PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES
Autor(a) principal: | |
---|---|
Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | REAd (Porto Alegre. Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/read/article/view/39918 |
Resumo: | The first studies on failure prediction were developed in the 1930’s. However, the subject gained impulse only in the 1960’s, when statistical techniques started to be used. In Brazil, the first works on the subject date from the 1970’s. It is worth pointing out that the statistical technique used in the majority of these works was the multivariate linear discriminant analysis. In an attempt to contribute to the theme, this work proposes to test a model of prediction of corporate bankruptcy based on the model developed by Cox (1972). This model differs from those based on logit, probit and discriminant analysis techniques, because it provides not only the probability of an event happening in the future, but also an estimate of the time until it occurs. The results show that only two indicators were considered relevant to calculate the risk of bankruptcy: SHORT TERM BANKING LOANS/CURRENT ASSETS and RETURN ON EQUITY (ROE). The model demonstrated that it is possible to identify, in advance, whether or not a corporation is likely to go bankrupt and that the Cox Proportional Hazards Model can be used as a tool in the task of predicting the risks of bankruptcy faced by corporations operating at Bovespa. |
id |
UFRGS-13_bb36153ff6cc2776d837725f4e7f123a |
---|---|
oai_identifier_str |
oai:seer.ufrgs.br:article/39918 |
network_acronym_str |
UFRGS-13 |
network_name_str |
REAd (Porto Alegre. Online) |
repository_id_str |
|
spelling |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIESA PREVISÃO DE INSOLVÊNCIA PELO MODELO COX: UMA APLICAÇÃO PARA A ANÁLISE DE RISCO DE COMPANHIAS ABERTAS BRASILEIRASModelo de Riscos Proporcionais de Coxprevisão de concordatasempresas de capital abertosistema de early warningindicadores financeirosCox Proportional Hazards Modelfailure predictioncorporationsearly warning systemfinancial indicatorsThe first studies on failure prediction were developed in the 1930’s. However, the subject gained impulse only in the 1960’s, when statistical techniques started to be used. In Brazil, the first works on the subject date from the 1970’s. It is worth pointing out that the statistical technique used in the majority of these works was the multivariate linear discriminant analysis. In an attempt to contribute to the theme, this work proposes to test a model of prediction of corporate bankruptcy based on the model developed by Cox (1972). This model differs from those based on logit, probit and discriminant analysis techniques, because it provides not only the probability of an event happening in the future, but also an estimate of the time until it occurs. The results show that only two indicators were considered relevant to calculate the risk of bankruptcy: SHORT TERM BANKING LOANS/CURRENT ASSETS and RETURN ON EQUITY (ROE). The model demonstrated that it is possible to identify, in advance, whether or not a corporation is likely to go bankrupt and that the Cox Proportional Hazards Model can be used as a tool in the task of predicting the risks of bankruptcy faced by corporations operating at Bovespa.Os primeiros estudos sobre previsão de falência foram elaborados por volta da década de 30. Entretanto, o assunto só ganhou impulso a partir da utilização de técnicas estatísticas, ao longo dos anos 60. No Brasil, os primeiros trabalhos sobre o assunto datam dos anos 70. A esse respeito, vale destacar que a técnica estatística empregada em grande parte desses estudos foi a análise discriminante linear multivariada. Na tentativa de contribuir para o tema, este trabalho se propôs a testar um modelo de previsão de concordatas de empresas de capital aberto, a partir da modelagem desenvolvida por Cox (1972). Esse modelo se diferencia daqueles estimados a partir de técnicas logit, probit e análise discriminante, na medida em que fornece não apenas a probabilidade de que um determinado evento ocorra no futuro, mas também uma estimativa do tempo até sua ocorrência. Os resultados mostram que somente dois indicadores foram considerados relevantes para o cálculo do risco de concordata: EMPRÉSTIMOS BANCÁRIOS (EFTCP) /ATIVO CIRCULANTE (AC) e RETORNO SOBRE O PATRIMÔNIO LÍQUIDO. O modelo demonstrou que é possível identificar, antecipadamente, o risco de concordata de uma empresa de capital aberto. Por essa razão, acredita-se que o modelo de Cox possa ser utilizado como auxiliar na previsão de concordatas de companhias abertas operando na Bolsa de Valores de São Paulo – Bovespa.Universidade Federal do Rio Grande do Sul2013-05-13info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articleAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/39918Electronic Review of Administration; Vol. 13 No. 1 (2007): Edição 55 - jan/abr 2007; 231-248Revista Electrónica de Administración; Vol. 13 Núm. 1 (2007): Edição 55 - jan/abr 2007; 231-248Revista Eletrônica de Administração; v. 13 n. 1 (2007): Edição 55 - jan/abr 2007; 231-2481413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/39918/25452Severo Martins, MárcioGalli, Oscar Claudinoinfo:eu-repo/semantics/openAccess2013-05-16T14:21:21Zoai:seer.ufrgs.br:article/39918Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2013-05-16T14:21:21REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES A PREVISÃO DE INSOLVÊNCIA PELO MODELO COX: UMA APLICAÇÃO PARA A ANÁLISE DE RISCO DE COMPANHIAS ABERTAS BRASILEIRAS |
title |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
spellingShingle |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES Severo Martins, Márcio Modelo de Riscos Proporcionais de Cox previsão de concordatas empresas de capital aberto sistema de early warning indicadores financeiros Cox Proportional Hazards Model failure prediction corporations early warning system financial indicators |
title_short |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
title_full |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
title_fullStr |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
title_full_unstemmed |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
title_sort |
PREDICTION OF THE INSOLVENCY COX MODEL: AN APPLICATION FOR RISK ANALYSIS OF BRAZILIAN PUBLIC COMPANIES |
author |
Severo Martins, Márcio |
author_facet |
Severo Martins, Márcio Galli, Oscar Claudino |
author_role |
author |
author2 |
Galli, Oscar Claudino |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Severo Martins, Márcio Galli, Oscar Claudino |
dc.subject.por.fl_str_mv |
Modelo de Riscos Proporcionais de Cox previsão de concordatas empresas de capital aberto sistema de early warning indicadores financeiros Cox Proportional Hazards Model failure prediction corporations early warning system financial indicators |
topic |
Modelo de Riscos Proporcionais de Cox previsão de concordatas empresas de capital aberto sistema de early warning indicadores financeiros Cox Proportional Hazards Model failure prediction corporations early warning system financial indicators |
description |
The first studies on failure prediction were developed in the 1930’s. However, the subject gained impulse only in the 1960’s, when statistical techniques started to be used. In Brazil, the first works on the subject date from the 1970’s. It is worth pointing out that the statistical technique used in the majority of these works was the multivariate linear discriminant analysis. In an attempt to contribute to the theme, this work proposes to test a model of prediction of corporate bankruptcy based on the model developed by Cox (1972). This model differs from those based on logit, probit and discriminant analysis techniques, because it provides not only the probability of an event happening in the future, but also an estimate of the time until it occurs. The results show that only two indicators were considered relevant to calculate the risk of bankruptcy: SHORT TERM BANKING LOANS/CURRENT ASSETS and RETURN ON EQUITY (ROE). The model demonstrated that it is possible to identify, in advance, whether or not a corporation is likely to go bankrupt and that the Cox Proportional Hazards Model can be used as a tool in the task of predicting the risks of bankruptcy faced by corporations operating at Bovespa. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-05-13 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion scientific article Avaliado pelos pares artigo científico |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/39918 |
url |
https://seer.ufrgs.br/index.php/read/article/view/39918 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/39918/25452 |
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 |
Universidade Federal do Rio Grande do Sul |
publisher.none.fl_str_mv |
Universidade Federal do Rio Grande do Sul |
dc.source.none.fl_str_mv |
Electronic Review of Administration; Vol. 13 No. 1 (2007): Edição 55 - jan/abr 2007; 231-248 Revista Electrónica de Administración; Vol. 13 Núm. 1 (2007): Edição 55 - jan/abr 2007; 231-248 Revista Eletrônica de Administração; v. 13 n. 1 (2007): Edição 55 - jan/abr 2007; 231-248 1413-2311 1980-4164 reponame:REAd (Porto Alegre. Online) instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
REAd (Porto Alegre. Online) |
collection |
REAd (Porto Alegre. Online) |
repository.name.fl_str_mv |
REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
ea_read@ufrgs.br |
_version_ |
1799766202985218048 |