Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries
This study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into five categ...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Iran Finance Association
1999-12-01
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| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_84939_7688784234e4d779228c006fda8bf967.pdf |
| _version_ | 1811191421971988480 |
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| author | Jafar Babajani Mohammad Taghi Taghavi Fard Maysam Ahmadvand |
| author_facet | Jafar Babajani Mohammad Taghi Taghavi Fard Maysam Ahmadvand |
| author_sort | Jafar Babajani |
| collection | DOAJ |
| description | This study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into five categories: accounting ratios, market variables, macroeconomic indicators, nonfinancial factors, and earnings quality measures. Structural equation modeling (SEM) technique was used to derive the prediction model. In this technique, corporate default drivers were used as latent independent variables, and their constituent factors were considered as observable indicators of the above variables. In addition, corporate default, as the latent dependent variable, was calculated by a measure based on the Black-Scholes-Merton (BSM) option pricing model. After implementing structural equation modeling (SEM) technique by use of Smart PLS software, a prediction model that contains influential drivers of corporate default was derived and presented for each of the selected industries. |
| first_indexed | 2024-04-11T15:05:08Z |
| format | Article |
| id | doaj.art-88019e1d70584773ba63e1c8aba20995 |
| institution | Directory Open Access Journal |
| issn | 2676-6337 2676-6345 |
| language | English |
| last_indexed | 2024-04-11T15:05:08Z |
| publishDate | 1999-12-01 |
| publisher | Iran Finance Association |
| record_format | Article |
| series | Iranian Journal of Finance |
| spelling | doaj.art-88019e1d70584773ba63e1c8aba209952022-12-22T04:16:49ZengIran Finance AssociationIranian Journal of Finance2676-63372676-63451999-12-012175810.22034/ijf.2018.8493984939Corporate Default Prediction among Tehran Stock Exchange’s Selected IndustriesJafar Babajani0Mohammad Taghi Taghavi Fard1Maysam Ahmadvand2Ph.D. in Accounting and Professor, Allameh Tabataba’i UniversityPh.D. in Industrial Engineering and Associate Professor, Allameh Tabataba’i UniversityPh.D. in Finance, Allameh Tabataba’i UniversityThis study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into five categories: accounting ratios, market variables, macroeconomic indicators, nonfinancial factors, and earnings quality measures. Structural equation modeling (SEM) technique was used to derive the prediction model. In this technique, corporate default drivers were used as latent independent variables, and their constituent factors were considered as observable indicators of the above variables. In addition, corporate default, as the latent dependent variable, was calculated by a measure based on the Black-Scholes-Merton (BSM) option pricing model. After implementing structural equation modeling (SEM) technique by use of Smart PLS software, a prediction model that contains influential drivers of corporate default was derived and presented for each of the selected industries.https://www.ijfifsa.ir/article_84939_7688784234e4d779228c006fda8bf967.pdfcorporate defaultaccounting ratiosblack-scholes-merton (bsm) option pricing modelstructural equation modelingtehran stock exchange |
| spellingShingle | Jafar Babajani Mohammad Taghi Taghavi Fard Maysam Ahmadvand Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries Iranian Journal of Finance corporate default accounting ratios black-scholes-merton (bsm) option pricing model structural equation modeling tehran stock exchange |
| title | Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries |
| title_full | Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries |
| title_fullStr | Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries |
| title_full_unstemmed | Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries |
| title_short | Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries |
| title_sort | corporate default prediction among tehran stock exchange s selected industries |
| topic | corporate default accounting ratios black-scholes-merton (bsm) option pricing model structural equation modeling tehran stock exchange |
| url | https://www.ijfifsa.ir/article_84939_7688784234e4d779228c006fda8bf967.pdf |
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