THE ASSESSMENT OF FINANCIAL DISTRESS IN TEHRAN STOCK EXCHANGE: A COMPARATIVE STUDY BETWEEN DATA ENVELOPMENT ANALYSIS (DEA) AND LOGISTIC REGRESSION (LR)

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ROSTAMI MOHAMMAD REZA; FALLAHSHAMS MIRFEYZ; ESKANDARI FARZANEH

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Journal: Management Research in Iran Year:2011 | Volume:15 | Issue:3 (72) Page(s): 129-147

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Title

THE ASSESSMENT OF FINANCIAL DISTRESS IN TEHRAN STOCK EXCHANGE: A COMPARATIVE STUDY BETWEEN DATA ENVELOPMENT ANALYSIS (DEA) AND LOGISTIC REGRESSION (LR)

Author(s)

ROSTAMI MOHAMMAD REZA | FALLAHSHAMS MIRFEYZ | ESKANDARI FARZANEH | Issue Writer Certificate

Keywords

FINANCIAL DISTRESSQ2

DATA ENVELOPMENT ANALYSISQ2

LOGISTIC REGRESSIONQ2

WITHIN-SAMPLEQ2

ADDITIVE MODELQ2

Abstract

FINANCIAL DISTRESS evaluation is important because firm failure imposes significant direct and indirect costs on a firm’s stakeholders. Hence, using financial ratios has been considered by bank loan officers, creditors, stockholders, financial analysts, and the general public in order to provide them with timely and accurate assessment.Timely evaluation can help decision makers to find the optimal way and predict bankruptcy. There are different models for FINANCIAL DISTRESS evaluation, which are mainly applied in decision making by financial market players. It has been attempted to improve the accuracy of these models by more developed techniques.The main goal of this research is to examine the capability of the ADDITIVE MODEL of DATA ENVELOPMENT ANALYSIS (DEA) model in assessing corporate FINANCIAL DISTRESS by comparing it with LOGISTIC REGRESSION (LR). The results showed that in WITHIN-SAMPLE evaluation, LR outperforms DEA (Additive model) in correctly identifying the default firms significantly.

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APA: Copy

ROSTAMI, MOHAMMAD REZA, FALLAHSHAMS, MIRFEYZ, & ESKANDARI, FARZANEH. (2011). THE ASSESSMENT OF FINANCIAL DISTRESS IN TEHRAN STOCK EXCHANGE: A COMPARATIVE STUDY BETWEEN DATA ENVELOPMENT ANALYSIS (DEA) AND LOGISTIC REGRESSION (LR). MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), 15(3 (72)), 129-147. SID. https://sid.ir/paper/402763/en

Vancouver: Copy

ROSTAMI MOHAMMAD REZA, FALLAHSHAMS MIRFEYZ, ESKANDARI FARZANEH. THE ASSESSMENT OF FINANCIAL DISTRESS IN TEHRAN STOCK EXCHANGE: A COMPARATIVE STUDY BETWEEN DATA ENVELOPMENT ANALYSIS (DEA) AND LOGISTIC REGRESSION (LR). MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)[Internet]. 2011;15(3 (72)):129-147. Available from: https://sid.ir/paper/402763/en

IEEE: Copy

MOHAMMAD REZA ROSTAMI, MIRFEYZ FALLAHSHAMS, and FARZANEH ESKANDARI, “THE ASSESSMENT OF FINANCIAL DISTRESS IN TEHRAN STOCK EXCHANGE: A COMPARATIVE STUDY BETWEEN DATA ENVELOPMENT ANALYSIS (DEA) AND LOGISTIC REGRESSION (LR),” MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), vol. 15, no. 3 (72), pp. 129–147, 2011, [Online]. Available: https://sid.ir/paper/402763/en

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