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A new dynamic geometric approach for empirical analysis of financial ratios and bankruptcy.


Citation

Bahiraie, Alireza and Abdul Karim, Mohd Azhar and Ibrahim, Noor Akma (2011) A new dynamic geometric approach for empirical analysis of financial ratios and bankruptcy. Journal of Industrial and Management Optimization , 7 (4). pp. 947-965. ISSN 1547-5816; ESSN:1553-166X

Abstract

This paper presents a complementary technique for the empirical analysis of nancial ratios and bankruptcy risk using nancial ratios. Within this new framework, we propose the use of a new measure of risk, the Dynamic Risk Space (DRS) measure. We provide evidence of the extent to which changes in values for this index are associated with changes in each axis's values and how this may alter our economic interpretation of changes in patterns and directions. In addition, this model tends to be generally useful for predicting nancial distress and bankruptcy. This method would be a general methodological guideline associated with nancial data, solving some methodological problems concerning nancial ratios such as non-proportionality, nonasymmetry and non-scaled. To test the procedure, Multiple Discriminant Analysis (MDA), Logistic Analysis (LA) and Genetic Programming (GP) are employed to compare results by common and modied ratios for bankruptcy prediction. Classication methods outperformed using the DRS approach.


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Official URL: http://aimsciences.org/

Additional Metadata

Item Type: Article
Divisions: Graduate School of Management
Faculty of Science
Institute for Mathematical Research
DOI Number: https://doi.org/10.3934/jimo.2011.7.947
Publisher: American Institute of Mathematical Sciences
Keywords: Finance; Risk box; Bankruptcy; Logistic regression; Genetic programming.
Depositing User: Nur Farahin Ramli
Date Deposited: 01 Oct 2013 09:31
Last Modified: 26 Aug 2015 03:33
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.3934/jimo.2011.7.947
URI: http://psasir.upm.edu.my/id/eprint/24233
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