Predicting financial crisis happening by using data envelopment technique (a comparative study using Springate, Altman, Ohleson, Zimmesky, Shirata) in Tehran Stock Exchange

Authors : Zahra Kohandel, Khadije Fardi, Hadi Kord Javadi

Pages : 1761-1775

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Publication Date : 2015-05-13

Article Type : Research

Abstract :Regarding the effects of financial vulnerability of companies for different beneficiary groups, the presentation of financial vulnerability prediction patterns has always been one of the most attractive issues in financial researches. In current prediction patterns mainly financial ratios are utilized as prediction variables. In this research the efficiency of firms has been calculated by using data envelopment analysis technique. To do so, first we designed a pattern by using this variable and to investigate the results better we tried to consider model posed by Springate, Altman, Ohleson, Zimmesky, and Shirata. Then models mentioned were ranked according to their efficiency and the results were compared with the primary ones. Thus, 21 hypotheses were devised. The statistical population for this research entailed all companies enlisted in Tehran Stock Exchange. Our statistical sample included 52 financially vulnerable companies and 52 safe ones during the time period between 2005 and 2011 and in order to categorize them into two groups we used article 141 of business rule. Results showed that the designed pattern was based on efficiency mark of financial crisis prediction capability in companies enlisted in Stock Exchange up to two years before it happens. Also results approved the improvement of prediction of vulnerable companies be applying efficiency mark to models but this improvement was not very considerable.
Keywords : Financial vulnerability, models of: Springate, Altman, Ohleson, Zimmesky, and Shirata