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A new dynamic geometric approach for empirical analysis of financial ratios and bankruptcy
1. | Institute of Mathematical Sciences, Faculty of Science, University of Malaya, 50603 Kuala Lumpur, Malaysia |
2. | Graduate School of Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia |
3. | Institute for Mathematical Research, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia |
References:
[1] |
E. I. Altman, Financial ratios, Discriminant analysis and the Prediction of Corporate Bankruptcy,, The Journal of Finance, 23 (1967), 589.
doi: 10.2307/2978933. |
[2] |
E. I. Altman, J. Hartzell and M. Peck, Discriminant analysis and the Prediction of Corporate Bankruptcy,, Reprinted in, (1997). Google Scholar |
[3] |
E. I. Altman and E. Hotchkiss, "Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt,", John Wiley and Sons, (2006). Google Scholar |
[4] |
J. D. Andres, M. Landajo and P. Lorca, Forecasting business profitability by using classification techniques: A comparative analysis based on a Spanish case,, European Journal of Operational Research, 167 (2005), 518.
doi: 10.1016/j.ejor.2004.02.018. |
[5] |
A. K. M. Azhar and Robert J. R. Elliott, On the Measurement of Product Quality in Intra industry Trade,, Review of World Economics, 142 (2006), 476.
doi: 10.1007/s10290-006-0077-5. |
[6] |
M. A. Aziz and H. A. Dar, Predicting Corporate Bankruptcy: Where we stand?,, Corporate Governance, 6 (2006), 18.
doi: 10.1108/14720700610649436. |
[7] |
A. Bahiraie, N. A. Ibrahim, A. K. M Azhar and M. Ismail, Robust Logistic regression to static geometric representation of ratios,, Journal of Mathematics and Statistics, 5 (2009), 226. Google Scholar |
[8] |
A. Bahiraie, N. A. Ibrahim, M. Ismail and A. K. M Azhar, Financial ratios: A new geometric transformation,, International Research Journal of Finance and Economics, 20 (2008), 164. Google Scholar |
[9] |
P. Barnes, Methodological implications of non-normality distributed financial ratios,, Journal of Business, 9 (1982), 51.
doi: 10.1111/j.1468-5957.1982.tb00972.x. |
[10] |
W. Beaver, Financial ratios for predictors of failure,, Journal of Accounting Research, 3 (1967), 71. Google Scholar |
[11] |
S. Canbas, A. Cabuk and S. B. Kilic, Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case,, European Journal of Operational Research, 166 (2005), 528.
doi: 10.1016/j.ejor.2004.03.023. |
[12] |
A. Charitu, E. Neophytou and C. Charalambous, Predicting corporate failure: Empirical evidence of the UK,, European Accounting Review, 13 (2004), 465.
doi: 10.1080/0963818042000216811. |
[13] |
X. Cui, X. Sun and D. Sha, An empirical study on discrete optimization for portfolio selection,, Journal of Industrial and Management Optimization, 5 (2009), 33.
|
[14] |
E. Deakin, On the nature of distribution of financial accounting ratios: Some empirical evidence,, The Accounting Review, 51 (1976), 90. Google Scholar |
[15] |
L. Ding, X. Liu and Y. Xu, Competitive risk management for online bahncard problem,, Journal of Industrial and Management Optimization, 6 (2010), 1.
doi: 10.3934/jimo.2010.6.1. |
[16] |
H. Etemadi, A. A. Rostamy and H. Farajzadeh, A genetic programming model for bankruptcy prediction: Empirical evidence from Iran,, Expert Systems with Applications, 6 (2008), 3199. Google Scholar |
[17] |
M. Ezzamel and C. Mar-Molinero, The distributional properties of financial ratios in UK manufacturing companies,, Journal of Business Finance and Accounting, 17 (1990), 1.
doi: 10.1111/j.1468-5957.1990.tb00547.x. |
[18] |
G. Foster, "Financial Statement Analysis,", Second edition, (1986). Google Scholar |
[19] |
J. S. Grice and M. T. Dugan, The limitations of bankruptcy prediction models: Some cautions for the researcher,, Review of Quantitative Finance and Accounting, 17 (2001), 151. Google Scholar |
[20] |
J. M. Griffin and M. L. Lemmon, Book-to-market equity, distress risk, and stock returns,, Journal of Finance, 57 (2002), 2317.
doi: 10.1111/1540-6261.00497. |
[21] |
Z. Gu, Analyzing bankruptcy in restaurant industry: a multiple discriminant model,, Hospitality Management, 21 (2002), 25.
doi: 10.1016/S0278-4319(01)00013-5. |
[22] |
S. B. Jagdeep and L. A. Weiss, "Corporate Bankruptcy: Economic and Legal Perspectives,", Cambridge University Press, (1996). Google Scholar |
[23] |
H. N. Joo and T. Jinn, Bankruptcy prediction: Evidence from korea listed companies during the IMF crisis,, Journal of International Financial Management and Accounting, 11 (2000), 178.
doi: 10.1111/1467-646X.00061. |
[24] |
G. D. Kane, F. Richardson and N. Meade, "Rank Transformations and the Prediction of Corporate Failure,", Working paper, (1996). Google Scholar |
[25] |
K. Keasey and R. Watson, Financial distress models: A review of their usefulness,, British Journal of Management, 2 (1991), 89.
doi: 10.1111/j.1467-8551.1991.tb00019.x. |
[26] |
D. G. Kleinbaum, L. L. Kupper and K. E. Muller, "Applied Regression Analysis and Other Multivariate Methods,", Second edition, (1988).
|
[27] |
J. R. Koza, "Genetic Programming: On the Programming of Computers by Means of Natural Selection,", MIT Press, (1992). Google Scholar |
[28] |
Y. Landskroner, D. Ruthenberg and D. Pearl, "Market to Book Value Ratio in Banking: The Israeli Case,", Bank of Israel banking, (2006). Google Scholar |
[29] |
M. Landajo, J. de Andrés and P. Lorca, Measuring firm performance by using linear and non-parametric quantile regressions,, Journal of the Royal Statistical Society: Series C (Applied Statistics), 57 (2008), 227.
doi: 10.1111/j.1467-9876.2007.00610.x. |
[30] |
S. McLeay and A. Omar, The senility of prediction models to the non-normality of bounded and unbounded financial ratios,, British Accounting Review, 23 (2000), 213. Google Scholar |
[31] |
F. Modigliani and M. Miller, The cost of capital, corporation finance and the theory of investment,, American Economic Review, 48 (1958), 261. Google Scholar |
[32] |
J. Ohlson, Financial ratios and the probabilistic prediction of bankruptcy,, Journal of Accounting Research, 18 (1980), 109.
doi: 10.2307/2490395. |
[33] |
H. Ooghe, C. Speanjers and P. Vandermoere, "Business Failure Prediction: Simple-Intuitive Models versus Statistical Models,", Working Paper, (2005). Google Scholar |
[34] |
H. Ooghe and C. Speanjers, "A Note on Performance Measures for Failure Prediction Models,", Working Paper, (2006). Google Scholar |
[35] |
H. Ooghe and E. Verbaere, Some further empirical evidence on predicting private company failure,, Accounting and Business Research, 18 (1985), 57. Google Scholar |
[36] |
V. Ravi, H. Kurniawan, P. Nweekok Thai and P. Ravikumar, Soft computing system for bank performance prediction,, Applied Soft Computing Journal, 8 (2008), 305.
doi: 10.1016/j.asoc.2007.02.001. |
[37] |
P. Ravikumar and V. Ravi, Bankruptcy prediction in banks and firms via statistical and intelligent techniques: A review,, European Journal of Operational Research, 180 (2007), 1.
doi: 10.1016/j.ejor.2006.08.043. |
[38] |
T. Shumway, Forecasting bankruptcy more accurately: A simple hazard model,, Journal of Business, 74 (2001), 101.
doi: 10.1086/209665. |
[39] |
S. J. So, Some empirical evidence on the outlier and non-normal distribution of financial ratios,, Journal of Business Finance and Accounting, 14 (1987), 483.
doi: 10.1111/j.1468-5957.1987.tb00108.x. |
[40] |
L. Sun and P. P. Shenoy, Using Bayesian networks for bankruptcy prediction: Some methodological issues,, European Journal of Operational Research, 180 (2007), 738.
doi: 10.1016/j.ejor.2006.04.019. |
[41] |
M. Tippet, An introduced theory of financial ratios,, Accounting and Business Research, 21 (1990), 77. Google Scholar |
[42] |
Ö. Uǧur and W. Weber, Optimization and dynamics of gene-enviroment networks with intervals,, Journal of Industrial and Management Optimization, 3 (2007), 357.
|
[43] |
C. J. Watson, Multivariate distribution properties, outliers and transformation of financial ratios,, Accounting Review, 65 (1990), 682. Google Scholar |
[44] |
C. V. Zavgren, The prediction of corporate failure: The state of the art,, Journal of Accounting Literature, 2 (1983), 1. Google Scholar |
[45] |
M. E Zmijewski, Methodological issues related to the estimation of financial distress prediction models,, Journal of Accounting Research, 22 (1984), 59. Google Scholar |
show all references
References:
[1] |
E. I. Altman, Financial ratios, Discriminant analysis and the Prediction of Corporate Bankruptcy,, The Journal of Finance, 23 (1967), 589.
doi: 10.2307/2978933. |
[2] |
E. I. Altman, J. Hartzell and M. Peck, Discriminant analysis and the Prediction of Corporate Bankruptcy,, Reprinted in, (1997). Google Scholar |
[3] |
E. I. Altman and E. Hotchkiss, "Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt,", John Wiley and Sons, (2006). Google Scholar |
[4] |
J. D. Andres, M. Landajo and P. Lorca, Forecasting business profitability by using classification techniques: A comparative analysis based on a Spanish case,, European Journal of Operational Research, 167 (2005), 518.
doi: 10.1016/j.ejor.2004.02.018. |
[5] |
A. K. M. Azhar and Robert J. R. Elliott, On the Measurement of Product Quality in Intra industry Trade,, Review of World Economics, 142 (2006), 476.
doi: 10.1007/s10290-006-0077-5. |
[6] |
M. A. Aziz and H. A. Dar, Predicting Corporate Bankruptcy: Where we stand?,, Corporate Governance, 6 (2006), 18.
doi: 10.1108/14720700610649436. |
[7] |
A. Bahiraie, N. A. Ibrahim, A. K. M Azhar and M. Ismail, Robust Logistic regression to static geometric representation of ratios,, Journal of Mathematics and Statistics, 5 (2009), 226. Google Scholar |
[8] |
A. Bahiraie, N. A. Ibrahim, M. Ismail and A. K. M Azhar, Financial ratios: A new geometric transformation,, International Research Journal of Finance and Economics, 20 (2008), 164. Google Scholar |
[9] |
P. Barnes, Methodological implications of non-normality distributed financial ratios,, Journal of Business, 9 (1982), 51.
doi: 10.1111/j.1468-5957.1982.tb00972.x. |
[10] |
W. Beaver, Financial ratios for predictors of failure,, Journal of Accounting Research, 3 (1967), 71. Google Scholar |
[11] |
S. Canbas, A. Cabuk and S. B. Kilic, Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case,, European Journal of Operational Research, 166 (2005), 528.
doi: 10.1016/j.ejor.2004.03.023. |
[12] |
A. Charitu, E. Neophytou and C. Charalambous, Predicting corporate failure: Empirical evidence of the UK,, European Accounting Review, 13 (2004), 465.
doi: 10.1080/0963818042000216811. |
[13] |
X. Cui, X. Sun and D. Sha, An empirical study on discrete optimization for portfolio selection,, Journal of Industrial and Management Optimization, 5 (2009), 33.
|
[14] |
E. Deakin, On the nature of distribution of financial accounting ratios: Some empirical evidence,, The Accounting Review, 51 (1976), 90. Google Scholar |
[15] |
L. Ding, X. Liu and Y. Xu, Competitive risk management for online bahncard problem,, Journal of Industrial and Management Optimization, 6 (2010), 1.
doi: 10.3934/jimo.2010.6.1. |
[16] |
H. Etemadi, A. A. Rostamy and H. Farajzadeh, A genetic programming model for bankruptcy prediction: Empirical evidence from Iran,, Expert Systems with Applications, 6 (2008), 3199. Google Scholar |
[17] |
M. Ezzamel and C. Mar-Molinero, The distributional properties of financial ratios in UK manufacturing companies,, Journal of Business Finance and Accounting, 17 (1990), 1.
doi: 10.1111/j.1468-5957.1990.tb00547.x. |
[18] |
G. Foster, "Financial Statement Analysis,", Second edition, (1986). Google Scholar |
[19] |
J. S. Grice and M. T. Dugan, The limitations of bankruptcy prediction models: Some cautions for the researcher,, Review of Quantitative Finance and Accounting, 17 (2001), 151. Google Scholar |
[20] |
J. M. Griffin and M. L. Lemmon, Book-to-market equity, distress risk, and stock returns,, Journal of Finance, 57 (2002), 2317.
doi: 10.1111/1540-6261.00497. |
[21] |
Z. Gu, Analyzing bankruptcy in restaurant industry: a multiple discriminant model,, Hospitality Management, 21 (2002), 25.
doi: 10.1016/S0278-4319(01)00013-5. |
[22] |
S. B. Jagdeep and L. A. Weiss, "Corporate Bankruptcy: Economic and Legal Perspectives,", Cambridge University Press, (1996). Google Scholar |
[23] |
H. N. Joo and T. Jinn, Bankruptcy prediction: Evidence from korea listed companies during the IMF crisis,, Journal of International Financial Management and Accounting, 11 (2000), 178.
doi: 10.1111/1467-646X.00061. |
[24] |
G. D. Kane, F. Richardson and N. Meade, "Rank Transformations and the Prediction of Corporate Failure,", Working paper, (1996). Google Scholar |
[25] |
K. Keasey and R. Watson, Financial distress models: A review of their usefulness,, British Journal of Management, 2 (1991), 89.
doi: 10.1111/j.1467-8551.1991.tb00019.x. |
[26] |
D. G. Kleinbaum, L. L. Kupper and K. E. Muller, "Applied Regression Analysis and Other Multivariate Methods,", Second edition, (1988).
|
[27] |
J. R. Koza, "Genetic Programming: On the Programming of Computers by Means of Natural Selection,", MIT Press, (1992). Google Scholar |
[28] |
Y. Landskroner, D. Ruthenberg and D. Pearl, "Market to Book Value Ratio in Banking: The Israeli Case,", Bank of Israel banking, (2006). Google Scholar |
[29] |
M. Landajo, J. de Andrés and P. Lorca, Measuring firm performance by using linear and non-parametric quantile regressions,, Journal of the Royal Statistical Society: Series C (Applied Statistics), 57 (2008), 227.
doi: 10.1111/j.1467-9876.2007.00610.x. |
[30] |
S. McLeay and A. Omar, The senility of prediction models to the non-normality of bounded and unbounded financial ratios,, British Accounting Review, 23 (2000), 213. Google Scholar |
[31] |
F. Modigliani and M. Miller, The cost of capital, corporation finance and the theory of investment,, American Economic Review, 48 (1958), 261. Google Scholar |
[32] |
J. Ohlson, Financial ratios and the probabilistic prediction of bankruptcy,, Journal of Accounting Research, 18 (1980), 109.
doi: 10.2307/2490395. |
[33] |
H. Ooghe, C. Speanjers and P. Vandermoere, "Business Failure Prediction: Simple-Intuitive Models versus Statistical Models,", Working Paper, (2005). Google Scholar |
[34] |
H. Ooghe and C. Speanjers, "A Note on Performance Measures for Failure Prediction Models,", Working Paper, (2006). Google Scholar |
[35] |
H. Ooghe and E. Verbaere, Some further empirical evidence on predicting private company failure,, Accounting and Business Research, 18 (1985), 57. Google Scholar |
[36] |
V. Ravi, H. Kurniawan, P. Nweekok Thai and P. Ravikumar, Soft computing system for bank performance prediction,, Applied Soft Computing Journal, 8 (2008), 305.
doi: 10.1016/j.asoc.2007.02.001. |
[37] |
P. Ravikumar and V. Ravi, Bankruptcy prediction in banks and firms via statistical and intelligent techniques: A review,, European Journal of Operational Research, 180 (2007), 1.
doi: 10.1016/j.ejor.2006.08.043. |
[38] |
T. Shumway, Forecasting bankruptcy more accurately: A simple hazard model,, Journal of Business, 74 (2001), 101.
doi: 10.1086/209665. |
[39] |
S. J. So, Some empirical evidence on the outlier and non-normal distribution of financial ratios,, Journal of Business Finance and Accounting, 14 (1987), 483.
doi: 10.1111/j.1468-5957.1987.tb00108.x. |
[40] |
L. Sun and P. P. Shenoy, Using Bayesian networks for bankruptcy prediction: Some methodological issues,, European Journal of Operational Research, 180 (2007), 738.
doi: 10.1016/j.ejor.2006.04.019. |
[41] |
M. Tippet, An introduced theory of financial ratios,, Accounting and Business Research, 21 (1990), 77. Google Scholar |
[42] |
Ö. Uǧur and W. Weber, Optimization and dynamics of gene-enviroment networks with intervals,, Journal of Industrial and Management Optimization, 3 (2007), 357.
|
[43] |
C. J. Watson, Multivariate distribution properties, outliers and transformation of financial ratios,, Accounting Review, 65 (1990), 682. Google Scholar |
[44] |
C. V. Zavgren, The prediction of corporate failure: The state of the art,, Journal of Accounting Literature, 2 (1983), 1. Google Scholar |
[45] |
M. E Zmijewski, Methodological issues related to the estimation of financial distress prediction models,, Journal of Accounting Research, 22 (1984), 59. Google Scholar |
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