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  • 标题:Using fundamental, market and macroeconomic variables to predict financial distress: A study of companies listed on the Johannesburg Stock Exchange
  • 本地全文:下载
  • 作者:Sibusiso W. Sabela ; Leon M. Brummer ; John H. Hall
  • 期刊名称:Journal of Economic and Financial Sciences
  • 印刷版ISSN:1995-7076
  • 电子版ISSN:2312-2803
  • 出版年度:2018
  • 卷号:11
  • 期号:1
  • 页码:11-21
  • DOI:10.4102/jef.v11i1.168
  • 摘要:Abstract This study presents a three-stage approach in determining financial distress of companies listed on the Johannesburg Stock Exchange. A novel feature of the present study is that it deviates from a binary classification of corporate distress prediction to present a multinomial outcome where the model predicts distressed, depressed and healthy companies. The research results show an improvement in the prediction accuracy rate when fundamental data is combined with market-based data. However, the further addition of macroeconomic indicators does not enhance the prediction accuracy.
  • 其他摘要:This study presents a three-stage approach in determining financial distress of companies listed on the Johannesburg Stock Exchange. A novel feature of the present study is that it deviates from a binary classification of corporate distress prediction to present a multinomial outcome where the model predicts distressed, depressed and healthy companies. The research results show an improvement in the prediction accuracy rate when fundamental data is combined with market-based data. However, the further addition of macroeconomic indicators does not enhance the prediction accuracy.
  • 其他关键词:logistic regression analysis;financial distress;profitability and liquidity;corporate debt
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