Predicción de quiebras empresariales en economías emergentes: uso de un modelo logístico mixto || Bankruptcy Prediction in Emerging Economies: Use of a Mixed Logistic Model

Norma Caro, Margarita Díaz () and Marcela Porporato ()
Additional contact information
Margarita Díaz: Facultad de Ciencias Económicas. Universidad Nacional de Córdoba (Argentina)
Marcela Porporato: School of Administrative Studies (SAS). York University, Toronto (Canadá)

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2013, vol. 16, issue 1, 200-215

Abstract: Este trabajo replica y adapta el modelo de Jones y Hensher (2004) a los datos de una economía emergente con el propósito de evaluar su validez externa. Se compara el desempeño del modelo logístico estándar en relación con el modelo logístico mixto para predecir el riesgo de crisis en el periodo 1993-2000, utilizando estados contables de empresas argentinas y ratios definidos en estudios de Altman y Jones y Hensher. Como en estudios anteriores, rentabilidad, rotación, endeudamiento y flujo de fondos operativos explican la probabilidad de crisis financiera. La contribución de esta nueva metodología reduce la tasa de error del tipo I a un 9 %. Se demuestra que el modelo logístico mixto, que tiene en cuenta la heterogeneidad no observada, supera ampliamente el desempeño del modelo logístico estándar. || This study is a replication and adaptation of Jones and Hensher (2004) model in an emerging economy with the purpose of testing its eternal validity. It compares the logistic standard model's performance with the logistic mixed model to predict bankruptcy risk of Argentinean companies between 1993-2000 by using financial statements and ratios defined in previous studies by Altman and Jones and Hensher. Similar to previous studies, profitability, asset turnover, debt and cash flow from operations explain financial distress' probability. The main contribution of this new methodology is the important reduction of error type I to the 9 %. This study asserts that the logistic mixed model, that considers the effect of non-observed heterogeneity, significantly improves the performance of the logistic standard model.

Keywords: modelo logístico mixto; estados contables; ratios financieros; crisis financiera; predicción de quiebra; Argentina; mixed logistic model; financial statements; accounting ratios; financial distress; bankruptcy prediction; Argentina (search for similar items in EconPapers)
JEL-codes: C4 M4 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.upo.es/RevMetCuant/pdf/vol16/art84.pdf (application/pdf)
http://www.upo.es/RevMetCuant/bibtex.php?id=84 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pab:rmcpee:v:16:y:2013:i:1:p:200-215

Access Statistics for this article

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration is currently edited by Macarena Lozano Oyola and Francisco Javier Blancas Peral

More articles in Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration from Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration Carretera de Utrera km.1, 41013 Sevilla. Contact information at EDIRC.
Bibliographic data for series maintained by Publicación Digital - UPO ().