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Publication
Previsão de insolvência: um modelo para as empresas pertencentes à indústria do couro e dos produtos de couro
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| 1.06 MB | Adobe PDF |
Advisor(s)
Abstract(s)
A insolvência é um fenómeno que devasta financeira e socialmente milhares de empresas, pelo que se revela importante a identificação de fatores de natureza financeira que a permitam antecipar, por forma a serem tomadas medidas que possibilitem evitar esse problema. Face aos consideráveis índices de insolvência das empresas pertencentes à Classificação Portuguesa das Atividades Económicas (CAE) 15 - Indústria do Couro e dos Produtos do Couro, o presente estudo tem como principal objetivo criar um modelo de previsão de insolvência, por forma a facultar mais uma ferramenta de gestão às empresas pertencentes à CAE 15. Mais, o presente estudo tem ainda como objetivo comparar o grau de assertividade do modelo desenvolvido com outros modelos já criados.
Com base na revisão da literatura, foi identificado um conjunto de 40 rácios financeiros utilizados em modelos de previsão de insolvência, tendo estes sido aplicados a uma amostra de 108 empresas ativas e 57 empresas insolventes da CAE 15, cujas demonstrações financeiras foram disponibilizadas pela base de dados da Informa D&B relativamente ao período entre 2016 e 2019. Para criar o modelo de previsão de insolvência para a devida indústria foi utilizada a análise discriminante.
Neste estudo, os rácios financeiros que possibilitam discriminar as empresas do setor são um proxy da liquidez reduzida, o rácio do fundo de maneio relativamente ao ativo total, o (log) dos ativos fixos tangíveis e a rotação do ativo. Na amostra das empresas ativas, a função discriminante estimada apresentou uma percentagem de assertividade de 77% para o ano N-1 e N-2 e de 70% para o ano N-3, enquanto na amostra de empresas insolventes classificou corretamente 83% das empresas para o ano N-1, 78% para o ano N-2 e 70% para o ano N-3, revelando ser superior à grande maioria dos outros modelos de previsão de insolvência referenciados no presente estudo.
Insolvency is a phenomenon that financially and socially devastates thousands of companies, therefore it is important to identify financial factors that allow it to be anticipated, so that measures can be taken to avoid this problem. Given the considerable insolvency rates of companies belonging to the Portuguese Classification of Economic Activities (CAE) 15 - Leather and Leather Products Industry, this study’s main goal is to create an insolvency prediction model, in order to provide another management tool for companies belonging to CAE 15. Furthermore, this study also aims to compare the degree of assertiveness of the model developed with other models already created. Based on the literature review, a set of 40 financial ratios used in insolvency prediction models was identified, and these were applied to a sample of 108 active companies and 57 insolvent companies of CAE 15, whose financial statements were made available by the Informa D&B database for the period between 2016 and 2019. Discriminant analysis was used to create the insolvency prediction model for the respective industry. In this study, the financial ratios that make it possible to discriminate companies in the sector are a proxy of reduced liquidity, the ratio of working capital relative to total assets, the (log) of tangible fixed assets and asset turnover. In the sample of active companies, the estimated discriminant function presented an assertiveness percentage of 77% for year N-1 and N-2 and 70% for year N-3, while in the sample of insolvency companies it correctly classified 83% of the companies for year N-1, 78% for year N-2 and 70% for year N-3, revealing to be higher than the vast majority of the other insolvency prediction models referenced in this study.
Insolvency is a phenomenon that financially and socially devastates thousands of companies, therefore it is important to identify financial factors that allow it to be anticipated, so that measures can be taken to avoid this problem. Given the considerable insolvency rates of companies belonging to the Portuguese Classification of Economic Activities (CAE) 15 - Leather and Leather Products Industry, this study’s main goal is to create an insolvency prediction model, in order to provide another management tool for companies belonging to CAE 15. Furthermore, this study also aims to compare the degree of assertiveness of the model developed with other models already created. Based on the literature review, a set of 40 financial ratios used in insolvency prediction models was identified, and these were applied to a sample of 108 active companies and 57 insolvent companies of CAE 15, whose financial statements were made available by the Informa D&B database for the period between 2016 and 2019. Discriminant analysis was used to create the insolvency prediction model for the respective industry. In this study, the financial ratios that make it possible to discriminate companies in the sector are a proxy of reduced liquidity, the ratio of working capital relative to total assets, the (log) of tangible fixed assets and asset turnover. In the sample of active companies, the estimated discriminant function presented an assertiveness percentage of 77% for year N-1 and N-2 and 70% for year N-3, while in the sample of insolvency companies it correctly classified 83% of the companies for year N-1, 78% for year N-2 and 70% for year N-3, revealing to be higher than the vast majority of the other insolvency prediction models referenced in this study.
Description
Keywords
Insolvência Modelo de previsão de insolvência Indústria do couro e dos produtos de couro Rácios financeiros Demonstrações financeiras Análise discriminante Insolvency Insolvency prediction model Leather and leather products industry Financial ratios Financial statements Discriminant analysis