Financial Ratios as Predictors of Failure: Evidence from ... - ERIM

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Logistic regression Appendix One (continued) Author Year Ratios Martin 1977 Ohlson 1980 Westgaard and Wijst 2001 Hol et al 2002 Zeitun et al 2007 Net income/total assets, gross charge-offs/net operating income, expenses/operating revenues, loans/total assets, commercial loans/total loans, loss provision/loans+securities, net liquid assets/total assets, gross capital/risk assets Size, total liabilities to total assets, working capital to total assets, current liabilities to current assets, OENEG (one if total liabilities exceeds total assets, zero otherwise), net income to total assets, funds provided by operations to total liabilities, INTWO (one if net income was negative for the last two years, zero otherwise) cash flow to debt, financial coverage, liquidity, and equity ratio total debt/total assets, tax/earnings before interest and tax, cash flow (net income+depreciation/total assets), standard deviation of cash flow, bankruptcy cost (ln(sales)) Net income to total liabilities, cash flow to total debt, sales to total assets, current assets minus current liabilities to total assets, , long-term liabilities to total assets, total debt to total equity, firms age in years, log the assets of the firm, retained earning to total assets Significant & Positive expenses/operating revenues, loans/total assets current liabilities to current assets, INTWO total debt/total assets, standard deviation of cash flow, and bankruptcy cost retained earning to total assets Significant & Negative gross capital/risk assets working capital to total assets all cash flow sales to total assets, net income to total liabilities 35
Appendix Two Table 4 Descriptive Statistics (Sample One, 2 nd and 3 rd year) Default Companies Non-Default Companies Minimum Maximum Mean STDV Variance Minimum Maximum Mean STDV Variance CFTD2 -513.12 125.90 -12.35 97.35 9476.50 -11.80 19.23 1.64 5.36 28.77 CFTD3 -4.57 9.29 0.36 2.09 4.39 -10.68 36.35 2.28 8.23 67.73 RETA2 -24.60 0.55 -0.95 4.50 20.29 -38.82 0.67 -1.38 7.15 51.08 RETA3 -8.89 0.51 -0.44 1.83 3.34 -29.47 0.78 -0.98 5.44 29.55 WCTA2 -1.21 0.54 -0.10 0.43 0.18 -0.43 0.61 0.12 0.23 0.05 WCTA3 -0.94 0.99 0.06 0.38 0.14 -0.44 0.73 0.17 0.25 0.06 CR2 0.03 3.89 1.20 0.88 0.77 0.15 3.47 1.56 0.85 0.71 CR3 0.16 67.21 4.37 12.76 162.69 0.16 6.52 1.75 1.19 1.41 NITA2 -257.04 31.96 -17.25 62.04 3848.38 -85.28 41.94 -0.06 24.72 610.83 NITA3 -205.59 28.30 -10.87 45.93 2109.58 -124.05 27.01 -3.19 28.17 793.38 TDTA2 0.01 113.25 33.34 28.42 807.88 0.34 56.01 16.40 13.42 180.00 TDTA3 0.22 277.39 37.82 49.67 2467.28 0.00 71.25 17.43 15.82 250.40 SATA2 0.02 2.84 0.89 0.77 0.59 0.04 3.11 1.00 0.78 0.61 SATA3 0.02 2.84 0.88 0.68 0.46 0.03 4.55 0.96 0.86 0.73 Size2 1.60 4.07 2.93 0.61 0.38 1.14 5.69 2.97 0.89 0.79 Size3 -1.08 3.98 2.86 0.94 0.88 1.34 5.60 2.93 0.86 0.74 EQTC2 30.79 100.00 77.24 22.48 505.56 37.35 100.00 83.18 16.85 283.81 EQTC3 18.89 100.00 74.56 22.36 499.77 -652.16 100.00 56.89 135.77 18434.32 ROE2 -610.38 84.34 -31.73 127.36 16220.59 -1593.75 68.05 -52.14 295.40 87261.91 ROE3 -2537.76 58.16 -110.31 476.83 227364.26 -424.07 93.25 -11.49 91.22 8321.36 36
Page 1 and 2: 17 Nov 2008 Financial Ratios as Pre
Page 3 and 4: Abstract This paper presents some e
Page 5 and 6: 1. Introduction One year after the
Page 7 and 8: However he did not find substantial
Page 9 and 10: interest in predicting bankruptcy b
Page 11 and 12: atios he employed in the research w
Page 13 and 14: there are specific statistical requ
Page 15 and 16: “returns”, “values” and “
Page 17 and 18: Table 2 Explanatory Variables Varia
Page 19 and 20: which results in high standard erro
Page 21 and 22: Table 7 Variables in the Equation (
Page 23 and 24: Summary. -2 log likelihood (-2LL) i
Page 25 and 26: predicted to be default, it is call
Page 27 and 28: estimation procedure. However it is
Page 29 and 30: Ohlson (1980)). In the second sampl
Page 31 and 32: Reference Altman, E. I., 1968, “F
Page 33 and 34: Hong Kong Society of Accountants, 1
Page 35: MDA Appendix One Table 1 Literature
Page 39 and 40: Appendix Four Table 9 Coefficients
Page 41 and 42: Appendix Six Table 10 Coefficients
Page 43 and 44: Appendix Eight Table 12 Classificat

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