A Model for Corporate Default Prediction in Some Industries listed in Tehran Stock Exchange

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BLUE GHASEM; AHMADVAND MEYSAM

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Journal Paper

Paper Information

Journal: Journal of Empirical Research in Accounting Year:2020 | Volume:10 | Issue:37 Page(s): 149-185

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Information Journal Paper

Title

A Model for Corporate Default Prediction in Some Industries listed in Tehran Stock Exchange

Author(s)

BLUE GHASEM | AHMADVAND MEYSAM | Issue Writer Certificate

Keywords

Corporate DefaultQ1

Accounting RatiosQ1

Market VariablesQ1

Abstract

Considering the great importance of Corporate Default prediction for various stakeholders, the study aims to identify the potential drivers of this event and to present a model for predicting Corporate Default in automotive and auto parts manufacturing, basic metals, and chemicals industries listed in Tehran stock exchange. This study, at first, identifies the factors affecting Corporate Default, by conducting library research and through the fuzzy delphi method. Then, using partial least squares structural equation modeling (PLS-SEM) technique, Corporate Default drivers are introduced, and a model for predicting this event in each industry is extracted and presented. Finally, the accuracy of the extracted model is tested. According to the findings, the following variables can be introduced as Corporate Default drivers in the above mentioned industries: the ratios of net income to total assets, earnings before interest and tax to total assets, earnings before interest and tax to total liabilities, sales to total assets, sales growth rate, retained earnings to total assets, net working capital to total assets, cash to current liabilities, current liabilities to total assets, total liabilities to total assets, total short-term and long-term loans to total equity, total short-term and long-term loans to total assets, net operating cash flow to sales, net operating cash flow to earnings before interest and tax, net operating cash flow to total liabilities, net operating cash flow to current liabilities, and market capitalization to total liabilities. According to the findings, in automotive and auto parts manufacturing industry and basic metals industry, only Accounting Ratios, and in chemicals industry, both Accounting Ratios and Market Variables are introduced as Corporate Default drivers. Moreover, other potential drivers (according to previous research findings and experts’ opinions) including macroeconomic indicators, nonfinancial factors, and earning quality measures do not play any role in predicting Corporate Default.

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APA: Copy

BLUE, GHASEM, & AHMADVAND, MEYSAM. (2020). A Model for Corporate Default Prediction in Some Industries listed in Tehran Stock Exchange. JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING, 10(37 ), 149-185. SID. https://sid.ir/paper/391571/en

Vancouver: Copy

BLUE GHASEM, AHMADVAND MEYSAM. A Model for Corporate Default Prediction in Some Industries listed in Tehran Stock Exchange. JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING[Internet]. 2020;10(37 ):149-185. Available from: https://sid.ir/paper/391571/en

IEEE: Copy

GHASEM BLUE, and MEYSAM AHMADVAND, “A Model for Corporate Default Prediction in Some Industries listed in Tehran Stock Exchange,” JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING, vol. 10, no. 37 , pp. 149–185, 2020, [Online]. Available: https://sid.ir/paper/391571/en

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