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Finansal başarısızlığın tahmini: diskriminant ve lojistik regresyon analizlerinin karşılaştırılması

Year 2009, Volume: 38 Issue: 1, 47 - 63, 14.10.2009

Bengü Vuran

Abstract

Bu çalışma; 1997-2007 döneminde halka açık ve halka kapalı toplam 122 işletmeden oluşan örneklem ile iki istatistiksel yöntem kullanarak işletmelerin finansal başarısızlığı bir ve iki yıl öncesinden tahmin etmeye ve finansal başarısızlığın öngörülmesinde yararlı olan finansal oranları ortaya çıkarmaya çalışmaktadır. Çalışmada Diskriminant ve Lojistik Regresyon Analizleri uygulanmış ve modellerin tahmin güçleri karşılaştırılmıştır. Sonuçlar; finansal başarısızlığa uğramış işletmelerin çoğunun finansal sıkıntı belirtilerini başarısızlıktan çok önce gösterdiklerine ve çalışmada kullanılan yöntemlerin arasında tahmin gücü ve değişken seçimi konusunda istatistiki açıdan önemli fark olmadığına işaret etmektedir.

Keywords

İşletmelerde Finansal Başarısızlık Başarısızlık Tahmini Diskriminant Analizi Lojistik Regresyon Analizi Finansal Sıkıntı

References

  • M.Casey, V. McGee, C. Stinkey, Discriminating Between Reorganized and Liquidated Firms in Bankruptcy, The Accounting Review, 249- 262, April 1986
  • P.J.Fitz Patrick, A Comparison of Ratios of Successful Industrial Enterprises with Those of Failed Firms, Certified Public Accountant,656- 662, December 1932.
  • R.F.Smith, H.A.Winakor, Changes in the Financial Structure of Unsuccessful Industrial Corporations”, The Accounting Review, Vol. 11,No.1, 87- 88, March 1936.
  • C.Merwin, Financing Small Corporations in Five Manufacturing Industries, National Bureau of Economic Research,1926- 36, 1942.
  • W.H. Beaver, Financial Ratios as Predictors of Failure, Emprical Research in Accounting-Selected Studies, Journal of Accounting Research, 71- 111, 1967.
  • E.I. Altman, “Financial Ratios, Discriminant Analysis and Prediction of Corporate Failure”, Journal of Finance, Vol.23, No:4,589- 609, September 1968.
  • E.Deakin, A Discriminant Analysis of Predictors of Business Failure, Journal of Accounting Research, Vol. 10, No.1,167- 179, Spring 1972.
  • R.O.Edmister, An Emprical Test of Financial Ratio Analysis for Small Business Failure Prediction”, Journal of Financial and Quantitative Analysis, Vol. 7, No.2,1477- 1493,March
  • M. Blum, Failing Company Discriminant Analysis, Journal of Accounting Research, Vol.12,No.1,1- 25, Spring 1974.
  • R.C.Moyer, Forecasting Financial Failure: Reexamination, Financial Management, Spring, 11- 17,1977.
  • E. Altman, R. Haldeman, P.Narayanan, ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations”, Journal of Banking and Finance,29- 54, June 1977.
  • C. Casey, N. Bartczak, Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions”, Journal of Accounting Researh, Vol.23,No.1,384- 401,Spring A.D.Castanga, Z.P. Matolcsy, Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions, Journal of Accounting Research,384- 401, 1985.
  • M.J. Gombola, M.E. Haskins, J.E.Ketz, D.D.Williams, Cash Flow in Bankruptcy Prediction, Financial Management, 55- 65, 1987.
  • A.Aziz, D.C.Emmanuel and G.H. Lawson, Bankruptcy Prediction-An Investigation of Cash-Flow Based Models”, Journal of Management Studies, c.25,No:5,419- ,September 1988.
  • A.Aziz, G.H. Lawson, Cash Flow Reporting and Financial Distress Models: Testing of Hypotheses, Financal Management, 55- 63, 1989.
  • Y.Collongues, Ratios Financiers et Prevision Des Faillites Des Petites et Moyennes Enterprises, Revue Bank, No.365,963- 970, 1977.
  • J.Conan, M.Holder, Variables Explicatives de Performances et Controle de Gestion Dans Les PMI, These d’Etat, Universite de Paris Dauphine, Paris,1979.
  • I.G.Dambolena,., S.J Khoury, “Ratio Stability and Corporate Failure”, Journal of Finance,1017- 1026, September 1980.
  • H.Y.Izan, Corporate Distress in Australia, Journal of Banking and Finance 8,303- , 1984.
  • B.Micha, analysis of Business Failures in France, Journal of Banking and Finance 8, 291, 1984.
  • H.Friedman, E.I.Altman, D-L.Kao, Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress, The Journal of Finance, Vol. XL, No. 1, 269- , 1985.
  • P.Falbo, Credit Scoring by Enlarged Discriminant Analysis, Omega, Vol.13,No.4, 289, 1991.
  • E.K.Laitinen, Financial Ratios and Different Failure Processes, Journal of Business Finance and Accounting, 18(5),649- 673, 1991.
  • M.Louma, E.K.Laitinen, Survival Analysis as a Tool for Company Failure Prediction, Omega, Vol.19,No.6,673- 678, 1991.
  • J.A. Ohlson, Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, Vo. 18, No.1,109- 131, Spring 1980.
  • C.V.Zavgren, Assessing the Vulnerability to Failure American Industrial Firms, A Logistic Analysis, Journal of Business Finance and Acounting, 12(1),19- 45,1985.
  • M.J. Peel, D.A.Peel, A ultilogit Approach to Predicting Corporate Failure: Some Evidene for the UK Corporate Sector, Omega,309- 318, 1988.
  • K.Keasey, P.McGuiness and H.Short, Multilogit Approach to Predict Corporate Failure, Further Analysis and The Issue of Signal Consistency Omega, Vol.18, No.1,85- , 1990.
  • A.H.L.Lau, A Five-State Financial Distress Prediction Model, Journal of Accounting Research, Vol.25,No.1,127- 138, 1987.
  • P.H.Bahson, J.W.Bartley, The Sensitivity of Failure Prediction Models to Alternative Definitions of Failure, Advances in Accounting, Vol.10,255- 278, 1992.
  • T.J.Ward, “An Emprical Study of Incremental Predictive Ability of Beaver’s Naive Operating Csh Flow MeasurE Using Four-State Ordinal Models of Financial Distress, Journal of Business Finance and Accounting, 547- 561, 1994.
  • T.J.Ward, B.F.Foster, An Emprical Analysis of Thomas’s Financial Accounting Allocation Fallacy Theory in a Financial Distress Context, Accounting and Business Research,137-152, 1996.
  • J.A.Gentry, P.Newbold and D.T.Whitford, Classifying Bankrupt Firms with Funds Flow Components”, Journal of Accounting Research, Vol. 23, No:1, 146- 160,Spring 1985.
  • S.J.Press and S.Wilson, Choosing Between Logistic Regression and Discriminant Analysis, Journal of American Statistical Association, Vol.73, No.364,699- 705, 1978.
  • R.A.Collins, R.D.Green, Statistical Methods for Bankruptcy Forecasting, Journal of Economics and Business 34,349- 354, 1982.
  • M.M. Hamer, Failure Prediction: Sensitivity of Classification Accuracy to Alternative Statistical Models and Variable Sets, Journal of Acounting and Public Policy 2, 289-307, W.J. Conover, Practical Nonparametric Statistics, John Wiley and Sons, 2nd Edition, New York,1980, http://www.blackwellpublishing.com/specialarticles/jcn_10_715.pdf, 28 Aralık,2008
  • S.Sharma, Applied Multivariate Tecniques, John Wiley&Sons,Inc.,1996,p.238.
  • J.F. Hair, R.E. Anderson,R.L.Tatman, W.C.Black, Multivariate Data Analysis, Prentice Hall, 5th Edition,2006.p.306 J.F.Hair at all, p.323. J.F.Hair at all, p.355.
  • G.V. Kaplan, G.Urwitz, Statistical Model of Bond Ratings:A Methodological Inquiry, Journal of Businee, 231-261, 1979.

Prediction of business failure: a comparison of discriminant and logistic regression analyses

Year 2009, Volume: 38 Issue: 1, 47 - 63, 14.10.2009

Bengü Vuran

Abstract

This paper investigates two predictive models of business failure and important financial variables detecting failure potential using the sample of 122 both publicly opened and closed firms from the period of 1999-2007. Discriminant and Logistic Regression Analyses are performed and their predictive accuracy are compared. The results demonstrate that most of the failed firms show the signs of financial distress long before the failure and no statistically significant difference between the prediction results and variable choice of the discriminant and logistic regression analyses. 

Keywords

Business Failure Failure Prediction Discriminant Analysis Logistic Regression Analysis Financial Distress

References

  • M.Casey, V. McGee, C. Stinkey, Discriminating Between Reorganized and Liquidated Firms in Bankruptcy, The Accounting Review, 249- 262, April 1986
  • P.J.Fitz Patrick, A Comparison of Ratios of Successful Industrial Enterprises with Those of Failed Firms, Certified Public Accountant,656- 662, December 1932.
  • R.F.Smith, H.A.Winakor, Changes in the Financial Structure of Unsuccessful Industrial Corporations”, The Accounting Review, Vol. 11,No.1, 87- 88, March 1936.
  • C.Merwin, Financing Small Corporations in Five Manufacturing Industries, National Bureau of Economic Research,1926- 36, 1942.
  • W.H. Beaver, Financial Ratios as Predictors of Failure, Emprical Research in Accounting-Selected Studies, Journal of Accounting Research, 71- 111, 1967.
  • E.I. Altman, “Financial Ratios, Discriminant Analysis and Prediction of Corporate Failure”, Journal of Finance, Vol.23, No:4,589- 609, September 1968.
  • E.Deakin, A Discriminant Analysis of Predictors of Business Failure, Journal of Accounting Research, Vol. 10, No.1,167- 179, Spring 1972.
  • R.O.Edmister, An Emprical Test of Financial Ratio Analysis for Small Business Failure Prediction”, Journal of Financial and Quantitative Analysis, Vol. 7, No.2,1477- 1493,March
  • M. Blum, Failing Company Discriminant Analysis, Journal of Accounting Research, Vol.12,No.1,1- 25, Spring 1974.
  • R.C.Moyer, Forecasting Financial Failure: Reexamination, Financial Management, Spring, 11- 17,1977.
  • E. Altman, R. Haldeman, P.Narayanan, ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations”, Journal of Banking and Finance,29- 54, June 1977.
  • C. Casey, N. Bartczak, Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions”, Journal of Accounting Researh, Vol.23,No.1,384- 401,Spring A.D.Castanga, Z.P. Matolcsy, Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions, Journal of Accounting Research,384- 401, 1985.
  • M.J. Gombola, M.E. Haskins, J.E.Ketz, D.D.Williams, Cash Flow in Bankruptcy Prediction, Financial Management, 55- 65, 1987.
  • A.Aziz, D.C.Emmanuel and G.H. Lawson, Bankruptcy Prediction-An Investigation of Cash-Flow Based Models”, Journal of Management Studies, c.25,No:5,419- ,September 1988.
  • A.Aziz, G.H. Lawson, Cash Flow Reporting and Financial Distress Models: Testing of Hypotheses, Financal Management, 55- 63, 1989.
  • Y.Collongues, Ratios Financiers et Prevision Des Faillites Des Petites et Moyennes Enterprises, Revue Bank, No.365,963- 970, 1977.
  • J.Conan, M.Holder, Variables Explicatives de Performances et Controle de Gestion Dans Les PMI, These d’Etat, Universite de Paris Dauphine, Paris,1979.
  • I.G.Dambolena,., S.J Khoury, “Ratio Stability and Corporate Failure”, Journal of Finance,1017- 1026, September 1980.
  • H.Y.Izan, Corporate Distress in Australia, Journal of Banking and Finance 8,303- , 1984.
  • B.Micha, analysis of Business Failures in France, Journal of Banking and Finance 8, 291, 1984.
  • H.Friedman, E.I.Altman, D-L.Kao, Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress, The Journal of Finance, Vol. XL, No. 1, 269- , 1985.
  • P.Falbo, Credit Scoring by Enlarged Discriminant Analysis, Omega, Vol.13,No.4, 289, 1991.
  • E.K.Laitinen, Financial Ratios and Different Failure Processes, Journal of Business Finance and Accounting, 18(5),649- 673, 1991.
  • M.Louma, E.K.Laitinen, Survival Analysis as a Tool for Company Failure Prediction, Omega, Vol.19,No.6,673- 678, 1991.
  • J.A. Ohlson, Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, Vo. 18, No.1,109- 131, Spring 1980.
  • C.V.Zavgren, Assessing the Vulnerability to Failure American Industrial Firms, A Logistic Analysis, Journal of Business Finance and Acounting, 12(1),19- 45,1985.
  • M.J. Peel, D.A.Peel, A ultilogit Approach to Predicting Corporate Failure: Some Evidene for the UK Corporate Sector, Omega,309- 318, 1988.
  • K.Keasey, P.McGuiness and H.Short, Multilogit Approach to Predict Corporate Failure, Further Analysis and The Issue of Signal Consistency Omega, Vol.18, No.1,85- , 1990.
  • A.H.L.Lau, A Five-State Financial Distress Prediction Model, Journal of Accounting Research, Vol.25,No.1,127- 138, 1987.
  • P.H.Bahson, J.W.Bartley, The Sensitivity of Failure Prediction Models to Alternative Definitions of Failure, Advances in Accounting, Vol.10,255- 278, 1992.
  • T.J.Ward, “An Emprical Study of Incremental Predictive Ability of Beaver’s Naive Operating Csh Flow MeasurE Using Four-State Ordinal Models of Financial Distress, Journal of Business Finance and Accounting, 547- 561, 1994.
  • T.J.Ward, B.F.Foster, An Emprical Analysis of Thomas’s Financial Accounting Allocation Fallacy Theory in a Financial Distress Context, Accounting and Business Research,137-152, 1996.
  • J.A.Gentry, P.Newbold and D.T.Whitford, Classifying Bankrupt Firms with Funds Flow Components”, Journal of Accounting Research, Vol. 23, No:1, 146- 160,Spring 1985.
  • S.J.Press and S.Wilson, Choosing Between Logistic Regression and Discriminant Analysis, Journal of American Statistical Association, Vol.73, No.364,699- 705, 1978.
  • R.A.Collins, R.D.Green, Statistical Methods for Bankruptcy Forecasting, Journal of Economics and Business 34,349- 354, 1982.
  • M.M. Hamer, Failure Prediction: Sensitivity of Classification Accuracy to Alternative Statistical Models and Variable Sets, Journal of Acounting and Public Policy 2, 289-307, W.J. Conover, Practical Nonparametric Statistics, John Wiley and Sons, 2nd Edition, New York,1980, http://www.blackwellpublishing.com/specialarticles/jcn_10_715.pdf, 28 Aralık,2008
  • S.Sharma, Applied Multivariate Tecniques, John Wiley&Sons,Inc.,1996,p.238.
  • J.F. Hair, R.E. Anderson,R.L.Tatman, W.C.Black, Multivariate Data Analysis, Prentice Hall, 5th Edition,2006.p.306 J.F.Hair at all, p.323. J.F.Hair at all, p.355.
  • G.V. Kaplan, G.Urwitz, Statistical Model of Bond Ratings:A Methodological Inquiry, Journal of Businee, 231-261, 1979.
There are 39 citations in total.

Details

Primary Language English
Journal Section Finance
Authors

Bengü Vuran

Publication Date October 14, 2009
Published in Issue Year 2009 Volume: 38 Issue: 1

Cite

APA Vuran, B. (2009). Prediction of business failure: a comparison of discriminant and logistic regression analyses. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 47-63.
AMA Vuran B. Prediction of business failure: a comparison of discriminant and logistic regression analyses. İstanbul Üniversitesi İşletme Fakültesi Dergisi. October 2009;38(1):47-63.
Chicago Vuran, Bengü. “Prediction of Business Failure: A Comparison of Discriminant and Logistic Regression Analyses”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38, no. 1 (October 2009): 47-63.
EndNote Vuran B (October 1, 2009) Prediction of business failure: a comparison of discriminant and logistic regression analyses. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38 1 47–63.
IEEE B. Vuran, “Prediction of business failure: a comparison of discriminant and logistic regression analyses”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, pp. 47–63, 2009.
ISNAD Vuran, Bengü. “Prediction of Business Failure: A Comparison of Discriminant and Logistic Regression Analyses”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38/1 (October 2009), 47-63.
JAMA Vuran B. Prediction of business failure: a comparison of discriminant and logistic regression analyses. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38:47–63.
MLA Vuran, Bengü. “Prediction of Business Failure: A Comparison of Discriminant and Logistic Regression Analyses”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, 2009, pp. 47-63.
Vancouver Vuran B. Prediction of business failure: a comparison of discriminant and logistic regression analyses. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38(1):47-63.