Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries
- سال انتشار: 1397
- محل انتشار: مجله مالی ایران، دوره: 2، شماره: 1
- کد COI اختصاصی: JR_IJFIFSA-2-1_001
- زبان مقاله: انگلیسی
- تعداد مشاهده: 330
نویسندگان
Ph.D. in Accounting and Professor, Allameh Tabataba’i University
Ph.D. in Industrial Engineering and Associate Professor, Allameh Tabataba’i University
Ph.D. in Finance, Allameh Tabataba’i University
چکیده
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.کلیدواژه ها
Corporate Default, Accounting Ratios, Black-Scholes-Merton (BSM) Option Pricing Model, structural equation modeling, Tehran Stock Exchangeاطلاعات بیشتر در مورد COI
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