2000
2000 11 2000
200 1 1 ( ) ( ) ( )
< > 1 1 1 1 2 3 2 4 1 4 1. 4 2. 6 2 9 1. 9 2. 10 (1) (Index Model)10 (2) (Discriminant Analy sis Model) 10 (3) (Logit Analy sis Model) 11 3 12 1. 12 2. 15
3 17 1 17 1. 17 2. (log it m ax im um lik e lih ood e s tim ator )19 2 21 1. 21 2. 22 3 26 1. 26 2. 28 4 36 < > 39 < > 52
< > < 1> 23 < 2> 27 < 3> () 29 < 4> () 30 < 5> () 31 < 6> () 31 < 7> ( ) 32 < 8> ( ) 32 < 9> () 33 < 10> ()33 < 11> 34 < 12> 34 < 1> 39 < 2> 41 < 3> 42 < 4> 43 < 5> 44 < 6> 45 < 7> - 46 < 8> - 46 < 9> - 47 < 10> - 47 < 11> - 48 < 12> - 48 < 13> - 49 < 14> 50 < 15> 51 < > < 1> (G.W Newton )8
< > (corporate financial distress ),,.,.,.,.,,, 4 (). (logit maximum likelihood estimator ) (discriminant analy sis) (robustness). (normal distribution ).
,,,,,,,,,,, 1,.,,,,,,, 1. 4.,,, 4, Concordant 86.9%. 82.4%, 83.5%.
1 1 1997. 1996 1996. 1997 46 199831. 1997. 1997. 19981999.,. 1999.. 1999. - 1 -
.. 1999 2 2000..,...,. - 2 -
2 4. 1, 2, 3. 4. - 3 -
2 1 1. (corporate financial distress ).. 1),,. Dun & Bradstreet (reorganization). (economic failure), (insolvency ), (bankruptcy ) 3 2)...,, 1) E. I. Altman, Corporate Financial Distress(New York : John Wiley & Son s, 1983) 2) (2000),,, 7-4 -
. (technical insolvency ) (real insolvency ).....,, (bankruptcy insolvency )..,.,. (liquidation ). - 5 -
. (reorganization)...,.,,,. 2. (J.C. Van Horne).. 1.. 2,. - 6 -
,,. 3.,. (G.W. Newton ),,, 4. 1.,,,,,.,,.. 2.,. 3-7 -
. < 1> (G.W. N e w ton ) 1 2 3 4 3.. 4. - 8 -
2.. 1........ Beaver.,. - 9 -
. 2. (Univariate). (Multivariate). (Index Model), (Discriminant Analysis Model), (Logit Analy sis Model), (Probit Analysis Model). (1) (Index Model). Wall. Wall,,,,,, 7 100, 100. (2) (Discriminant Analy sis Model). - 10 -
....,,. (3) (Logit Analysis Model). (Robust ). (logit maximum likelyhood estimation )..,,. 50%, 10% 63.9%. - 11 -
3 1. W.H. Beaver (1966).,,,. 1954 1964 10 79 5 30. 3) (profile analy sis) 6. 4) 6 (cut - off point ). 3. Altman (1968) Z- score. Z- model,,, 1) W.H. Beaver. "Financial Ratios as Predictor s of F ailure", in Empirical Research in Accounting : Selected Studies 1966, in Supplement to Journal of A ccounting R esearch (Jan, 1966) 4) 6:,,,,, {(++ - )/ } - 12 -
, 5. Altman 1946 1965 33 33 1. Z = 0.012X 1 + 0.014X 2 + 0.033X 3 + 0.006X 4 + 0.999X 5 X1 : / () X2 : / () X3 : / ( ) X4 : / ( ) X5 : / ( ). Z- s c ore Z < 1.81 1.81 < Z < 2.99 Z > 2.99 Z > 2.99, Z < 1.81, 1.81 < Z < 2.99. Altman (Multivariate Discriminant Analy sis). Z- score Altman ZET A (1993) - 13 -
. Altman Z- modelohlson (1980) O- model. O- model 5) GNP,,,,. 1993Altman ZET A 2524, 66 52. Begley, Ming, and W atts (1997) Altman Z- model Ohlson O- model 1980. Zmijew ski(1983) 6 ) 20100 75 10 1972 1978 72 3,573 F.,,,.,,., () 5) Ohlson 's (1980) model : O=- 1.32-0.407log (total assets/ GNP price- level index )+6.03(total liabilities/ total as set s)- 1.43(w orking capital/ total asset s)+0.076(current liabilities/ current assets )- 1.72(1 if total liabilities > total asset s, else 0)- 2.37(net income/ total as set s)- 1.83(funds from operation/ total liabilities )+0.285(1 if net los s for last tw o year s, else 0)- 0.521(net incomet - net incomet - 1)/ ( net incomet + net incomet - 1}) 6) M.E. Zmijew ski, "Predicting Corporate Bankrupty : An Empirical Comparison of the Extant Financial Distress Models", W ork ing P ap er(state Univer sity of New York at Buffalo, 1983) - 14 -
. 2. (1993) 1985 1 1992 7 411236 Logit.,, 3, 1.,, 3... (1995) 7),,, 1, 1, 1, 1 7,,, 2. 1991 1993 34 2. 1 91.8%, 82.35%. 7), 1995, - 15 -
(1999).,,, (capital intensity ) 8),. 4., Logit.,,,,,.. 8)., D 'Aveni & Ilinitch (1992). - 16 -
3 1 (stepwise method).. 1.. k k, k 2 2kC2, 3kC3 kck =1. kc2 + kc3 + + kck = 2 k - 1.. (forward selection ), (backw ard selection ), (maximum R- square selection ) - 17 -
.. 2... R- square. R- square. k R- square. R- square R- square.. R- square. (T olerance Limit ) (VIF : Variance Inflation Factor )... - 18 -
10. 2. (log it m ax im um lik elih ood e s tim ator ) (logit ).,. (efficiency ) (consistency ). (robustness).. y * i = ' x i + u i y * i >0 y i = 1, y i = 0. i( x i ) y i = 1, y i = 0. P ( y i = 1) (likelyhood function ), 9) 9) Amemiya(1978). - 19 -
P r ob( y i = 1) = P r ob( u i > ' x i ) = 1 - F ( - ' x i ) (1) L = y i = 0 F ( - ' x i ) y i = 1 [ 1 - F ( - ' x i ) ] (2) (2) u i, u i (logistic) F (4). 10 ) F ( - ' X i ) = ex p ( - ' x i ) 1 + exp ( - ' x i ) = 1 1 + ex p ( ' x i ) (3) (maximum likelyhood estimator ), (3) (Fisher ' s scoring method). (3). k, kkk (3) P = exp ( - ' x k ) 1 + exp ( - ' x k ) = 1 1 + ex p ( - ' x k ). P. 10) u i F 0 1. - 20 -
2 1. 1995 1999. 103. 91. ( )KIS - SMAT 1994 1998. 11) 4. 91 ( ) 1. (91 ) 2. (91 ) 3. (91 ) 4. (91 ).,,.,,, 4 11) KIS - SMAT 0. - 21 -
91. 12). 2. 43. 11, 11, 6, 7, 4. (PER), (PBR), 4 43. < 1>..,,,.,,. 12).. - 22 -
< 1> S 1 / 100 S 2 / 100 S 3 / 100 S 4 / 100 S 5 (+)/ (+) 100 S 6 / 100 (S tability ) S 7 / 100 S 8 / 100 S 9 ( + )/ 100 S 10 / 100 (Profit - ability ) S 11 / 100 P 1 / 100 P2 / 100 P3 / 100 P4 / 100 P5 / 100 P6 / 100 P7 / 100 P8 / 100 P9 / 100 P 10 / 100 P 11 / 100 A 1 / 100 A 2 / 100 A 3 / 100 (A ctiv ity ) A 4 / 100 A 5 / 100 A 6 / 100 G1 ( / )- 1 G2 ( / )- 1 G3 ( / )- 1 G4 ( / )- 1 (Grow th) G5 ( / )- 1 G6 ( / )- 1 G7 ( / )- 1 V 1 / 100 V 2 / 100 (V alue - V 3 / 100 A dded) V 4 1 / F 1 (EPS) / F 2 (BPS) ( +)/ (F inancial F 3 (CPS) / Index ) F 4 (SPS) / - 23 -
,.,.,,.,,.,.,,,.,,..,... - 24 -
.,,, 4. (EPS : Earning Per Share), 1. EPS. (BPS : Book- value per share), ()..,,. 1. (CPS : Cashflow Per Share) 1.,. (SPS : Sales Per Share). - 25 -
3 43.,,,.. 1. F -.. < 2> 4. - 26 -
< 2 > 1 1 1 13 7 9 5,,,,,,,,,,, 1, 13< 7, 8 >., - 27 -
,,,,, 1 7<9, 10 >.,,,,,,,, 9 <11, 12 >.,,,, 1, 5<13 >... 2. < 3>< 10> 4, (logit maximum likelihood estimates). 13) 13) SAS. - 28 -
< 3 > ( ) P aram et er S t an dard W al d P r > V ariable E s t im at e E rror Chi - S qu are Chi - S qu are S 2 0.00901 0.0043 4.3925 0.0361** S 8 0.000105 0.000073 2.0843 0.1488 S 9-0.081 0.0159 25.9375 0.0001*** S 11-0.0451 0.0206 4.8101 0.0283** P 5-0.0815 0.0421 3.7515 0.0528 * P 8 0.0605 0.0584 1.0738 0.3001 P 11 0.00074 0.000363 4.165 0.0413** A 3 0.00256 0.000882 8.4368 0.0037*** A 5 0.00137 0.000485 8.02 7 0.0046*** G3-0.0062 0.00378 2.6891 0.101 G7 0.00136 0.000671 4.1146 0.0425 ** V 4 5.59E - 07 2.25E - 07 6.1823 0.0129** F 1-0.00064 0.000383 2.75 79 0.0968 * Concor dant : 86.9%, Disconcor dant : 12.9% * 10%, ** 5%, *** 1% < 3>1%,,, 5%,,,, 1 5, 10%,.,,,,, 1(+),,,, (- ). Concordant 86.9%. < 3> - 29 -
.,. E ( L og it) = 0.00901S2 + 0.000105 S8 + + 0.0000005589 V4-0.00064F 1 P r () = 1 1 - e ( E ( L og it) ) P r () = 1 - P r () < 4 > 69 22 91 24 67 91 93 89 182 P ( ) = 75.8%, P ( ) = 73.6% 50% 50%. < 4> 91 69 67. 75.8% 73.6%. < 5> < 6>., - 30 -
,, 1., (+), 1(- ). Concordant 86.1%, 72.5% 83.5%. < 5 > ( ) P aram et er S tan dard W ald P r > V ari ab le E s tim at e E rror Ch i - S qu are Ch i - S qu are S 5 0.00318 0.0025 7 1.5297 0.2162 S 9-0.0728 0.013 31.4981 0.0001*** P 8 0.0605 0.0586 1.0655 0.302 P 11 0.0014 0.000377 13.7389 0.0002 *** A 5 0.00113 0.000396 8.158 7 0.0043*** V 1 0.0513 0.0374 1.8 775 0.1706 V 4-2.36E - 07 8.74E - 08 7.2888 0.0069*** Concor dant : 86.1%, Disconcor dant : 13.9% * 10%, ** 5%, *** 1% < 6 > 66 25 91 15 76 91 81 101 182 P ( ) = 72.5%, P ( ) = 83.5% - 31 -
< 7> < 8>.,,,. (+) (- ). Concordant 82.1% 82.4% (P ( )) 58.2% (P ( )). < 7 > ( ) P aram e ter S t an dard W ald P r > V ari ab le E s t im at e E rror Ch i - S qu are Ch i - S qu are S 1 0.00507 0.0151 0.1125 0.7374 S 11-0.019 0.0115 2.734 0.0982 * P 4 0.000283 0.000673 0.177 0.674 P 5 0.1061 0.02 73 15.102 7 0.0001*** P 11 0.000766 0.000297 6.6733 0.0098 *** A 4-0.00002 0.000017 1.6854 0.1942 A 5 0.000099 0.000297 0.111 0.7391 G 1-0.0375 0.0108 12.1142 0.0005 *** G4 0.00341 0.00262 1.6954 0.1929 Concor dant : 82.1%, Disconcor dant : 17.9% * 10%, ** 5%, *** 1% < 8 > 75 16 91 38 53 91 113 69 182 P ( ) = 82.4%, P ( ) = 58.2% - 32 -
< 9> < 10>.,,. (+) (- ). Concordant 83.9% 79.1% 73.6%. < 9 > ( ) P aram ete r S tan dard W ald P r > V ari ab le E s t im at e E rror Chi - S qu are Chi - S qu are S 1 0.0662 0.0164 16.2242 0.0001*** S 2-0.016 0.00371 18.6222 0.0001*** P 10 0.000598 0.00018 7 10.2146 0.0014 *** G 1-0.0519 0.0129 16.1899 0.0001*** F 4 0.000011 0.000024 0.2209 0.6384 V 4-5.38E - 08 5.00E - 08 1.1569 0.2821 Concor dant : 83.9%, Disconcor dant : 16.1% * 10%, ** 5%, *** 1% < 10 > 72 19 91 24 67 91 96 86 182 P ( ) = 79.1%, P ( ) = 73.6% < 11>. 4-33 -
Concordant 86.9% 82.1%. 82.4% 83.5%. < 11> (Con c ordan t ) P ( ) P ( ) 86.9% 75.8% 73.6% 86.1 72.5 83.5 82.1 82.4 58.2 83.9 79.1 73.6 < 12 > (2 ) (2 ) (2 ) (2 ) (3 ) (2 ) (2 ) 7(4) * 6(3) * 3(2) * 3(2) * 1 (2 ) 2(1) * 1(1) * 22(13) * : ( ) - 34 -
< 12>. 4, 3, 2, 2, 1, 1. 43,,,,,, 1 2. - 35 -
4 1997....., ().,.,,, 4., (logit maximum likelihood estimator ) (discriminant analy sis) (robustness). (normal distribution ) - 36 -
.,,,. 1.,,,,,,,,,,, 1,.,,,,,,, 1. 4.,,, 4, Concordant 86.9%. 82.4%, 83.5%. - 37 -
.,.,.,., IMF. 1997. - 38 -
< > < 1> 1995 1996 LG 1997 LG LG - 39 -
1998 LG 1999-40 -
< 2 > V ariable M e an S td D ev M in im um M ax im um A 1 68.42 2 7.52 20.22 158.93 A 2 634.89 669.94 90.70 4542.50 A 3 2 74.39 280.04 25.63 2094.99 A 4 4420.11 33354.99 67.66 318390.17 A 5 748.40 424.88 210.98 2620.17 A 6 236.66 3296.90-21491.39 17090.84 G 1 20.14 34.04-37.51 197.20 G2 14.95 30.38-31.86 215.86 G3 20.32 59.65-58.75 444.95 G4 24.99 115.03-86.61 804.67 G5 71.86 388.23-97.89 3651.91 G6 83.47 507.92-81.89 4805.32 G7-199.54 744.76-5359.19 1946.35 F 1-266.26 793.44-5915.70 688.29 F 2 256.15 820.44-4695.52 1054.33 F 3 416.10 5 76.83 0.00 5014.14 F 4 482 7.92 5 750.23 719.39 42035.94 P 1-3.90 10.14-65.03 6.04 P 2-4.43 10.22-65.04 3.66 P 3-35.04 491.96-4381.06 1296.43 P 4-41.49 493.18-4384.23 1257.82 P 5-5.75 12.82-65.95 8.39 P 6-6.51 12.50-68.09 5.08 P 7 3.41 10.10-50.43 23.66 P 8 1.90 8.31-44.14 12.34 P 9 17.01 13.66-41.85 50.64 P 10 1355.4 7 839.39 292.84 4 795.07 P 11 793.77 390.65 185.58 2582.69 S 1 18.08 18.76-84.71 55.22 S 2 116.84 50.97 33.21 2 70.5 7 S 3 81.67 44.4 7 13.20 25 7.5 7 S 4 358.76 1995.82-3073.67 18366.93 S 5 134.61 160.41-56.95 1435.74 S 6 118 7.18 8837.89-8926.86 83134.54 S 7 5 72.60 4105.77-7973.05 37438.99 S 8 614.51 4 797.95-1991.25 45695.56 S 9 50.74 15.42 15.40 113.66 S 10 262.38 441.82 0.16 38 72.61 S 11 3.39 23.63-92.17 42.28 V 1-6.35 12.77-66.11 6.38 V 2-4.31 10.12-65.45 4.59 V 3 72.28 112.17-813.67 424.78 V 4-15 74222.87 3236313.13-17179413.65 1671413.78-41 -
< 3 > V ariable M e an S td D ev M inim um M ax im um A 1 95.38 49.46 28.69 397.77 A 2 1008.78 1353.36 76.55 7967.96 A 3 337.53 368.88 49.43 2419.02 A 4 1416.46 2624.16 138.32 13456.24 A 5 1103.5 7 1180.52 226.92 6548.54 A 6-21096.22 204 776.50-1952443.2 7 44969.85 G 1 19.60 24.77-21.15 148.67 G2 14.2 7 30.22-22.68 185.08 G3 20.73 59.95-73.54 450.15 G4 29.57 143.70-82.31 125 7.19 G5 21.71 52.90-63.34 309.97 G6 24.99 72.12-73.25 394.22 G7 45.83 976.85-1320.08 9105.14 F 1 13.78 568.07-2390.77 222 7.32 F 2 499.35 555.71-2568.20 2296.01 F 3 718.65 94 7.09 0.00 5189.3 F 4 7663.81 7435.41 1358.38 59895.23 P 1 2.02 5.16-14.25 16.28 P 2 0.80 4.44-14.14 12.74 P 3-1.06 104.98-617.41 42 7.4 7 P 4-9.12 108.02-697.07 213.23 P 5 1.31 7.37-28.85 17.48 P 6-0.11 6.96-28.33 13.67 P 7 6.29 5.83-13.11 19.64 P 8 5.73 4.58-9.29 16.36 P 9 18.05 10.69 0.41 60.58 P 10 32 73.08 28 72.35 454.12 17064.08 P 11 1594.35 1166.55 261.69 5461.63 S 1 29.34 18.78-69.71 70.62 S 2 133.80 96.00 50.50 863.62 S 3 92.97 61.26 21.08 4 70.46 S 4 292.94 828.43-155.25 5253.24 S 5 114.45 58.80 22.99 501.13 S 6 806.14 3457.06-1120.62 30726.89 S 7 582.45 2 719.60-981.24 24 750.68 S 8 223.62 768.41-230.94 5972.61 S 9 36.34 16.88 3.61 108.37 S 10 25 7.94 360.60 4.39 25 73.19 S 11 7.68 16.81-24.85 66.61 V 1 0.83 7.37-29.86 16.84 V 2 1.58 5.02-14.75 15.69 V 3 71.19 85.84-460.22 304.55 V 4 362980.11 1748159.41-6514195.01 4669639.49-42 -
< 4 > V ariable M e an S td D ev M inim um M ax im um A 1 104.97 130.20 2 7.76 128 7.86 A 2 1325.2 7 4172.96 160.45 39452.8 7 A 3 32 7.62 405.42 39.24 3041.05 A 4 3753.91 20865.91 123.02 198370.53 A 5 1260.05 1507.41 226.92 11015.04 A 6 259.08 8969.15-51115.38 64389.1 G 1 18.19 23.12-17.74 148.67 G2 14.88 30.97-43.84 205.17 G3 18.09 60.69-54 450.15 G4 19.90 68.76-74.36 397.5 G5 31.64 73.05-99.68 437.38 G6 251.91 2009.75-72.74 19160.09 G7-28.43 1113.75-3354.44 9609.01 F 1-2.94 498.53-1666.15 2623.61 F 2 517.85 649.18-1742.8 4249.89 F 3 610.63 518.38 29.49 2880.04 F 4 9084.40 13484.17 1111.6 95053.13 P 1 1.41 6.63-18.9 2 7.15 P 2 0.10 6.18-21.05 20.46 P 3-46.22 377.30-3336.39 42 7.47 P 4-5 7.63 388.52-3362.91 213.23 P 5 1.85 11.44-29.09 82.19 P 6 0.33 9.80-29.45 61.93 P 7 6.42 5.19-6.02 21.35 P 8 5.46 4.15-4.39 20.19 P 9 19.13 11.63 0.77 58.5 7 P 10 3145.42 2652.65 606.02 14988.68 P 11 1516.19 940.43 200.42 5040.21 S 1 30.37 19.31-15.44 76.72 S 2 133.89 85.79 34.03 636.15 S 3 92.17 61.61 21.8 7 382.82 S 4 409.15 1210.41-661.63 9070.85 S 5 12 7.86 94.95 22.99 778.23 S 6 1144.82 4209.75-1043.53 30726.89 S 7 820.16 3177.09-828.53 24 750.68 S 8 324.45 1130.32-295.45 6537.59 S 9 35.75 16.23 3.03 97.8 7 S 10 212.93 2 74.46 0.32 1713.59 S 11 5.59 23.38-5 7.93 51.15 V 1 1.2 7 11.45-29.13 82 V 2 0.82 6.65-19.12 2 7.09 V 3 50.90 168.62-986.38 314.3 V 4-346128.08 43938 76.91-22381842.26 9675107.48-43 -
< 5 > V ariable M e an S t d D e v M inim um M ax im um A 1 92.60 37.20 34.64 24 7.02 A 2 970.61 1096.46 184.71 8811.69 A 3 309.94 338.88 53.39 2239.19 A 4 1356.06 2908.94 158.16 23242.71 A 5 984.46 762.64 235.42 4850.53 A 6-26659.04 2242 74.3-1952443.2 7 364040.96 G 1 15.37 18.61-32.22 75.5 G2 11.59 17.51-49.91 90.85 G3 11.35 33.66-54 139.8 7 G4 50.19 284.38-80.37 2385.38 G5 183.94 1539.36-83.7 14692.14 G6 22.04 4 7.82-72.74 231.74 G7-72.18 488.93-4174.84 859.93 F 1 21.34 612.79-4150.94 2094.48 F 2 611.29 1253.14-3644.41 7919.75 F 3 758.08 1002.83 0 5487.66 F 4 7929.66 7438.18 1080.06 54149.32 P 1 1.42 6.17-30.85 15.52 P 2 0.15 6.80-48.05 10.89 P 3 0.10 79.44-642.69 256.84 P 4-2.94 81.20-643.9 2 71.48 P 5 0.52 9.20-53.85 15.16 P 6-0.94 10.95-83.86 12.17 P 7 4.86 6.18-31.92 17.21 P 8 4.62 4.86-18.29 18.02 P 9 17.35 12.31-11.8 7 66.82 P 10 2894.01 2562.33 407.95 1784 7.99 P 11 1644.2 7 1067.29 293.61 6459.93 S 1 31.05 18.53-29.73 76.21 S 2 120.85 58.49 39.93 386.8 S 3 8 7.05 49.70 22.92 332.55 S 4 231.65 778.14-1198.78 7215.45 S 5 108.90 121.76-926.73 303.48 S 6 425.1393407 1192.32-1712.1 10496.98 S 7 299.8782418 776.59-1035.03 6438.93 S 8 125.1701099 436.55-677.06 4058.05 S 9 36.928 7912 16.63 2.76 97.8 7 S 10 203.4246154 221.80 1.49 1417.99 S 11 4.384 7253 19.98-41.68 50.05 V 1 0.0535165 9.11-54.03 15.05 V 2 0.95 6.04-30.96 14.6 V 3 55.58 145.01-1134.03 240.98 V 4-303562.2 7 4685792.8 7-34366652.3 84 72250-44 -
< 6 > V ariable M e an S td D ev M inim um M ax im um A 1 93.91 79.64 22.68 766.44 A 2 864.48 1107.23 213.81 8811.69 A 3 344.94 638.40 34.12 5591.2 7 A 4 3415.40 20760.08 103.18 198370.53 A 5 942.99 655.66 253.15 3377.22 A 6-461.8 7 5935.10-51115.38 12490.46 G 1 10.4 7 15.32-20.95 61.26 G2 9.28 21.78-43.18 72.78 G3 12.37 37.30-64.64 165.54 G4 6.04 50.37-82.31 215.54 G5 32.92 123.83-99.68 1040.03 G6 245.92 2009.61-50.75 19160.09 G7-108.28 1191.04-4174.84 9105.14 F 1-14 7.41 399.23-1715.67 603.81 F 2 469.38 623.79-2602.64 4249.89 F 3 5 72.17 516.61 0.00 2260.22 F 4 7915.94 9930.29 821.08 53137.8 P 1-1.15 6.60-26.83 15.52 P 2-2.19 7.44-49.00 9.8 P 3 2.54 61.94-143.84 359.61 P 4-1.70 69.64-236.54 395.84 P 5-3.07 10.65-38.96 13.18 P 6-4.11 11.43-71.15 8.32 P 7 3.60 7.48-24.18 21.35 P 8 3.76 5.40-16.65 16.78 P 9 16.54 13.14-10.71 54.78 P 10 2934.43 2668.68 402.15 14988.68 P 11 1407.11 1115.00 200.42 6459.93 S 1 31.01 18.31-6.20 76.72 S 2 133.07 79.5 7 18.08 636.15 S 3 93.68 58.18 11.20 382.82 S 4 151.17 354.60-1670.30 1050.1 S 5 117.45 62.11 30.58 361.66 S 6 306.55 716.31-3771.19 2868.54 S 7 228.89 501.75-1970.37 2459.34 S 8 77.60 255.88-1800.82 586.74 S 9 36.85 15.50 0.00 70.98 S 10 211.73 256.2 7 0.32 1506.91 S 11 6.73 21.56-43.78 50.67 V 1-3.80 10.89-42.73 10.77 V 2-1.78 6.50-2 7.05 12.69 V 3 83.33 52.28-42.81 282.26 V 4-1498235.81 4141126.97-26134600.48 2 723111.11-45 -
< 7 > - F P rob > F T ol eran c e V IF In t erc ept 0.5 7158022 0.16978321 11.33 0.0009. 0 S 2-0.00152007 0.00069198 4.83 0.0294 0.3215 76 3.109682 S 6-0.00004625 0.00002116 4.78 0.0302 0.04562 7 21.91676 S 8 0.00008059 0.00004096 3.8 7 0.0508 0.046332 21.58351 S 9 0.00888 793 0.00289095 9.45 0.0025 0.351071 2.848424 S 11 0.00701903 0.0029885 5.52 0.02 0.242543 4.122985 P 5 0.1128634 7 0.04904171 5.3 0.0226 0.00314 318.5222 P 8-0.01431398 0.00792554 3.26 0.072 7 0.300832 3.324112 P 11-0.00013954 0.0000444 9.88 0.002 0.508463 1.966713 A 3-1.93E - 04 0.0001095 3.12 0.0793 0.709435 1.4095 73 A 5-0.00011081 0.00003533 9.84 0.002 0.900954 1.109935 G3 0.00137725 0.00059206 5.41 0.0212 0.734492 1.361485 G7-0.00008444 0.00003893 4.7 0.0315 0.789376 1.266823 V 1-0.10625263 0.04923083 4.66 0.0323 0.00312 320.5495 V 4-0.00000005 0.00000002 7.54 0.0067 0.350414 2.853769 F 1 0.00015921 0.0000703 5.13 0.0248 0.375639 2.662128 F - Value : 7.24 R- Square : 0.395 < 8 > - P aram et er S t an dard V ari an c e V ari abl e e s t im at e e rror T P rob > T T oleran c e Inf l at ion In t e rc ept 0.563363 0.17304 3.256 0.0014. 0 S 2-0.001582 0.000708-2.236 0.0267 0.322304 3.102659 S 8-0.00000685 9.35E - 06-0.732 0.465 0.931418 1.073632 S 9 0.009775 0.002944 3.32 0.0011 0.354847 2.818113 S 11 0.007691 0.00305 2.522 0.0126 0.244067 4.09724 P 5 0.007484 0.005 761 1.299 0.1957 0.238491 4.193032 P 8-0.009853 0.00795-1.239 0.2169 0.313429 3.190516 P 11-0.000112 4.46E - 05-2.51 0.013 0.528837 1.890941 A 3-0.000253 0.00011-2.291 0.0232 0.731146 1.367716 A 5-0.000116 3.61E - 05-3.201 0.0016 0.903223 1.107146 G3 0.000746 0.000537 1.391 0.1662 0.937503 1.066663 G7-0.00009632 3.97E - 05-2.429 0.0162 0.797426 1.254035 V 4-4.96E - 08 2E - 08-2.628 0.0094 0.351019 2.848853 F 1 0.000086735 6.25E - 05 1.388 0.1669 0.498509 2.005982 F - Value : 7.224 R- Square : 0.3586-46 -
< 9 > - P aram et e r S t an dard V ari an c e V ari abl e E s tim at e E rror F P rob > F T ole ran c e Inf l at ion In t e rc ept 0.4 7022 7 0.15026 9.79 0.0021. 0 S 5-0.00046 0.0002 7 2.92 0.0895 0.769922 1.298832 S 9 0.010409 0.002 701 14.85 0.0002 0.434261 2.302 764 P 8-0.02142 0.009162 5.46 0.0205 0.250319 3.994895 P 11-0.00017 4.72E - 05 13.22 0.0004 0.671944 1.488219 A 5-5.4E - 05 2.86E - 05 3.53 0.0618 0.9202 78 1.086628 V 1-0.01452 0.005573 6.79 0.01 0.193855 5.158499 V 2 0.025 705 0.01195 7 4.62 0.033 0.085221 11.7342 7 V 4 2E - 08 1E - 08 3.45 0.0648 0.474177 2.108916 F - Value : 10.80 R- Square : 0.333 < 10 > - P aram e ter S t an dard V arian c e v ari abl e e s tim at e e rror T P rob > T T oleran c e Inf l at ion In t e rc ept 0.4 79558 0.151753 3.16 0.0019. 0 S 5-0.0004 7 0.0002 73-1.71 0.089 0.769993 1.298 714 S 9 0.008548 0.002585 3.306 0.0011 0.483977 2.066215 P 8-0.00732 0.006466-1.132 0.259 0.513093 1.948965 P 11-0.00017 4.76E - 05-3.48 7 0.0006 0.674009 1.483661 A 5-5.9E - 05 2.88E - 05-2.045 0.0423 0.926729 1.079064 V 1-0.00616 0.004031-1.52 7 0.1285 0.378189 2.644179 V 4 2.67E - 08 1E - 08 2.332 0.0208 0.495555 2.01794 F - Value : 11.446 R- Square : 0.315-47 -
< 11> - P aram et er S t an dard V arian c e V ari abl e E s t im at e E rror F P rob > F T oleran c e In f lati on In t e rc ept 0.8191984 0.091405 80.32 0.0001. 0 S 1-0.007404 0.002689 7.58 0.0065 0.330719 3.023712 S 7-9.03E - 05 5.34E - 05 2.87 0.0923 0.037488 26.67535 S 11 0.0060105 0.001953 9.47 0.0024 0.510766 1.95 7844 P 4-0.000759 0.000444 2.92 0.0895 0.037719 26.51186 P 5 0.1049895 0.044488 5.57 0.0194 0.003508 285.0888 P 11-1.66E - 04 4.05E - 05 16.82 0.0001 0.685192 1.459444 A 4 2.62E - 06 1.36E - 06 3.73 0.055 0.899745 1.111426 A 5-9.79E - 05 5.07E - 05 3.72 0.0554 0.917611 1.089787 G 1 0.0040424 0.001195 11.44 0.0009 0.86183 1.160322 G4-0.00042 0.000154 7.4 0.0072 0.830892 1.203526 V 1-0.114452 0.045029 6.46 0.0119 0.003449 289.9309 F - Value : 9.16 R- Square : 0.372 < 12 > - P aram et er S tan dard V arian c e V ari abl e E s tim at e E rror T P rob > T T oleran c e Inf l at ion In terc ept 0.859966 0.084182 10.215 0.0001. 0 S 1-0.00691 0.002 71-2.549 0.0117 0.339023 2.949653 S 11 0.004976 0.001951 2.55 0.0116 0.532903 1.876515 P 4-1.7E - 05 8.8 7E - 05-0.195 0.8458 0.986511 1.013673 P 5-0.00768 0.003836-2.002 0.0469 0.491246 2.035639 P 11-0.00017 4.13E - 05-4.111 0.0001 0.686932 1.455 749 A 4 2.41E - 06 1.38E - 06 1.74 0.0836 0.903441 1.1068 79 A 5-9.8E - 05 5.17E - 05-1.899 0.0593 0.919612 1.08 7415 G 1 0.004026 0.001217 3.307 0.0011 0.865139 1.155883 G4-0.00044 0.000157-2.769 0.0062 0.831866 1.202116 F - Value : 9.786 R- Square : 0.339-48 -
< 13 > - P aram e ter S t an dard V arian c e V ari abl e E s t im at e E rror F P rob > F T ole ran c e Inf l at ion In t e rc ept 0.867968 0.090984 91.01 0.0001. 0 S 1-0.01345 0.002251 35.69 0.0001 0.489225 2.044049 S 2 0.001318 0.000604 4.77 0.0303 0.5794 72 1.725 708 P 10-6.7E - 05 1.64E - 05 16.55 0.0001 0.783641 1.2 76094 G 1 0.004416 0.00122 7 12.96 0.0004 0.882645 1.132958 M 4-1.3E - 05 4.2 7E - 06 9.02 0.0031 0.768178 1.301782 V 4 3E - 08 1E - 08 9.2 7 0.002 7 0.73325 1.363791 F - value : 14.88 R- Square : 0.338-49 -
< 14 > D 0.6124 0.2337 0.0628 0.9948 D 0.2950 0.2559 0.0000 0.8891 U D 0.38 76 0.2337 0.0052 0.9372 U D 0.7050 0.2559 0.1109 1.0000 D 0.7193 0.2310 0.0410 1.0000 D 0.3106 0.3041 0.0000 0.9884 U D 0.2807 0.2310 0.0000 0.9591 U D 0.6894 0.3041 0.0116 1.0000 D 0.5970 0.2324 0.1366 0.9978 D 0.3086 0.2139 0.0065 0.92 78 U D 0.4030 0.2324 0.0023 0.8634 U D 0.6914 0.2139 0.0722 0.9935 D 0.6320 0.2285 0.0775 0.9998 D 0.3121 0.234 7 0.0009 0.9373 U D 0.3680 0.2285 0.0002 0.9225 U D 0.68 79 0.234 7 0.062 7 0.9991 : D = UD = - 50 -
< 14 > 1%- 10 % 3 3.3 3 3.3 1%- 10% 30 33 30 33 11-20 5 5.5 8 8.8 11-20 12 13.2 42 46.2 21-30 5 5.5 13 14.3 21-30 6 6.6 48 52.7 3 1-40 5 5.5 18 19.8 31-40 12 13.2 60 65.9 4 1-50 7 7.7 25 2 7.5 41-50 9 9.9 69 75.8 5 1-60 10 11 35 38.5 51-60 9 9.9 78 85.7 6 1-70 18 19.8 53 58.2 61-70 7 7.7 85 93.4 7 1-80 22 24.2 75 82.4 71-80 1 1.1 86 94.5 8 1-90 12 13.2 87 95.6 81-90 5 5.5 91 100 91-100 4 4.4 91 100 9 1-100 1%- 10 % 1 1.1 1 1.1 1%- 10% 34 37.4 34 37.4 11-20 3 3.3 4 4.4 11-20 10 11 44 48.4 21-30 2 2.2 6 6.6 21-30 8 8.8 52 57.1 3 1-40 2 2.2 8 8.8 31-40 9 9.9 61 67 4 1-50 8 8.8 16 17.6 41-50 5 5.5 66 72.5 5 1-60 9 9.9 25 2 7.5 51-60 6 6.6 72 79.1 6 1-70 9 9.9 34 37.4 61-70 4 4.4 76 83.5 7 1-80 15 16.5 49 53.8 71-80 6 6.6 82 90.1 8 1-90 17 18.7 66 72.5 81-90 4 4.4 86 94.5 91-100 25 2 7.5 91 100 9 1-100 5 5.5 91 100 1%- 10 % 1%- 10% 14 15.4 14 15.4 11-20 2 2.2 2 2.2 11-20 19 20.9 33 36.3 21-30 8 8.8 10 11 21-30 20 22 53 58.2 3 1-40 8 8.8 18 19.8 31-40 13 14.3 66 72.5 4 1-50 20 22 38 41.8 41-50 9 9.9 75 82.4 5 1-60 12 13.2 50 54.9 51-60 8 8.8 83 91.2 6 1-70 9 9.9 59 64.8 61-70 2 2.2 85 93.4 7 1-80 10 11 69 75.8 71-80 2 2.2 87 95.6 8 1-90 11 12.1 80 87.9 81-90 3 3.3 90 98.9 91-100 11 12.1 91 100 9 1-100 1 1.1 91 100 1%- 10 % 2 2.2 2 2.2 1%- 10% 21 23.1 21 23.1 11-20 4 4.4 6 6.6 11-20 15 16.5 36 39.6 21-30 5 5.5 11 12.1 21-30 12 13.2 48 52.7 3 1-40 6 6.6 17 18.7 31-40 14 15.4 62 68.1 4 1-50 7 7.7 24 26.4 41-50 10 11 72 79.1 5 1-60 8 8.8 32 35.2 51-60 6 6.6 78 85.7 6 1-70 19 20.9 51 56 61-70 8 8.8 86 94.5 7 1-80 21 23.1 72 79.1 71-80 2 2.2 88 96.7 8 1-90 9 9.9 81 89 81-90 1 1.1 89 97.8 91-100 10 11 91 100 9 1-100 2 2.2 91 100-51 -
< > Altm an, E. I.(1968), "Financial Ratios, Discriminant Analy sis and the Pr ediction of Corpor ate Bankruptcy," Journal of Finance, September. Altm an, E. I.(1980), "Comm ercial Bank Lending Pr ocess, Credit Scoring and Cost s of Err or s in Lending," Journal of Financial and Quantitativ e Analy sis, November, 1001-1016. Altm an, E. I.(1984), "T he Succes s of Bu siness F ailure Prediction Models," Journal of Banking and Finance 8, 171-198. Amemiya, T.(1978), "On a T wo- Step Estimation of a Multivariate Logit Model," Journal of Econometrics 8(1), 13-21. Deakin, E.(1972), "A Discriminant Ananly sis of Pr edict or s of Bu siness F ailure," Journal of A ccounting Research 10, No.1. Dietrich, J.R. and Kaplan, R.S.(1982), "Empirical Ananly sis of the Commercial Loan Classification Decision," Accounting Review, January, 18-27. Edmister, R. O.(1972), "An Empirical T est of Financial Ratio Analy sis of Snakk - Bu sines s F ailur e Pr ediction," Journal of Financial and Quantitativ e Analy sis, March, 1477-1493. F ost er, G.(1986), Financial Stat ement Analy sis, New Jer sey : Pr entice- Hall. Goldberger, A. S.(1964), Economic T heory, New York : Wiley. Libby, Robert (1975), "A ccounting Ratio and the Prediction of F ailure: Some Behavior al Evidence," Journal of A ccounting Research, Spring, 150-161. O 'har a, T. F., Hosm er, D.W., Lem eshow, S. and Hartz, S. C.(1982), A - 52 -
Comparison of Discriminant Function and Maximum Likelihood E stimates of Logisitic Coefficient for Categorical Data, Univ er sity of Massachusett s, Amher st, Mass. Ohlson, J. A.(1980), "Financial Ratio and the Pr obablistic Pr ediction of Bankruptcy," Jour anl of Accounting Resear ch, Spring, 109-131. Orgler, Y. E.(1970), "A Cr edit Scoring Model for Comm ercial Loan s," Journal of Money, Credit and Banking, Nov ember, 435-445. Pr egibon, D.(1981), "Logistic Regr ession Diagnostics," Annal of Statistics 9(4), 705-724. Pr ess, S. J. and Wilson S.(1978), "Choosing Betw een Logistic Regres sion and Discriminant Analy sis," Journal of Am erican Statistical A ssociation, 699-705. W. H. Beav er (1966), "Financial Ratios as Pr ediction of F ailur e," Journal of Accounting Research. M. E. Zmiew ski, "Pr edicting Bankruptcy : An Empirical comparison of the Extant Financial Distr ess." SAS In stitut e Inc.(1990), SAS/ ST AT User ' s Guide(Ver sion 6. F ourth Edition ).,, (1995),,,. (1995),,. (1982),, ( )., (1998),, - 53 -
, 4 1., (1999),, 25., (1995),,,., (1999),,, 28 4., (1999),, 5 1. (2000),,, 7., SAS, 1997,.,,, 2000.,,, 1997., SAS,, 1996. - 54 -