entretanto, as variáveis dummy de dualidade (DUA) e de conselho fiscal (COF) não apresentaram significância estatística
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Stulpinienė, Vaida. "Financial distress prediction model of family farms." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2013~D_20140123_133545-56537.
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Designed financial distress prediction model is intended directly for the farmer (decision-maker) in order to diagnose the farm’s financial condition and predict the likelihood of financial distress, by using financial information of his farm. There are identified family farm characteristics in which family farms have higher risks to run in financial distress and are guidelines for the family farms that intend to more carefully monitor and control their financial condition. The aim of the research: after analysing the conception of financial distress and identifying the factors determining the financial condition as well as related indicators and prediction models, to methodologically justify and design financial distress prediction model of family farms.Parengtas finansinio išsekimo prognozavimo modelis tiesiogiai skirtas ūkininkui, kuris panaudodamas savo ūkio finansinę informaciją, galėtų diagnozuoti ūkio finansinę būklę ir iš anksto numatyti finansinio išsekimo grėsmę. Disertacijoje nustatytos ir įvardintos ūkininkų ūkių charakteristikos, kurioms esant ūkiai turi didesnes grėsmes finansiškai išsekti, yra gairės ūkininkų ūkiams, kurie ketina atidžiau stebėti savo veiklą ir kontroliuoti finansinę būklę. Tyrimo tikslas – ištyrus finansinio išsekimo sampratą, identifikavus finansinę būklę sąlygojančius veiksnius, indikatorius ir prognozavimo modelius, metodologiškai pagrįsti ir parengti ūkininkų ūkių finansinio išsekimo prognozavimo modelį.
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Rutishauser, Philipp. "Unternehmen im Financial Distress Modelle zur Krisenfrüherkennung /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03601762001/$FILE/03601762001.pdf.
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Musmar, Firas Fathi. "Financial Distress in the Health Care Business." ScholarWorks, 2016. https://scholarworks.waldenu.edu/dissertations/3053.
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Sixty-four United States hospitals closed for poor organizational performance during 2010 through 2016. Because of hospital closures, community members experienced delays in obtaining needed care, reduced access to specialty care, and increased travel distances. Based on the balanced scorecard model theory, the purpose of this qualitative single case study was to explore strategies that 10 health care leaders used at a healthcare organization in central Texas to prevent financial distress. Semistructured interviews were conducted and archival organizational accounting records were reviewed, including company surveys with employees and patients. Data were thematically analyzed and triangulated to ensure the trustworthiness of interpretations. The findings identified 3 themes: effective leadership to improve organizational performance; training, skills development and continuous learning to improve performance; and customer focus strategies to increase customer satisfaction. The findings of this study may contribute to social change by improving access to healthcare services, increasing access to specialty care, and increasing customer satisfaction.
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CHEN, PING TSUN, and 陳炳村. "Financial Distress Risk，Technical indicators， and Stock Returns." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/02555929495502563372.
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碩士東海大學
管理碩士在職專班
97
This study attempts to detect (1) the probability of financial distress of public companies and (2) the impact of financial distress on their future stock returns. In contrast to prior studies using financial ratios, I add a technical rule of stock price reaching historical minimum to logistic regressions. Using a sample of all Taiwanese companies during 1999-2006, I find that the technical rule has incremental explanatory power on future financial distress, indicating that past stock prices help to forecast corporate bankruptcy. I then separate companies evenly into five groups according to their distress probabilities and examine their 3-, 6-, and 9-month stock returns following the announcement day of financial reports. The result shows that distress probabilities can predict future 3- and 6-month returns, implying that firm-specific risk is related to stock price performance.
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rong, huang shuen, and 黃舜容. "Predicting Financial Distress for Merton's Credit Risk Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/39839533533542941930.
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碩士國立高雄應用科技大學
金融資訊研究所
97
Credit Risk has been the great concern in the financial market. In this thesis we first use the discriminate analysis based on accounting data,the model chooses five financial ratios that cover the corporate operation and financial situation. They are earnings per share, operating cash flow to total debt, equity substantial growth rate,and average days to accounts receivable（totally five variables）. The second, we try to combine this financial accounting analysis that we so called Local Z-Score Model and Merton model into a Hybrid model of credit risk measurement. Then, we also add three factors of overall economic：economical growth rate、unemployment rate、inflation rate to see how the overall economic variables can predict financial distress。 We totally use nine predicting variables to establish three models to analysis the effectiveness in predicting financial distress of corporation. The purpose of this study is, therefore, to improve traditional failure prediction models by proposing an integrated model that incorporates both accounting and market credit information. The empirical results show that all of these three models have good significant in predictive power.
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Peng, Chih-Yu, and 彭至宇. "A Investigation of Corporate Risk-taking in Financial Distress." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/s542pj.
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碩士銘傳大學
會計學系碩士班
95
This study was an empirical investigation of the relationship between corporate risk-taking and ownership structure using two size and industry matched samples of financially distressed firms and financially healthy firms. Data were gathered from Taiwan’s listed firms during 2005 Interest coverage ratio was used to discriminate between financially distressed firms and financially healthy firms. Furthermore, this study applies liner regression analyze the data. Results were as follows(1): In financially distressed firms, the insider ownership were found to be statistically significant for corporate risk-taking.(2)the blockholder equity ownership on corporate risk-taking were significant negative.(3)in financially distressed, the statistical results on institutional ownership which was consistent with conflict of interest hypothesis.(4) The board size was also found to be significant negative for corporate risk-taking.(5) The statistical results indicate corporate risk taking was insignificantly as controlling shareholder’s seat rights deviate from cash flow rights.(6) the positive association between growth and risk-taking in both samples. In the financially distressed ,the low and high growth variables positively and significantly affect risk-taking. And, in financial distress, high growth firms have fewer tendencies to take risk than low growth firms.(7) Board of direct also acting as mangers was found to be statistical significant.
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Lou, Yung-I., and 樓雍儀. "The Risk Factors of Fraudulent Financial Statements and their Subsequent Impacts on Financial Distress." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/46128377024538584482.
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博士國立成功大學
會計學系碩博士班
97
This research examines risk factors of the fraud triangle, core of all fraud auditing standards, for assessing likelihood of fraudulent financial reporting. And this study applies discrete-time survival analysis (DTSA) to examine the influence of fraudulent statements disclosure on the probability of financial distress not only in the initial period subsequent to disclosure, but future periods as well. Significant variables, including analyst’s forecast error, debt ratio, directors’ and supervisors’ stock pledged ratio, percentage of sales related party transaction, number of historical restatements, and number of auditor switch, belong to pressure/incentive, opportunity and attitude/rationalization. Results indicate fraudulent reporting positively correlated to one of the following conditions: more financial pressure of a firm or supervisor of a firm, higher percentage of complex transactions of a firm, more questionable integrity of a firm’s managers, or more deterioration in relation between a firm and its auditor. A simple logistic model based on examples of fraud risk factors of ISA 240 and SAS 99 gauges the likelihood of fraudulent financial reporting and can benefit practitioners. Evidence indicates DTSA is superior to logistic regression and extends a richer depiction of the probability after a first-time fraudulent statement disclosure. After fraudulent statements disclosure, 24% of the reporting firms experienced financial distress in Year 1, with the hazard function declines progressively in subsequent years. This study find total liability to total assets (LEV), net income to total assets (NITA), directors and supervisors’ stock pledged ratio (PLEDGE), and CPA (Certified Public Accountant) change (△CPA) are definitely linked to financial distress probability (p-value <0.05). A DTSA model not only includes financial ratios, but also considers corporate governance variables to produce more accurate classification than those of alternative models.
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Chang, Chun-Wei, and 張浚洧. "Association of Corporate Social Responsibility Award and Corporate Financial Distress Risk." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/a86uj6.
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碩士亞洲大學
財務金融學系
107
The objective of this thesis is to investigate the relationship between the performance of corporate social responsibility (CSR) measured by the score (and its sub-indices including corporate governance, enterprise promise, social participation and environmental sustainability) of CSR awarded companies and the firms’ distress risk. Although firms devote to CSR activities could enhance their reputation and images, it remains a puzzle whether CSR investment is helpful to firms’ financial sustainability. Firms increase CSR investment could build more trust from their stakeholders and hence reduce firms’ distress risk, however, increasing operation costs could also leverage their risk of distress. Therefore, the effect of CSR investment on firm financial risk needs further studies. This thesis adopts Taiwan listed and OTC companies which win CSR awards provided by Common Wealth Magazine from 2007 to 2018 as a research sample. I investigate the association of CSR score and its sub-index scores with firm financial risk measured by Altman Z score and further analyze the relationship during 2007-2008 financial crisis. The results show that CSR and its sub-indices scores of awarded listed and OTC companies have no relation with their distress risks. Only the sample of median size enterprises display a slightly negative relationship. This implies that better CSR performance has no significant relation with firm financial robustness. However, firms engaging in social participation and environmental sustainability better have more robust financial performance during the financial crisis comparing with non-financial crisis period. To sum up, enterprises put more emphasis on sustainability in CSR win stakeholders’ trust and hence are more likely to get past financial crisis.
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Zou, Pei-jyun, and 鄒佩君. "Financial Distress Risk and Stock Returns: Evidence from the Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/97138349319855293683.
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碩士國立中山大學
財務管理學系研究所
98
This research mainly tries to confirm the relationship between distress risk and stock returns in the Taiwan market. According to three factor theory raised by Fama-French (1992), the higher book-to-market ratio brings higher stock returns because of the higher distress risk, and also mentioned about the three significant factors in explaining expected stock return: risk, firm size, and book-to-market ratio (here replace it with price-to-book ratio). There are many studies had proved that high risk accompanies high expected stock return, but some other obtained the contrary outcome. It still depends on different characteristics of enterprises, industries, and countries. Following other researches, this paper use “Z-Score” bankruptcy prediction model as the proxy of distress risk, and take the subsequent realized stock returns of the distress publicly-traded firms as a proxy of systematic risk. As it may be doubted of using Z-Score in the Taiwan stock market, this research add “TCRI” to compare with. “TCRI” is the credit rating score raised by Taiwan Economic Journal (TEJ). Because of the same results of rating on sample companies, it supported the application of Z-Score in Taiwan stock market. In analyzing the relationship between distress risk and stock return, this research find that firm size, distress risk and price-to-book ratio effect are significant enough to explain the expected stock return,(although distress risk and price-to-book ratio are only significant in Y-3) similar to the findings of Fazilah Samad (2009) et al. This research also found that the theoretical expectation of the size effect on distress risk does not hold in the case of the Taiwan distress publicly-traded firms, but price-to-market ratio (PB ratio) does. Unlike the findings of Fazilah Samad (2009) et al. and Griffin and Lemmon (2002), the outcome shows that there is a significant inverse relationship between PB ratio and distress risk, similar to the theory and our original expectation. It directly proved that the lower PB ratio brings higher distress risk in Taiwan market, but inconclusive to deduce that it also brings higher stock return. Meanwhile, this research tries to find out if there is a difference between distress companies and most distress companies. Besides of firm size, there is no significant difference between these two groups, and they are similar as it was closer to distress happened. Although there is not significant relationship between three factors and stock return, this study reveals the decreasing trend of financial performance among those distress firms before facing distress circumstances. It shows again that Z-Score is suitable for Taiwan market although our sample companies including manufacturing and non-manufacturing companies.
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Ma, Li-Yu, and 馬儷砡. "A Financial Distress Prediction Approach to Assessing the Risk of Management Fraud." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/02346987476228373362.
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Tsai, Kun-hung, and 蔡坤宏. "A study of Capital Asset Pricing Model-Three Factors Model、Financial Distress Risk." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/63743122855658399939.
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碩士國立雲林科技大學
財務金融系碩士班
95
Stock is the most popular instrument for investors. In order to explain stock returns, there are many scholars issue their studies about stock returns. The object of this study is to explain the relationship between Taiwan stock monthly returns and the explanation power of factors model from 1991 to 2005. We use Three Factors Model and Four Factors Model ( three factors plus financial distress risk ) individually in the framework. In this paper, we find that factors model have excellent ability to explain Taiwan stock monthly returns. In addition, Four Factors Model is better than Three Factors model.
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Chai, Ke-hsin, and 柴可欣. "AN APPLICATION OF THE VALUE AT RISK (VaR) TO COMPANY'S FINANCIAL DISTRESS PREDICTION." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/28402781972706647953.
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碩士南華大學
財務管理研究所
94
A company''s operational performance usually affects the loan decision-making of it''s funding bank and the anticipation of investors. Because the information''s asymmetry causes the exterior persons unable to survey the actual situation of a business,therefore,for assisting them to get familiar with the companies''management,and the profit of the investment, a precautionary early finance-warning model with the ability to forecast must to be established. Among those past studies on companyies'' financial distress prediction models,the input parameters considered are only limited to general financial or non-financial factors. This study establishes a new early warning system by utilizing a new variable,Value at Risk (VaR), into the traditional Logit and Back-Propagation Network (BPN) models. The study obtained 35 distressed firms and 35 regular firms in the same industry and the time span is from 2001 to 2005. The result shows that the prediction ability is indeed improved by using the VaR as well as financial variables in company''s financial distress prediction models. Furthermore,the application of VaR offers earlier financial crisis prediction while compared to the use of the opinions of certified public accountants.
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Castenholz, Anna Maria. "The effect of positive CSR engagement on firm’s financial distress risk in Europe." Master's thesis, 2021. http://hdl.handle.net/10400.14/35341.
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This study examines the influence of Corporate Social Responsibility on the financial distress risk of a company. The Environmental, Social and Governance (ESG) factors are employed as a proxy for CSR, while three different measures are applied to assess financial distress levels, namely Altman‘s Z-Score, Ohlson’s O-Score and Shumway’s Hazard Model. After analyzing a European dataset of 1097 publicly listed firms covering the period from 2002-2018, the results suggest that positive CSR engagement reduces the likelihood of falling into costly financial distress, whilst the findings are even more profess for non-crisis periods as well as environmentally sensitive industries. The results are robust to differences in reporting dates, prior levels of financial distress and reverse causality. Collectively, the findings are in line with the stakeholder view of CSR, suggesting that improving firm-stakeholder relationships decreases a firm’s financial distress risk.Este estudo examina a influência da Responsabilidade Social Corporativa (RSC) no risco de crise financeira de uma empresa. Os fatores ambientais, sociais e de governação (ESG) são utilizados como substitutos para a RSC, enquanto três medidas diferentes são aplicadas para avaliar os níveis de dificuldades financeiras, nomeadamente o Z-Score da Altman, o O-Score da Ohlson e o Modelo de Risco de Shumway. Após análise de um conjunto de dados europeu de 1097 empresas cotadas na bolsa, abrangendo o período de 2002-2018, os resultados sugerem que o envolvimento positivo em termos de RSC reduz a probabilidade de cair em situações de dificuldades financeiras dispendiosas, enquanto que os resultados são ainda mais professos para períodos que não sejam de crise, bem como para indústrias sensíveis do ponto de vista ambiental. Os resultados são robustos às diferenças nas datas de notificação, níveis anteriores de dificuldades financeiras e causalidade inversa. Coletivamente, os resultados estão de acordo com a visão de RSC das partes interessadas, sugerindo que a melhoria das relações entre as partes interessadas diminui o risco de angústia financeira de uma empresa.
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Chen, Yu-Dan, and 陳禹丹. "The Effect of Default Risk on Equity Liquidity When Expected Financial Distress Costs are High." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/59234783562037825954.
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碩士國立交通大學
財務金融研究所
93
This dissertation is to demonstrate the relation between default risk and equity liquidity. Market makers will widen spreads if the trading proportion of informed traders increases and uninformed traders exit market as firm’s financial performance deteriorates. Increased default probability usually concealed by managers will enlarge asymmetric information costs and thus market makers offer greater bid-ask spreads to protect their profit. Default risk measured by Merton’s option pricing model to investigate whether firms with financial distress possess higher bid-ask spreads. Furthermore, we take the panel threshold regression model to examine the possible non-linear relationship between default risk and equity liquidity. The result shows default risk observably has more significant and stronger relation to equity liquidity in the corporate scandal disaster period than usual time. We infer that results in corporate scandal and listed company bankruptcy events always lead to a chain reaction. The happenings of firm’s bankrupt and enormous dump of prices are generally clustered, in particular for the firms with deteriorating financial condition.
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Shu, Hung-Chieh, and 許弘杰. "The Use of Asset Pricing Models and The Forecast of Investment Risk on Financial Distress Firms." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/94841097974766390926.
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Chen, Bo-Lin, and 陳柏霖. "Prediction of Corporate Financial Distress and Credit Risk Index Using Topic Model and Deep Neural Network." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/2ke558.
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碩士國立臺灣科技大學
資訊管理系
107
Due to the global economic downturn, many companies have faced financial distress, leading to the crisis of bankruptcy. Some of the distress companies will lend to banks in order to maintain sufficient cash flow. However, if they have insufficient solvency, they may still face bankruptcy, which will make it impossible for the company to repay the bank. To avoid this situation, this paper aims at predicting companies’ financial distress on several critical financial variables and a self-defined feature: risk score, a sentiment feature that uses Latent Dirichlet allocation (LDA) topic modeling to determine the potential risks implied in news articles. We first use text mining algorithm to preprocess our sentiment data, select important keywords by LDA and generate 6 risk corpus. With financial and news data, we then construct 2 prediction model. One is TCRI (Taiwan Corporate Credit Risk Index) prediction model, where TCRI is an iconic index that over 90% of banks refer to TCRI for credit lending in Taiwan. The other is the financial distress prediction model. As a crucial factor, TCRI will be one of the features of the financial distress prediction model. Both these 2 models use deep neural network. We conduct several times to find the best parameter settings. In the first TCRI prediction model, we compare 2 versions of prediction mode: TCRI with risk score and TCRI without risk score. The former model achieves over 84% in accuracy and higher than the latter model. In the second financial distress prediction model, we compare 2 versions of prediction mode: financial distress prediction with TCRI and without TCRI and 4% accuracy more than the case without TCRI. The result shows that TCRI plays an important role with over 97% accuracy in average. We conclude that text data such as news article can help disclose the potential signs of a company’s crisis, getting a better result. Also, a credible indicator, such as TCRI, can improve the accuracy of financial distress prediction.
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Mike, Fu, and 傅德麟. "Using Hybrids of Merton and traditional credit risk model to predict financial distress of Taiwan listed companies." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/15011882746456987383.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
96
In this paper we combine traditional default forecasting model based on financial accounting analysis and Merton model into a Hybrid model of credit risk measurement. This paper investigates whether the Hybrid model can boost predictability of traditional default forecasting model. At first we explore the predictability of traditional default forecasting model based on financial accounting information. Then, we refer to the previous research paper to consider some variables about corporate governance in the traditional forecasting model. Finally, plugging Merton model into this traditional default forecasting model, we explore the implement and application of this Hybrid model in all listed companies in Taiwan. Our research can provide domestic banks with some useful suggestion in development of credit model. Our observations include 85 listed companies with financial distress versus 85 non-defaulted ones during the period of 2000~2005 (we exclude companies with financial distress in financial services industry). We employ the Logistic regression and Kolmogorov-Smirnov test to investigate the relationship of financial accounting variables, corporate governance variables, default probability in Merton model and the probability of business financial distress. Empirical results show that quick ratio, operating margin, accounting receivable turnover rate, inventory turnover rate and ownership of directors and supervisors have negative significantly link with possibility of business financial distress; debt ratio and pledged ratio of directors and supervisor have positive significantly link with possibility of business financial distress. We also find information is much more close to the time when financial distress happened, the accuracy of traditional default forecasting model is enhanced. In addition, the Hybrid model which combine Merton model is superior to traditional default forecasting model in accuracy of predictability. This framework can set a good benchmark for financial institution in Taiwan to set up a forecasting model of credit risk. As a result, we suggest they can combine the Merton model with financial accounting information into a complete forecasting warning model of credit risk. Thanks to the creation of immediate information in Merton model, it can help enterprises, who only integrate financial accounting information, to manage credit risk.
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Lo, Ching-Wen, and 羅靜雯. "Early Warning System for Corporate Financial Distress: A Comparison of the Cash-Flow-at-Risk and Merton Models." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/12371599424080127428.
Full textAbstract:
碩士東吳大學
國際經營與貿易學系
99
During the period of the financial crisis, many companies faced an uncertain cash flow. This hardship is the reason why they could not pay their debt on time and thus raising their possibility of default. Therefore, the purpose of our study is to discuss the relationship between cash flow risk and corporate financial distress. Our sample consists of all the publically listed non-financial companies extracted from Taiwan Stock Exchange (TWSE). We use Cash-Flow-at-Risk (CFaR) model to estimate company’s cash flow risk and also use Merton’s (1974) model to calculate a company’s probability of default for comparison with CFaR model. The empirical results show that the CFaR model has an accuracy which can accurately estimate corporate CFaR. In addition, in our in-sample, CFaR model is an excellent model which has a high predictive accuracy capability and is capable of being an early warning system for corporate financial distress.
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Santos, Paulo Levi Norberto dos. "Corporate fraud and litigation risk in financial distress : an empirical study on SEC’s enforcements against public traded companies after the Financial Crisis of 2007-08." Master's thesis, 2018. http://hdl.handle.net/10400.14/26331.
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The financial crisis of 2007-08 puts in question the capability of market regulators to act on behalf of investors to guarantee that the information available is accurate and reliable. In this study, we research 45 firms that have been enforced by the SEC between 2010-2013 for alleged corporate misconduct. We find that fraud firms experience non-significant negative abnormal returns prior to SEC’s announcement, however after the event day, the abnormal returns are positive. We also find significant increases in the mean residuals bid-ask spreads, meaning that after the event, fraud firms became riskier, leading investors to demand higher returns which increases eventual financial distress costs. Finally, we study the governance characteristics for 32 fraud firms and 32 control firms (non-enforced) one year prior to SEC’s enforcement and the following four years (2009-2016) finding that fraud firms have slightly poorer governance. Outside directors dominate the board of directors for both groups, fraud firms have larger boards and more board meetings. Moreover, the majority of CEOs are also Chairman of the board for both groups, blockownership increases and institutional ownership decreases for both the groups and director’s compensation is affected by regulators activity, as it can affect future returns.
Our results show that fraud firms are identical to non-fraud firms, financial crime has become more complexed and regulators are slow to identify and judge corporate misconduct. On the other hand, fraud firms are quicker to make the proper adjustments in their structures, becoming more identical to non-fraud firms.A crise financeira de 2007-08 questiona a capacidade das entidades reguladoras de actuar em prol dos investidores de forma a garantir informação credível e confiável. Investigámos 45 empresas processadas pela SEC entre 2010 e 2013 por gestão danosa. Descobrimos que as empresas fraudulentas registam retornos anormais negativos antes da divulgação da SEC, no entanto depois do dia do anúncio, as empresas registam retornos anormais positivos. Também descobrimos mudanças significativas nas médias dos residuals bid-ask spreads, significando que o risco empresarial aumenta, levando os investidores a requerer taxas de retorno maiores para os seus investimentos, criando possiveis dificuldades financeiras no futuro. Finalmente, estudámos as características de governo para 32 empresas fraudulentas e 32 empresas de controle (sem processos judiciais) um ano antes da divulgação da SEC e quatro anos aseguir (2009 a 2016) descobrindo que as empresas fraudulentas possuem pior governo. Directores independentes dominam o conselho administrativo para ambos os grupos, empresas fraudulentas têm conselhos maiores e mais reuniões. Além disso, a maioria dos CEOs são também presidentes do conselho, grandes acionistas aumentam e acionistas institucionais diminuem a sua participação para ambos os grupos e a compensação dos directores é afectada pelas acções judiciais dos reguladores, pois afectam retornos futuros. Os nossos resultados evidênciam que as empresas fraudulentas e não fraudulentas são idênticas, pois os crimes financeiros estão mais complexos e os reguladores são lentos a actuar. Por outro lado, as empresas fraudulentas fazem ajustes rapidamente à sua estrutura de forma a ficarem mais parecidas com as empresas não fraudulentas.
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Tóthová, Simona. "Impacts of European Bailout Programs on SMEs Distress rate." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-347235.
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Master Thesis - Simona Tothova Abstract This thesis empirically investigates impact of countries' bailouts on probability of SME segment distress. The impact is examined by multi-period logit model where dependent variable is distress rate and explanatory variables includes self-constructed bailout variable, several binary predictors and firm-specific and macroeconomic control variables. The hypotheses are tested on dataset for period from 2005 to 2013 including observations from seven European countries which received financial assistance program (bailout) from Troika. Every bailout from Troika comes with the requirement for austerity measures and our results suggest that impact of bailouts on SMEs probability of distress are depended on the success of application in individual countries and the impacts are more positive in non euro-zone countries. Keywords Bailout, Financial crisis, Credit risk, SME segment, Distress rate Author's e-mail tothova.simona@gmail.com Supervisor's e-mail rado.parrak@gmail.com
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CHEN, SHU-YUAN, and 陳淑媛. "The Application on Bank Credit Decisions Using Credit Risk Rating and Financial Distress Prediction Model Under the New Basel Capital Accord." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/34689338806942898329.
Full textAbstract:
碩士德明財經科技大學
資訊科技與管理研究所
100
The global financial tsunami in late 2008, the Zhaohuo and triggered a series of knock-on effect of financial derivatives in the foreseeable future will show negative growth, the bank will return to the simple financial products, such as: mortgage, car loan, credit. According to the statistics of the Bank for International Settlements, the business risks faced by banks to the highest proportion of credit risk, approximately about 60% of the pros and cons of credit risk management for banks affect greatly. In this study, to follow the norms of the internal ratings-based approach to credit risk in the new Basel Capital Accord (Basel II), radial basis function types of neural network (RBFN) to build two models. The results show, the credit risk rating model can be estimated counterparty credit ratings and breach of contract machine rate; financial distress prediction model overall prediction rate of 92.86%, display model on the early warning can force have not wrong the validity of standards, By this multi-dimensional level credit risk analysis of the future as the bank is lending to a counterparty basis for decision making. Artificial intelligence methods in recent years widely used in various fields, self-organizing map network (Self-Organising Map, SOM) and K average cluster method (K-Means) with a strong style segregation and pattern recognition abilities. SOM and K-Means, this study also applied to bank credit review, study results showed that the K-Means in the performance of the overall difference between the rate of a single financial variables and a number of financial variables than the SOM good; SOM in a single financial variables and a number of financial variables individual difference between the rate is better than the K-Means, Therefore, the application of the cluster approach, the K-Means more suitable for the classification of credit ratings, the SOM can be used in a number of financial variables of default risk warning. Further likely to default on the company's risk warning to a two-stage SOM method, results show that in the first stage to distinguish the various risk groups, risk maps in the second stage to effectively distinguish between normal and crisis company, thus assist decision makers in determining when the objective reference.
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Chen, Yu-Ching, and 陳郁菁. "A Study on Risk, Return and Duration of the Listed Companies ofChina：An Application of Financial Distress PredictionModel and Markov Absorbing Chain." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/77071389495376831055.
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碩士國立高雄第一科技大學
風險管理與保險所
94
Abstract At first, this paper uses logit regression to construct a financial distress prediction model in the stock market of China. The research samples are the companies of the A-share in the stock market of Shanghai and Shenzhen at 2003. The empirical result finding that there are five explanatory variables significantly, and uses special treatment companies of 2004 and 2005 to test predictable ability of model. By the model, the correct classified rates of 2004 and 2005 are 84.38% and 96.29% respectively. The secondly, using the distress probability of logit regression model estimated to analyze expected stay time of ST companies that before to rescind special treatment or to drop out from the stock market. The thirdly, the research duration is from 1998 to 2004. The portfolios of using risk, market value, B/M of the companies rank and also discuss the relationship between the portfolios and return of the companies. The result finding that the portfolios of high risk and small market value have high returns in bull market and have low returns in bear market. By this research, let investors find out about the risk of the China stock market, and let investors to control risk even more.
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Lai, Chi-Rou, and 賴季柔. "The Prediction of Risky Enterprise Distress — The Comparison of Cash Management Model, Financial Ratio Model, Cash Flow Model, And Mixed Mode." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/91474072838356204036.
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碩士輔仁大學
管理學研究所
88
Thesis topic︰ The Prediction of Risky Enterprise Distress — pages ︰73 The Comparison of Cash Management Model, Financial Ratio Model, Cash Flow Model, And Mixed Model University (college)︰Management Graduate School of Fu-Jen University Graduate time︰88 academic year, second semester, Master academic degrees abstract Graduate student︰Chi-Rou Lai Advice professor︰Dr. Kuei-Yen Wu Abstract︰ Because if being able to prefigure out the sign of worse enterprise operation, the managed authorities can take some efficient actions properly to improve and avoid the worse managed status going on. In a word, a warning model of enterprise financial distress with predictive function is not only showing out the warning before risky distress happened for enterprise but also good for investors, the credit of banks, and control of security authorities. The research tries to create a cash management model, which is according to the companies in public that suffering to be the list for full delivery stock, stock departing from market, or temporary ceasing operation stock as the samples during 1990- 1999. In addition, it’s based on initial time of the falling stocks’ price to be the one of failure point, and also being taken “failure point” to define the time suffering from full delivery stock, stock departing from market, or temporary ceasing operation stock in the traditional research as another one. Then, test the accurate rate of classification for cash management model under these two kinds of failure point. At the same time, make the compare and contrast with financial rate model, cash flow model, and mixed model. At last, test whether if business condition factor affect the accurate rate of model classification or not. The following statement is for the results of this research. 1. As for the elastic respect of cash balance to the transaction volume, Distress Company is less than well-organized one obviously under the failure point according to the huge falling stocks’ price. But, it has no found like that for the elastic respect of cash balance rate to interest rate. 2.The average number of the dynamic adjusted rate for Distress Company is higher than well-organized one obviously if taking huge falling stocks’ price as the failure point. 3. The accurate rate of classification is higher than static one obviously for dynamic cash management model. 4.Under two kinds of failure points above-mentioned, it’s better than the model without business condition factor as to the accurate rate of classification in the cash management model with business condition factor. 5.Comparing with each model︰ （1）Comparison among financial ratio model, cash flow model, and cash management model For single model, the accurate rate of classification in dynamic cash management model isn’t better than that in traditional cash flow model or financial ratio model. （2）Comparison between mixed and single model It’s better than the rate in single model as to the accurate rate of classification in mixed model by the definition for two kinds of failure points. And added cash management variables in the warning model of enterprise distress really contributes to the accurate rate of prediction indeed. If there is business condition factor in mixed model, the accurate rate of classification will be better than that not included business condition factor.
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Κωνσταντάρας, Κωνσταντίνος. "Χρήση μεθόδων πολυπαραγοντικής ανάλυσης (multifactor) για τον καθορισμό του ρίσκου του επενδυτικού σε δάνεια χαρτοφυλακίου των ελληνικών τραπεζών." Thesis, 2009. http://nemertes.lis.upatras.gr/jspui/handle/10889/1768.
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Η έρευνά μας συμβάλει στην αντιμετώπιση του πιστοληπτικού κινδύνου της εισηγμένης σε ενιαία μορφή, συνυπολογιζομένης της μη-γραμμικής υποτιθέμενης σχέσης μεταξύ κινδύνου και χρηματιστηριακής αξίας της μετοχής, μιας και η ενδεχόμενη θέση της σε Επιτήρηση/Αναστολή αυξάνει δραματικά τις πιστοληπτικές επιπτώσεις στους πιστωτές, ιδιαίτερα σε όσους κατέχουν μετοχικό ενέχυρο, δημιουργώντας μια μη-γραμμική σχέση μεταξύ αξίας δανείων και αξίας μετοχής. Συνέπεια λοιπόν των επιταγών της Βασιλείας ΙΙ είναι και η κατηγοριοποίηση που διενεργούμε εμείς στο δείγμα των επιχειρήσεων που έχουν εισηγμένη μετοχή στο χρηματιστήριο, μιας και αναμένουμε να διαφοροποιείται ο κίνδυνος πτώχευσης και κίνδυνος από την έκθεση σε κίνδυνο και ζημιά από πτώχευση στην περίπτωση θέσης των μετοχών σε αναστολή ή Επιτήρηση. Πιστεύουμε ότι με αυτόν τον τρόπο συνεισφέρουμε στην εκτίμηση του κινδύνου που πηγάζει από την συστηματική αυτή εξάρτηση της εταιρίας και του πιστοληπτικού της κινδύνου από την έκθεση των μετοχών της στο χρηματιστήριο.Our research contributes in the credit risk estimation for a listed company in an integrated framework, incorportating the assumed non-linear relationship between credit risk and stock-market performance deriving from a potential Stock Exchange trading Suspension/Supervision which modifies dramatically counterparty creditworthness and at the same time stock collateral held in a non-linear fashion. As a result of Basle II Accord's integrated credit risk estimation approach, we categorize the sample of listed enterprises according to their modified credit risk based on the potential Stock Exchange Supervision/Suspension. Our overall methodology of credit risk estimation stemming from a systematic dependence of credit and stock collateral risk contributes to the overall risk assesment of listed companies.
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Lee, Chieh-Sun, and 李潔蓀. "A Study on the Relationships among Business Management Potency, Debt-Paying Ability and Operating Risk by Viewpoints of the Financial Analysis： A case of Main publicly-listed Distress Firms in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/18427361787239536661.
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碩士清雲科技大學
國際企業管理研究所
98
The research is to analyze the interrelationships between business performance and operational risk through its debt-paying ability. Due to the financial data may not easily and directly be employed to investigate the interrelationships among business management potency, liquidity and operating risk, this study tries to detect their interactions by the relative theories and literatures .Hopefully, the theoretically analytical results would provide useful information for empirical study in the future. This study uses main publicly-listed distress companies during 1994 and 1999 as samples to analyze the performance, debt-paying ability and operating risk to develop equation into model to avoid single equation that creates inaccuracy. In selecting the variable, integrating the relative variables from the literatures into model to avoid the potential variables to lost. The result proves the potential risk, insufficient liquidity, during the business operation. If the public information is correct and real, the investor and finance company should be able to understand from financial report. Financial structure, performance, liquidity and profitability have closed link with corporation operation. Based on the experience and result, debt-paying ability should play the important role for financial institution to detect whither the business management potency of a firm to manage the operating risk.
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Shu-Ping, Shih, and 施淑萍. "Financial distress predictive model and the financial characteristic of financial distress companies." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/00408871848432497327.
Full textAbstract:
碩士東吳大學
會計學系
88
In order to found financial distress predictive model for banks and financial companies, the study establishes a predictive model of financial distress by expanding the samples and the definition of financial distress of previous studies. The sample separates them into two parts. One establishes financial distress predictive model for stocks companies listed in Taiwan Stock Exchange Corporation. The other is for banking institutions financing over thirty million dollars for public-trade segments. However, judging from the definition of financial distress, the meaning of financial distress company lies on the stock companies listed in Taiwan stock exchange corporations whose stocks are required to be full delivery, temporary suspend and stopping suspension From the appearance of the banking loan public-traded market, the definition of the financial distress firms indicates that the receivables of these firms become overdue, on demand, and bad debt. Using the matched pairs designed, the sample of financial distress firms and healthy firms were drawn in the same industry and approximately the same asset size and fiscal year. Furthermore, this study also discusses the financial characteristic of financial distress companies. In addition, the companies with financial distress are discussed in the study. From the viewpoint of variable of financial distress predictive model, seven financial rations practiced by banks are selected in this study. Moreover, audit opinions about going-concern or significant uncertain and cash flow ratio are also included in the study. The study includes thirty financial distress firms and fifty-five healthy firms in listed market from 1995 to 1999. It also contains sixty companies whose receivables become overdue, on demand and bad debt, related sixty healthy firms, forty-one firms whose receivables become bad debt, and related forty-one healthy firms from 1995 to1998. The future developments of these financial distress firms from 1993 to 1997 are discussed in the study. In all samples, using the test of mean difference population of two groups, the financial distress firms and healthy firms have significant difference on the firms’ ability to pay interests and the cash flow of financial activity. In the alarm logistic model of financial distress, the cash flow from financial activity is as an important predictor. These both imply cash flow from financial activity can predict the probability of firm to appear financial distress or the latter financial situation of the financial distress firms. In addition, in listed company sample finds the possibility of financial distress is positively associated with the CPA’s opinion about going-concern or significant uncertainly. And the model’s prediction with CPA’s opinion is more correct than the one without CPA opinion in the listed market, but, however, the result is not founded in the public-traded firms with default or bad debt. The percentage of correctly predicted of the financial characteristic of financial distress companies of model is 62.84%. The prediction is more correct with the close to the year of financial distress excluding the traded-public firms with default. The percentages of correctly classified firm in the listed firms, and the public-traded firms incurred default, in the public- traded firms incurred bad debt is 67.69%-95.08%, 58.43%-80%, 57.14%-78.57%, respectively.
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Chen, Chin-Tsun, and 陳進村. "Analysis of Financial Distress." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/33122709897442072312.
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碩士國立中興大學
高階經理人碩士在職專班
94
This study employs Ohlson’s (1980) logit model to detect the probabilities of financial distress of Taiwanese public companies. In addition to financial variables traditionally used in the literature, corporate governance factors are incorporated into the logit model. Also I separate the sample of distressed companies into two groups: insufficient cash flows and human manipulations. The results show that adding corporate governance factors can increase the explanatory power of financial distress. It implies that distressed companies do have serious agency problems, in which major shareholders expropriate wealth from minor shareholders. Furthermore, I find that financial variables have a stronger prediction on the distress probabilities of the group with insufficient cash flows and corporate governance factors can better explain the group of human manipulations.
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Wen, Tsou Hui, and 鄒惠雯. "Financial Distress Prediction Model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/13836405838104904375.
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碩士健行科技大學
國際企業管理研究所
101
In this study, logical construct financial distress logistic regression model for the study period from 2007 to 2011, the Hong Kong enterprises as the research object, assess Hong Kong''s corporate financial variables on the early warning model predictive ability; empirical results show that the financial ratio variables debt and total asset turnover ratio greater impact on the enterprise; insufficient if the company''s profitability, debt ratio is higher, but will cause cash flow problems of the situation, the enterprise is the higher the likelihood that the financial crisis. In this study, Logica logistic regression model prediction accuracy, the closer point in time of financial distress, the higher the predictive ability of the model overall accuracy rate of 76.6%.
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chi-hau, Teng, and 鄧志豪. "using divided samples to detect financial-distress company--new financial distress forcasting model." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/49893131152954942484.
Full textAbstract:
碩士國立政治大學
金融學系
88
This paper choose 30 financial - distress companies in Taiwan stock market during Asian financial crisis and divide them into four samples－（1）bad performance in main business（2）too much investment（3）buying stocks by co-company（4）cheat by hierarchy. We compare the financial - distress forecasting model''s distinction ability , using correct rate, between divided and undivided samples. The result is that financial - distress forecasting model from divided samples have better performance in correct rate. So using divided samples to build financial-distress forecasting model is meaningful. At the mean time, we use F test for testing the hypothesis that the distressed company''s mean and normal company''s mean is the same. There are four financial ratios which are significant in the four samples, they are (1)the ratio of adaptable cash flow、(2)the ratio of extra-business expense、(3)EPS及(4)debt ratio。