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Application of the Beneish Model on the Warsaw Stock Exchange

Author

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  • Marek Sylwestrzak

    (University of Warsaw, Faculty of Economic Sciences Poland)

Abstract

This paper investigates irregularities in financial statements by applying the Beneish and Roxas models to Polish firms listed on the Warsaw Stock Exchange from 2015 to 2020. The total sample included 110 observations. The sample comprised companies that had received an adverse or disclaimer opinion by the auditors, but had not been fined by the Polish Financial Supervision Authority (KNF Board). The control firms were selected based on the industry as selected by the standard industrial classification code and on the financial year, with minimizing the difference in the size of total assets. The results indicate that the Roxas model revealed greater accuracy than the Beneish model on the tested sample. The use of logistic regression allowed a modification of the Beneish model to align it with the conditions of the Polish market. The modified Beneish model showed greater accuracy for the tested sample and companies fined by the KNF Board.

Suggested Citation

  • Marek Sylwestrzak, 2022. "Application of the Beneish Model on the Warsaw Stock Exchange," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(18), pages 5-16, November.
    • Handle: RePEc:sgm:jbfeuw:v:2:y:2022:i:18:p:5-16
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    File URL: https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=232844
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    More about this item

    Keywords

    Beneish model; Roxas model; Warsaw Stock Exchange; logistic regression;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G00 - Financial Economics - - General - - - General
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • M40 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - General
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing

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