Designing a Bankruptcy Prediction Model Based on Account, Market and Macroeconomic Variables (Case Study: Cyprus Stock Exchange)

Document Type: Research Paper

Authors

1 Department of Management, Faculty of Humanities, University of Mohaghegh Ardabili, Ardabil, Iran

2 Faculty of Business Management, European University of Cyprus, Nicosia, Cyprus

Abstract

The development of the Cyprus Stock Exchange together with the increasing trend of investors’ presence in financing activities has led to the importance of this market. In such circumstances, the first step towards a sustainable development of the Exchange is to support the investors. Risk of bankruptcy for the investee is a major challenge that an inexperienced stock investor encounters. In this study, for predicting bankruptcy, an attempt has been made to design a valid and accurate model that could act as a deterrent to improper stock selection. In most of the previous studies, non-native models have been used to predict bankruptcy in companies. However, the present study has attempted to overcome the shortcomings of the earlier studies through designing an indigenous model based on the data collected from 53 non-financial companies out of 103 listed companies in the Cyprus Stock Market from 2007 to 2012, using a complete set of variables affecting bankruptcy (accounting, market and macroeconomic variables), and with using the logistic regression method. The results showed that the accuracy of bankruptcy models that are based on accounting and market variables has been respectively 91.2% and 82.1%, respectively. On the other hand, it was shown that there is no significant relationship between macroeconomic variables and the probability likelihood of bankruptcy.

Keywords

Main Subjects


Article Title [Persian]

طراحی مدل پیش‌بینی ورشکستگی با به‌کارگیری متغیرهای حسابداری، بازار و اقتصاد کلان (مطالعة موردی: بروس اوراق بهادار

Authors [Persian]

  • باقر عسگرنژاد نوری 1
  • میلاد سلطانی 2
1 گروه مدیریت، دانشکدة علوم انسانی، دانشگاه محقق اردبیلی، اردبیل، ایران
2 دانشکدة مدیریت بازرگانی، دانشگاه اروپایی قبرس، نیکوزیا، قبرس
Abstract [Persian]

هدف: توسعة بورس اوراق بهادار قبرس همراه با روند صعوی حضور سرمایه‌گذاران در فعالیت‌های مالی سبب شده است تا این بازار از اهمیت خاصی برخوردار شود. در چنین شرایطی، اولین گام جهت توسعة پایدار بورس اوراق بهادار قبرس حمایت از سرمایه‌گذاران است. ریسک ورشکستگی سرمایه‌گذاری یکی از چالش‌های اصلی است که سرمایه‌گذاران بی‌تجربه با آن مواجه‌اند. بر این اساس در این پژوهش تلاش شده است تا مدلی معتبر و دقیق برای پیش‌بینی ورشکستگی طراحی شود تا بدین طریق از انتخاب سهام نامناسب توسط سرمایه‌گذاران اجتناب شود. روش: در بسیاری از پژوهش‌های قبلی، مدل‌های غبربومی برای پیش‌بینی ورشکستگی شرکت‌ها استفاده شده است. با وجود این، در پژوهش حاضر قصد بر این است تا با طراحی مدلی بومی، ضعف‌های مدل‌های قبلی پوشش داده می‌شود. بدین منظور داده‌های پژوهش بر اساس انتخاب 53 شرکت غیرمالی از 103 شرکت پذیرفته‌شده در بورس اوراق بهادار قبرس طی دورة زمانی 2012-2007 گردآوری شد. مدل مورد نظر نیز با به‌کارگیری مجموعة کاملی از متغیرهای حسابداری، بازار و اقتصاد کلان و با استفاده از روش رگرسیون لجستیک تخمین زده شد. نتایج: دقت مدل‌های ورشکستگی مبتنی بر متغیرهای حسابدری و بازار به ترتیب برابر با 2/91 و 1/82 درصد است. از سوی دیگر، ارتباط معناداری بین متغیرهای اقتصاد کلان و احتمال ورشکستگی شرکت‌ها وجود نداشت.

Keywords [Persian]

  • پیش‌بینی ورشکستگی
  • متغیرهای اقتصاد کلان
  • متغیرهای بازار
  • متغیرهای حسابداری
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