The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/public/pub/id/9965 http://hdl.handle.net/10071/11739 |
Resumo: | We assess the use of bank loan information in predicting the timing to default. We use unique data on defaults in small and medium enterprises maintained by the Central Bank of Portugal which includes financial accounting and macroeconomic indicators, as well as non-financial information. The findings are indicative of the incremental predictive ability of non-financial information over and above macroeconomic and financial accounting information in the baseline, industry, and in- and out-of-sample models. Specifically, total credit secured by firms is, as expected, negatively and significantly related to default. Gross domestic product is negatively and significantly related to default, and benchmark market rate is positively and significantly associated with default. The findings also reveal that firms which are operated by partners, which have stronger financial support from partners, and which possess operational assets exhibit lower hazards of default. The study indicates that non-financial information and macroeconomic indicators assessed alongside financial accounting data can significantly improve the forecasting performance of default models. |
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The role of financial, macroeconomic, and non-financial information in bank loan default timing predictionWe assess the use of bank loan information in predicting the timing to default. We use unique data on defaults in small and medium enterprises maintained by the Central Bank of Portugal which includes financial accounting and macroeconomic indicators, as well as non-financial information. The findings are indicative of the incremental predictive ability of non-financial information over and above macroeconomic and financial accounting information in the baseline, industry, and in- and out-of-sample models. Specifically, total credit secured by firms is, as expected, negatively and significantly related to default. Gross domestic product is negatively and significantly related to default, and benchmark market rate is positively and significantly associated with default. The findings also reveal that firms which are operated by partners, which have stronger financial support from partners, and which possess operational assets exhibit lower hazards of default. The study indicates that non-financial information and macroeconomic indicators assessed alongside financial accounting data can significantly improve the forecasting performance of default models.Routledge/Taylor & Francis2016-07-13T13:49:19Z2013-01-01T00:00:00Z20132016-07-13T13:47:46Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/9965http://hdl.handle.net/10071/11739eng0963-8180Bhimani, A.Gulamhussen, M.Lopes, S. R.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:00:34Zoai:repositorio.iscte-iul.pt:10071/11739Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:32:07.703779Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
title |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
spellingShingle |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction Bhimani, A. |
title_short |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
title_full |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
title_fullStr |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
title_full_unstemmed |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
title_sort |
The role of financial, macroeconomic, and non-financial information in bank loan default timing prediction |
author |
Bhimani, A. |
author_facet |
Bhimani, A. Gulamhussen, M. Lopes, S. R. |
author_role |
author |
author2 |
Gulamhussen, M. Lopes, S. R. |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Bhimani, A. Gulamhussen, M. Lopes, S. R. |
description |
We assess the use of bank loan information in predicting the timing to default. We use unique data on defaults in small and medium enterprises maintained by the Central Bank of Portugal which includes financial accounting and macroeconomic indicators, as well as non-financial information. The findings are indicative of the incremental predictive ability of non-financial information over and above macroeconomic and financial accounting information in the baseline, industry, and in- and out-of-sample models. Specifically, total credit secured by firms is, as expected, negatively and significantly related to default. Gross domestic product is negatively and significantly related to default, and benchmark market rate is positively and significantly associated with default. The findings also reveal that firms which are operated by partners, which have stronger financial support from partners, and which possess operational assets exhibit lower hazards of default. The study indicates that non-financial information and macroeconomic indicators assessed alongside financial accounting data can significantly improve the forecasting performance of default models. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-01-01T00:00:00Z 2013 2016-07-13T13:49:19Z 2016-07-13T13:47:46Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ciencia.iscte-iul.pt/public/pub/id/9965 http://hdl.handle.net/10071/11739 |
url |
https://ciencia.iscte-iul.pt/public/pub/id/9965 http://hdl.handle.net/10071/11739 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0963-8180 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Routledge/Taylor & Francis |
publisher.none.fl_str_mv |
Routledge/Taylor & Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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