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首页> 外文学位 >FINANCIAL RATIOS, MACROECONOMIC VARIABLES AND THEIR INTERACTION EFFECTS IN MODELS OF FIRM-SPECIFIC FINANCIAL DISTRESS (BANKRUPTCY, LOGIT).
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FINANCIAL RATIOS, MACROECONOMIC VARIABLES AND THEIR INTERACTION EFFECTS IN MODELS OF FIRM-SPECIFIC FINANCIAL DISTRESS (BANKRUPTCY, LOGIT).

机译：公司特定财务困境模型（破产，LOGIT）中的财务比率，宏观经济变量及其相互作用效应。

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摘要

Empirical financial distress research has focused on using financial ratios as predictors of firm-specific financial failure. Little attention has been given to the use of ratio trends, macroeconomic variables and variable interaction effects. Also, previous empirical models have attempted to distinguish between failed firms and either pairwise matched or randomly selected nonfailed firms; no attempt has been made to discriminate between failed and financially weak firms. The main thrust of this dissertation is to measure the effects of including additional variables and their interactions, and also to see if a model could be developed that could distinguish not only between bankrupt and nonbankrupt firms, but also between bankrupt and financially weak firms.; Logit analysis was used to test a series of 28 models for measurable effects when trend, macroeconomic and interaction variables were added to two basic sets of financial ratios. The estimation results showed that, as a group, the financial ratios interacting with the trends in the financial ratios were consistent in adding explanatory power to the models. The macroeconomic variables had stronger and more consistent effects in models to distinguish between bankrupt and financially weak firms. Other variables were less consistent in their statistical significance and contribution to classification accuracy.; Classification accuracy improvements from the original estimations were difficult to translate into improved forecasting results (i.e., when estimating in one time period and using a holdout sample from another time period). Large models containing numerous financial ratios, trends, macroeconomic variables and interaction effects were inferior to simple models containing only financial ratios. However, some small improvements over the basic financial ratio models were made using a factor analyzed model to reduce the large number of explanatory variables.; The results of the statistical estimations and forecasts suggest that macroeconomic variables and various interaction effects can be used to improve both explanatory power and forecasting ability of financial distress models, especially in models to distinguish between bankrupt and financially weak firms. However, model specification and variable selection will have to be improved to produce substantial and consistent gains over existing models.
机译：实证财务困境研究的重点是使用财务比率作为企业特定财务失败的预测指标。对比率趋势，宏观经济变量和变量相互作用影响的使用很少关注。同样，以前的经验模型试图区分失败的公司和成对匹配或随机选择的非失败公司。没有尝试区分失败的公司和财务状况不佳的公司。本文的主要目的是测量包括附加变量及其相互作用的影响，并查看是否可以开发出一种模型，该模型不仅可以区分破产企业和非破产企业，而且可以区分破产企业和财务较弱的企业。当趋势，宏观经济和相互作用变量添加到两组基本财务比率时，使用Logit分析测试了28个模型的可测量效果。估计结果表明，作为一个整体，财务比率与财务比率趋势交互作用在向模型添加解释力方面是一致的。宏观经济变量在模型中具有更强，更一致的作用，以区分破产企业和财务弱企业。其他变量的统计意义和对分类准确性的贡献不太一致。从原始估计中得出的分类准确性提高很难转化为改进的预测结果（即，在一个时间段内进行估计并使用另一时间段内的保留样本时）。包含众多财务比率，趋势，宏观经济变量和相互作用效应的大型模型不如仅包含财务比率的简单模型。但是，使用因子分析模型对基本财务比率模型进行了一些小的改进，以减少大量的解释变量。统计估计和预测的结果表明，宏观经济变量和各种相互作用效应可用于提高财务困境模型的解释力和预测能力，尤其是在区分破产企业和财务弱势企业的模型中。但是，必须改进模型规格和变量选择，以在现有模型上产生实质性和一致的收益。

著录项

  • 作者

    KRITZER, ALAN JAY.;

  • 作者单位

    University of Colorado at Boulder.;

  • 授予单位 University of Colorado at Boulder.;
  • 学科 Business Administration General.
  • 学位 Ph.D.
  • 年度 1985
  • 页码 251 p.
  • 总页数 251
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 贸易经济;
  • 关键词

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