Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model
Objective: Predictive models for diagnosing bankruptcy or financial crisis have been widely discussed in studies and articles in the fields of economics and accounting and have been considered by financial institutions. One of the methods that can be used to help take advantage of investment opport...
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| Format: | Article |
| Language: | fas |
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Shahid Bahonar University of Kerman
2021-02-01
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| Series: | مجله توسعه و سرمایه |
| Subjects: | |
| Online Access: | https://jdc.uk.ac.ir/article_2841_fbcef964f0016ae661f54e4b384a57f5.pdf |
| _version_ | 1797835582631575552 |
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| author | Rahim Dabagh Sima Sheikhbeiglou |
| author_facet | Rahim Dabagh Sima Sheikhbeiglou |
| author_sort | Rahim Dabagh |
| collection | DOAJ |
| description | Objective: Predictive models for diagnosing bankruptcy or financial crisis have been widely discussed in studies and articles in the fields of economics and accounting and have been considered by financial institutions. One of the methods that can be used to help take advantage of investment opportunities and better allocation of resources is to predict financial distress or bankruptcy of companies. So, by providing the necessary warnings, can be alerted companies to the occurrence of financial distress so that according to these warnings they can take appropriate action, Secondly, investors and creditors can identify distinguish investment opportunities from unfavorable opportunities and invest in the right opportunities. Timely foresight can help decision-makers find solutions and prevent bankruptcy. The main aim of the current study is to express, determine and explain the predictive power of bankruptcy and profitability models of Tehran Stock Exchange companies to evaluate their performance and financial status by logistic regression using financial ratios selected by artificial neural network and Fulmer models. Method: The method of the present study is applied in terms of purpose and descriptive in nature. Logistic regression technique was used to test the hypotheses. The results are presented in two parts: descriptive and inferential statistics. Collection of information from the financial statements of 132 companies of Tehran Stock Exchange during the years 2012 to 2018. Firstly, the initial classification and processing of information was performed and then Eviews software was used to fit the Fulmer model and Spss26 software was used for the neural network model. Suitable indicators based on the research background in the models include debt-to-equity ratio of shareholders, profit before interest and taxes, total liabilities to assets, receivable accounts ration to sale, net return on assets, long-term debt to assets, working capital, net profit to to sale. Results: The research results indicates that both artificial neural network and Fulmer models have the ability to detect bankruptcy prediction with different accuracy, but the predictive accuracy of artificial neural network model is higher and has better performance compared to Fulmer model. In the artificial neural network model, the variables of working capital, receivable accounts on sales, net profit on assets, net profit on sales and long-term debt to assets are significant at high level in predicting corporate bankruptcy. Also, among the financial ratios used, the ratio of receivable accounts on sales had the most impact and the debt-to-equity ratio had the least impact on determining bankruptcy among the available variables. Conclusion: The best way is to take preventive measures before the occurrence of financial incapability of companies and in this regard, the result of the present study confirms the use of artificial neural network method to predict the bankruptcy of listed companies. And also, the crtiteria of working capital, net profit on assets, ratio of total debt to total assets and net profit on sales are related to transactions with bankruptcy. That is, the higher the ratio of these ratios, the probability of bankruptcy is lower. Therefore, by issuing the necessary warnings to decision makers and as a result of their actions, companies can be guided in the right direction in order to avoid wasting resources. |
| first_indexed | 2024-04-09T14:54:55Z |
| format | Article |
| id | doaj.art-07b4a1dbffcc466ab80266661d39255a |
| institution | Directory Open Access Journal |
| issn | 2008-2428 2645-3606 |
| language | fas |
| last_indexed | 2024-04-09T14:54:55Z |
| publishDate | 2021-02-01 |
| publisher | Shahid Bahonar University of Kerman |
| record_format | Article |
| series | مجله توسعه و سرمایه |
| spelling | doaj.art-07b4a1dbffcc466ab80266661d39255a2023-05-02T06:54:55ZfasShahid Bahonar University of Kermanمجله توسعه و سرمایه2008-24282645-36062021-02-015215316810.22103/jdc.2020.16422.11022841Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer ModelRahim Dabagh0Sima Sheikhbeiglou1Associate Professor, Faculty of Industrial Technologies, Department of Industrial Engineering, Urmia University of Technology, Urmia, Iran.Department of Management and Accounting, Elm-o-Fann University College of Science and Technology, Urmia, Iran.Objective: Predictive models for diagnosing bankruptcy or financial crisis have been widely discussed in studies and articles in the fields of economics and accounting and have been considered by financial institutions. One of the methods that can be used to help take advantage of investment opportunities and better allocation of resources is to predict financial distress or bankruptcy of companies. So, by providing the necessary warnings, can be alerted companies to the occurrence of financial distress so that according to these warnings they can take appropriate action, Secondly, investors and creditors can identify distinguish investment opportunities from unfavorable opportunities and invest in the right opportunities. Timely foresight can help decision-makers find solutions and prevent bankruptcy. The main aim of the current study is to express, determine and explain the predictive power of bankruptcy and profitability models of Tehran Stock Exchange companies to evaluate their performance and financial status by logistic regression using financial ratios selected by artificial neural network and Fulmer models. Method: The method of the present study is applied in terms of purpose and descriptive in nature. Logistic regression technique was used to test the hypotheses. The results are presented in two parts: descriptive and inferential statistics. Collection of information from the financial statements of 132 companies of Tehran Stock Exchange during the years 2012 to 2018. Firstly, the initial classification and processing of information was performed and then Eviews software was used to fit the Fulmer model and Spss26 software was used for the neural network model. Suitable indicators based on the research background in the models include debt-to-equity ratio of shareholders, profit before interest and taxes, total liabilities to assets, receivable accounts ration to sale, net return on assets, long-term debt to assets, working capital, net profit to to sale. Results: The research results indicates that both artificial neural network and Fulmer models have the ability to detect bankruptcy prediction with different accuracy, but the predictive accuracy of artificial neural network model is higher and has better performance compared to Fulmer model. In the artificial neural network model, the variables of working capital, receivable accounts on sales, net profit on assets, net profit on sales and long-term debt to assets are significant at high level in predicting corporate bankruptcy. Also, among the financial ratios used, the ratio of receivable accounts on sales had the most impact and the debt-to-equity ratio had the least impact on determining bankruptcy among the available variables. Conclusion: The best way is to take preventive measures before the occurrence of financial incapability of companies and in this regard, the result of the present study confirms the use of artificial neural network method to predict the bankruptcy of listed companies. And also, the crtiteria of working capital, net profit on assets, ratio of total debt to total assets and net profit on sales are related to transactions with bankruptcy. That is, the higher the ratio of these ratios, the probability of bankruptcy is lower. Therefore, by issuing the necessary warnings to decision makers and as a result of their actions, companies can be guided in the right direction in order to avoid wasting resources.https://jdc.uk.ac.ir/article_2841_fbcef964f0016ae661f54e4b384a57f5.pdfbankruptcypredictionartificial neural network (ann)fulmer modelstock exchange |
| spellingShingle | Rahim Dabagh Sima Sheikhbeiglou Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model مجله توسعه و سرمایه bankruptcy prediction artificial neural network (ann) fulmer model stock exchange |
| title | Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model |
| title_full | Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model |
| title_fullStr | Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model |
| title_full_unstemmed | Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model |
| title_short | Bankruptcy Prediction of listed Companies in Tehran’s Stock Exchange by Artificial Neural Network (ANN) and Fulmer Model |
| title_sort | bankruptcy prediction of listed companies in tehran s stock exchange by artificial neural network ann and fulmer model |
| topic | bankruptcy prediction artificial neural network (ann) fulmer model stock exchange |
| url | https://jdc.uk.ac.ir/article_2841_fbcef964f0016ae661f54e4b384a57f5.pdf |
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