DETECTING FINANCIAL DISTRESS: DISCRIMINANT VERSUS …etd.uum.edu.my/943/2/1.ABD._HALIM_@_HAMILTON_B._AHMADXX.pdf · Kajian ini rnenguji dua ujian statistik iaituanalisis diskriminan

DETECTING FINANCIAL DISTRESS: DISCRIMINANTVERSUS LOGISTIC REGRESSION ANALYSIS

A thesis submitted to the Graduate School in partial fulfillment for the requirements f‘01

the degreeMaster of Science (Finance)Universiti Utara Malaysia

Abd Halim (3 Hamilton bin A:mad

0 Abd Halim ((z Hamilton bin Ahnnad. 2003. All rights reserved

Sekolah Siswazah(Graduate School)

Universiti Utara Malaysia

PERAKUAN KERJA KERTAS F’ROJEK(Certification of Projecf Paper)

Saya, yany bertandatangan, memperakukan bahawa I

(/, fhe undersigned, certify that) I

IABD. HALIM @ HAMILTON AHMAD

calon untuk ljazah MSc (Finance)(candidate for the degree 00

telah mengemukakan kertas projek yang bertajuk(has presented his/her project paper of fhe following title)

DETECTING FINANCIAL DISTRESS : DISCRIMINANT VERSUS LOGISTIC

REGRESSION ANALYSIS

seperti yang tercatat di muka surat tajuk dan kulit kertas projek(as if appears on the title page and front colder of project paper)

bahawa kertas projek tersebut boleh diterima dari segi bentuk serta kandungan clan me!iputibidang ilmu dengan memuaskan.(that the p&f paper acceptable in form and content and that a satisfactory knowledge of thefield is covered by the project paper).

Nama Penyelia : Prof. Madya Dr. Nur Adiana Hiau Abdullah(Name of Supervisor)

Tandatangan :(Signature)

Tarikh(Date)

PERMISSION TO USE

In presenting this this in partial fulfillment for the rtquirements ol‘ post y-aduatcdegree from Uniw-siti Utara Malaysia. I agree that the IkJniversity Librar~~ may make itfI-eely available for inspection. I further agree that permksion for copying of‘ this thesisin any 17im1it’1~. in whole or in part. for scholarly p~~rposcs may be granted by mysupenisor or. in their abs~ncc. 1~1, the Dean of‘ the Graduate School. It is understood thatany copy i Ii,(7 or publication or use of‘this this or parts tlweof’ for fimncial gain shall notbe allon cd \\ ithoclt IN>’ L\ ritten pemission. It is also understood that dw recognitionshall lx giwn to mc and to I hi\ orsiti Iltara h,lala\ 5ia lTor an! scliola~~l! IISC \\ hicli ma! bcmade of an> material from III) thesis.

Requests fkw permission to cl.>p,\’ or to make other llsc of‘ materials in this thesis. inwhole OI- in part. should be addressed to:

Dean of‘ Graduate SchoolIJniwrsiti IJtara Malaysia

060 10 SintokKedah Dan11 Aman

ABSTRACT (BAI-IASA MALAYSIA)

Kajian ini rnenguji dua ujian statistik iaitu analisis diskriminan dan nmdcl logi/ untuk

niengenalpasti kebarangkalian sesebuah syarikat berada d i dahn kctidakstabilan

kewangan. Kaj ian ini juga menggunakan nisbah kewangan sebagai petun-i uk kepada

ketidakstabilan kcwangan. Kcputusan darip;~da kajian ini menu~~jukkan model logi/

member-ikan ketepatan yang lebih tingi bchmding analisis diskriminan. Jlodel logil

uncrnbcrikan ketepatan klasitikasi scbm~~al; 0 1 .$ pcratus dalam k~selu~~han sxnpcl dan

90 pera tus dalam sampel kmvalan. hlanalala untuk analisis di,il;riniitian. ketepatan

klasifikasi adalah 84.5 peratus untul; kcselu11111a11 samp~l dan 80 px~tus cmtul, san~pc!

kawalan. LJntuk analisis diskriminan terdapat tiga petunjuk d i dalam nmlcl yng

nwmisahkan di antara syarikat wq stabil dan s\,arikat ymg tidak stabil dalam ktxanganI r

iaitu nisbah senma. pendapatan bersih kepada jumlah aset da11 illalan lqada asset

seniasa. M o d e l logi/ bjuga ~n~nu~~.j~~l;kan tiga f&or atau pctul$k dalam model

terakliirnya iaitu ekuiti peniqyng sallam kepada jumlah liabiliti.aliran tunai dai$~adn

aktkiti pembiayaan kepada jumlah liabiliti dan pendapatan bersih kcpada jumlah aset.

Dapatan daripada kaj ian ini diharap dapat memberikan pcmahaman tentang faktor atau

pcnentu kepada ketidkstabilan ktmangan dan seterusn! a s> arikat dapat mtxganhil

langkali tertentu wtuk mengelakl;an lqagalan.

ii

ABSTRACT (ENGLISH)

This study examines two statistical tests. which are discriminant analysis and the logit

model to predict the probability of financially distress companies. In addition. this stud!

also utilizes the usage 01‘ iinancial ratios as a predictor of a company in a state of

financialI! distressed. The findings ho\\ that the logit model sho~\x better prc’diction

accurac! ;lian the discriniinant analysis. The logit model correctly classifitx~ 0 1 .1 percent

01‘ the companies in the estimation sample and 90 percent for tk holdout sample.

I hwe~er. thl- discriminant mode!. the oxrall accuracy rate fix the estimation and the

holdout samples are 84.5 percent and 80 percent respectively. For discriminant analysis.

there arc three factors found to hal,e significant discriminating poser: currcllt ratio. net

income to total assets. and sales to current assets. Similarly. logit model also identified

three fjctors but two of’ the factors (shareholders’ equity to total liabilities and cash flo\\

h-0111 financing to total liabilities) are different from those found in discriminant analysis.

The onl!! factor which is identified in both models is net income to total assets. The

findings @ve clear understanding of the relevant factors that can cause financial distress.

Hence. companies could take immediate actions to a\,oid failure to the cornpan!.

. . .1 1 1

The contents of

the thesis is for

internal user

only