FINANCIAL DISTRESS PREDICTION WITH THE USE OF THE EFFICIENCY AS A PREDICTOR VARIABLE

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MOHSENI REZA; AGHA BABAEE REZA; MOHAMMAD GHORBANI VAHID

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Paper Information

Journal: Journal of Economic Research and Policies Year:2013 | Volume:21 | Issue:65 Page(s): 123-146

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Information Journal Paper

Title

FINANCIAL DISTRESS PREDICTION WITH THE USE OF THE EFFICIENCY AS A PREDICTOR VARIABLE

Author(s)

MOHSENI REZA | AGHA BABAEE REZA | MOHAMMAD GHORBANI VAHID | Issue Writer Certificate

Keywords

FINANCIAL DISTRESSQ1

FINANCIAL RATIOSQ2

EFFICIENCYQ2

DATA ENVELOPMENT ANALYSIS (DEA)Q2

LOGISTIC REGRESSIONQ2

Abstract

This paper introduces a suitable model for predicting the FINANCIAL DISTRESS of the listed manufacturing companies in Tehran Stock Exchange market during 2005-2009. Besides the important FINANCIAL RATIOS for predicting companies’ FINANCIAL DISTRESS, this paper uses companies’ EFFICIENCY variable, which can increase the accuracy and predictive power of the model, as a predictor variable. At first, Data Envelopment Analysis (DEA) is used for calculating the EFFICIENCY index of the listed manufacturing companies in Tehran Stock Exchange market during 2005-2009 and then EFFICIENCY index results, besides other FINANCIAL RATIOS, were used as a variable for predicting the FINANCIAL DISTRESS. In proposed method, DEA is used as a tool for evaluating input-output EFFICIENCY of every company. To evaluate the influence of EFFICIENCY as a predictor, 50 manufacturing companies’ data that have accepted in Tehran Stock Exchange market is used. With the use of statistical test, the variables which have more power in differentiating healthy and distressed companies, have selected. Then, using LOGISTIC REGRESSION model in two forms (with or without EFFICIENCY variable), companies distress is predicted. The results of the research show that using EFFICIENCY variable in distress predicting model, increases the prediction accuracy of the model.

Cites

A STUDY ON THE FINANCIAL PERFORMANCE OF COMPANIES USING DATA ENVELOPMENT ANALYSIS MODEL AND ZEMIJSKY'S MODEL, AND A COMPARISON OF THEIR RESULTS (THE CASE OF ACCEPTED PHARMACEUTICAL COMPANIES IN STOCK MARKET)

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APA: Copy

MOHSENI, REZA, AGHA BABAEE, REZA, & MOHAMMAD GHORBANI, VAHID. (2013). FINANCIAL DISTRESS PREDICTION WITH THE USE OF THE EFFICIENCY AS A PREDICTOR VARIABLE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 21(65), 123-146. SID. https://sid.ir/paper/89509/en

Vancouver: Copy

MOHSENI REZA, AGHA BABAEE REZA, MOHAMMAD GHORBANI VAHID. FINANCIAL DISTRESS PREDICTION WITH THE USE OF THE EFFICIENCY AS A PREDICTOR VARIABLE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2013;21(65):123-146. Available from: https://sid.ir/paper/89509/en

IEEE: Copy

REZA MOHSENI, REZA AGHA BABAEE, and VAHID MOHAMMAD GHORBANI, “FINANCIAL DISTRESS PREDICTION WITH THE USE OF THE EFFICIENCY AS A PREDICTOR VARIABLE,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 21, no. 65, pp. 123–146, 2013, [Online]. Available: https://sid.ir/paper/89509/en

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