The effects of handling outliers on the performance of bankruptcy prediction models
Author
Abstract
Suggested Citation
DOI: 10.1016/j.seps.2018.08.004
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra, 2016.
"Forecasting distress in European SME portfolios,"
Journal of Banking & Finance, Elsevier, vol. 64(C), pages 112-135.
- Michala, Dimitra & Grammatikos, Theoharry & Ferreira Filipe, Sara, 2013. "Forecasting distress in European SME portfolios," EIF Working Paper Series 2013/17, European Investment Fund (EIF).
- Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Forecasting Distress in European SME Portfolios," MPRA Paper 53572, University Library of Munich, Germany.
- Crone, Sven F. & Finlay, Steven, 2012. "Instance sampling in credit scoring: An empirical study of sample size and balancing," International Journal of Forecasting, Elsevier, vol. 28(1), pages 224-238.
- Wu, Y. & Gaunt, C. & Gray, S., 2010. "A comparison of alternative bankruptcy prediction models," Journal of Contemporary Accounting and Economics, Elsevier, vol. 6(1), pages 34-45.
- Ruey-Ching Hwang & Jhao-Siang Siao & Huimin Chung & C. Chu, 2011. "Assessing bankruptcy prediction models via information content of technical inefficiency," Journal of Productivity Analysis, Springer, vol. 36(3), pages 263-273, December.
- Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 71-111.
- Benjamin P. Foster & Jozef Zurada, 2013. "Loan defaults and hazard models for bankruptcy prediction," Managerial Auditing Journal, Emerald Group Publishing, vol. 28(6), pages 516-541, June.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
- Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
- Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
- Jairaj Gupta & Nicholas Wilson & Andros Gregoriou & Jerome Healy, 2014. "The value of operating cash flow in modelling credit risk for SMEs," Applied Financial Economics, Taylor & Francis Journals, vol. 24(9), pages 649-660, May.
- Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure - Reply," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 123-127.
- Emel, Ahmet Burak & Oral, Muhittin & Reisman, Arnold & Yolalan, Reha, 2003. "A credit scoring approach for the commercial banking sector," Socio-Economic Planning Sciences, Elsevier, vol. 37(2), pages 103-123, June.
- Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. "Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, vol. 40(1), pages 269-291, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Beata Gavurova & Sylvia Jencova & Radovan Bacik & Marta Miskufova & Stanislav Letkovsky, 2022. "Artificial intelligence in predicting the bankruptcy of non-financial corporations," Oeconomia Copernicana, Institute of Economic Research, vol. 13(4), pages 1215-1251, December.
- Elena Gregova & Katarina Valaskova & Peter Adamko & Milos Tumpach & Jaroslav Jaros, 2020. "Predicting Financial Distress of Slovak Enterprises: Comparison of Selected Traditional and Learning Algorithms Methods," Sustainability, MDPI, vol. 12(10), pages 1-17, May.
- Ghafariasl, Parviz & Mahmoudan, Alireza & Mohammadi, Mahmoud & Nazarparvar, Aria & Hoseinzadeh, Siamak & Fathali, Mani & Chang, Shing & Zeinalnezhad, Masoomeh & Garcia, Davide Astiaso, 2024. "Neural network-based surrogate modeling and optimization of a multigeneration system," Applied Energy, Elsevier, vol. 364(C).
- Michal Pavlicko & Marek Durica & Jaroslav Mazanec, 2021. "Ensemble Model of the Financial Distress Prediction in Visegrad Group Countries," Mathematics, MDPI, vol. 9(16), pages 1-26, August.
- Marek Vochozka & Jaromir Vrbka & Petr Suler, 2020. "Bankruptcy or Success? The Effective Prediction of a Company’s Financial Development Using LSTM," Sustainability, MDPI, vol. 12(18), pages 1-17, September.
- Fedorova, Elena & Ledyaeva, Svetlana & Drogovoz, Pavel & Nevredinov, Alexandr, 2022. "Economic policy uncertainty and bankruptcy filings," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Kristóf, Tamás & Márton, András & Fiáth, Attila, 2023. "Állami energiavállalatok pénzügyi teljesítménye Magyarországon a koronavírus-járvány előtt és alatt [Financial performance of publicly owned energy companies in Hungary before and during the COVID ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1057-1076.
- Dong, Weijia & Dong, Xinyang & Lv, Xin, 2022. "How does ownership structure affect corporate environmental responsibility? Evidence from the manufacturing sector in China," Energy Economics, Elsevier, vol. 112(C).
- Lidiya Guryanova & Olena Bolotova & Vitalii Gvozdytskyi & Sergienko Olena, 2020. "Long-term financial sustainability: An evaluation methodology with threats considerations," RIVISTA DI STUDI SULLA SOSTENIBILITA', FrancoAngeli Editore, vol. 0(1), pages 47-69.
- Mário S. Céu & Raquel M. Gaspar, 2023. "Financial Distress in European Vineyards and Olive Groves," Working Papers REM 2023/0266, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Vadlamani Ravi & Vadlamani Madhav, 2020. "Optimizing the reliability of a bank with Logistic Regression and Particle Swarm Optimization," Papers 2004.11122, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mohammad Mahdi Mousavi & Jamal Ouenniche & Kaoru Tone, 2023. "A dynamic performance evaluation of distress prediction models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 756-784, July.
- Ahsan Habib & Mabel D' Costa & Hedy Jiaying Huang & Md. Borhan Uddin Bhuiyan & Li Sun, 2020. "Determinants and consequences of financial distress: review of the empirical literature," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 1023-1075, April.
- Serrano-Cinca, Carlos & Gutiérrez-Nieto, Begoña & Bernate-Valbuena, Martha, 2019. "The use of accounting anomalies indicators to predict business failure," European Management Journal, Elsevier, vol. 37(3), pages 353-375.
- Ming-Fu Hsu & Ying-Shao Hsin & Fu-Jiing Shiue, 2022. "Business analytics for corporate risk management and performance improvement," Annals of Operations Research, Springer, vol. 315(2), pages 629-669, August.
- Jiaming Liu & Chong Wu, 2017. "Dynamic forecasting of financial distress: the hybrid use of incremental bagging and genetic algorithm—empirical study of Chinese listed corporations," Risk Management, Palgrave Macmillan, vol. 19(1), pages 32-52, February.
- Abdelghani Maddi, 2018. "Analyse scientométrique de la crise économique," CEPN Working Papers 2018-08, Centre d'Economie de l'Université de Paris Nord.
- M. A. Lagesh & Maram Srikanth & Debashis Acharya, 2018. "Corporate Performance during Business Cycles: Evidence from Indian Manufacturing Firms," Global Business Review, International Management Institute, vol. 19(5), pages 1261-1274, October.
- Catherine Refait, 2000.
"Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-03718527, HAL.
- Catherine Refait-Alexandre, 2000. "Estimation du risque de défaut par une modélisation stochastique du bilan : application à des firmes industrielles françaises," Post-Print hal-01359570, HAL.
- Catherine Refait, 2000. "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Cahiers de la Maison des Sciences Economiques bla00040, Université Panthéon-Sorbonne (Paris 1).
- Catherine Refait, 2000. "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Post-Print halshs-03718527, HAL.
- Refait, C., 2000. "Estimation du risque de defaut par une modelisation stochastique du bilan : application a des firmes industrielles francaises," Papiers d'Economie Mathématique et Applications 2000.40, Université Panthéon-Sorbonne (Paris 1).
- Duc Hong Vo & Binh Ninh Vo Pham & Chi Minh Ho & Michael McAleer, 2019. "Corporate Financial Distress of Industry Level Listings in Vietnam," JRFM, MDPI, vol. 12(4), pages 1-17, September.
- Sanjay Sehgal & Ritesh Kumar Mishra & Ajay Jaisawal, 2021. "A search for macroeconomic determinants of corporate financial distress," Indian Economic Review, Springer, vol. 56(2), pages 435-461, December.
- Sumaira Ashraf & Elisabete G. S. Félix & Zélia Serrasqueiro, 2019. "Do Traditional Financial Distress Prediction Models Predict the Early Warning Signs of Financial Distress?," JRFM, MDPI, vol. 12(2), pages 1-17, April.
- Thomas E. Mckee, 2000. "Developing a bankruptcy prediction model via rough sets theory," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 9(3), pages 159-173, September.
- Tomasz Korol, 2019. "Dynamic Bankruptcy Prediction Models for European Enterprises," JRFM, MDPI, vol. 12(4), pages 1-15, December.
- Veganzones, David & Séverin, Eric & Chlibi, Souhir, 2023. "Influence of earnings management on forecasting corporate failure," International Journal of Forecasting, Elsevier, vol. 39(1), pages 123-143.
- Róbert Štefko & Jarmila Horváthová & Martina Mokrišová, 2020. "Bankruptcy Prediction with the Use of Data Envelopment Analysis: An Empirical Study of Slovak Businesses," JRFM, MDPI, vol. 13(9), pages 1-15, September.
- Koen W. de Bock, 2017. "The best of two worlds: Balancing model strength and comprehensibility in business failure prediction using spline-rule ensembles," Post-Print hal-01588059, HAL.
- Zeineb Affes & Rania Hentati-Kaffel, 2019. "Forecast bankruptcy using a blend of clustering and MARS model: case of US banks," Annals of Operations Research, Springer, vol. 281(1), pages 27-64, October.
- Jie Sun, 2012. "Integration Of Random Sample Selection, Support Vector Machines And Ensembles For Financial Risk Forecasting With An Empirical Analysis On The Necessity Of Feature Selection," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(4), pages 229-246, October.
- Ming-Fu Hsu & Chingho Chang & Jhih‐Hong Zeng, 2022. "Automated text mining process for corporate risk analysis and management," Risk Management, Palgrave Macmillan, vol. 24(4), pages 386-419, December.
- Dagmar Camska & Jiri Klecka, 2020. "Comparison of Prediction Models Applied in Economic Recession and Expansion," JRFM, MDPI, vol. 13(3), pages 1-16, March.
More about this item
Keywords
Bankruptcy prediction; Data preprocessing; Winsorizing; Decision trees; CHAID; CART; Neural networks;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:soceps:v:67:y:2019:i:c:p:34-42. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/seps .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.