Cet ouvrage presente les corriges des cas pratiques traitant l'integralite de l'UE 2 (Fin... more Cet ouvrage presente les corriges des cas pratiques traitant l'integralite de l'UE 2 (Finance) du DSCG
Can earnings management information improve bankruptcy prediction models?
Annals of Operations Research, Jul 8, 2021
This study investigates whether earnings management in its two forms (accruals and real activitie... more This study investigates whether earnings management in its two forms (accruals and real activities manipulation) can improve bankruptcy prediction models. In particular, it examines whether special information extracted from earnings management, including potential manipulations of the reported earnings found in financial statements, might improve the accuracy of bankruptcy prediction models. It applies earnings management–based models, based on financial ratios and earnings management variables, to a sample of 6,000 French small and medium-size enterprises, then compares the classification rates obtained by these models with a model based solely on financial ratios. This study thus makes several contributions by (1) investigating novel predictors, accruals, and real activities manipulation variables, in the context of bankruptcy prediction modeling; (2) enabling analyses of the contribution of earnings management–based variables, in the form of static and dynamic indicators, to model performance; (3) revealing the influence of these variables on the forecasting horizon of bankruptcy prediction models (one- to three-year horizon); and (4) establishing that earnings management information provides a complementary explanatory variable for enhancing model performance.
Purpose -Corporate failure remains a critical financial concern, with implications for both firms... more Purpose -Corporate failure remains a critical financial concern, with implications for both firms and financial institutions; this paper aims to review the literature that proposes corporate failure prediction models for the twenty-first century. Design/methodology/approach -This paper gathers information from 106 published articles that contain corporate failure prediction models. The focus of the analysis is on the elements needed to design corporate failure prediction models (definition of failure, sample approach, prediction methods, variables and evaluation metrics and performance). The in-depth review creates a synthesis of current trends, from the view of those elements. Findings -Both consensus and divergences emerge regarding the design of corporate failure prediction models. On the one hand, authors agree about the use of bankruptcy as a definition of failure and that at least two evaluation metrics are needed to examine model performance for each class, individually and in general. On the other hand, they disagree about data collection procedures. Although several explanatory variables have been considered, all of them serve as complements for the primarily used financial information. Finally, the selection of prediction methods depends entirely on the research objective. These discrepancies suggest fundamental advances in discovery and establish valuable ideas for further research. Originality/value -This paper reveals some caveats and provides extensive, comprehensible guidelines for corporate failure prediction, which researchers can leverage as they continue to investigate this critical financial subject. It also suggests fruitful directions to develop further experiments.
Previous studies of bankruptcy prediction in imbalanced datasets analyze either the loss of predi... more Previous studies of bankruptcy prediction in imbalanced datasets analyze either the loss of prediction due to data imbalance issues or treatment methods for dealing with this issue. The current article presents a combined investigation of the degree of imbalance, loss of performance, and treatment methods. It determines which imbalanced class distributions jeopardize the performance of bankruptcy prediction methods and identifies the recovery capacities of treatment methods. The results show that an imbalanced distribution, in which the minority class represents 20%, significantly disturbs prediction performance. Furthermore, the support vector machine method is less sensitive than other prediction methods to imbalanced distributions, and sampling methods can recover a satisfactory portion of performance losses. Accordingly, this study provides a better understanding of the data imbalance issue in the field of corporate failure and serves as a methodological guide for designing bankruptcy prediction methods in imbalanced datasets.
We examine the impact of two types of earnings management, accruals and real activities manipulat... more We examine the impact of two types of earnings management, accruals and real activities manipulation, on bankruptcy prediction models. Consider that the form of engaging on earnings management might characterize firms' financial condition, we hypothesize and find that the special information extracted from earnings management models which encompass potential manipulations serves to improve the accuracy of bankruptcy prediction models. We further provide evidences that when potential accruals manipulation is measured, it allows an improvement of bankrupt firms, while real activities measures, especially sales manipulation, enhance the prediction improvement of non-bankrupt firms. Our finding suggests that failed firms are more likely to engage on accruals manipulation, while healthy firms do it on real activities manipulation. As a result, this study contributes to the literature by analyzing a novel explanatory variable, earnings management variable, to predict bankruptcy that can overcome financial alteration and can be applied to any type of firms.
HAL (Le Centre pour la Communication Scientifique Directe), 2007
The question of leasing credit as a substitute or complement of a banking loan has still not been... more The question of leasing credit as a substitute or complement of a banking loan has still not been resolved in the financial literature. As a continuation of these arguments, the objective of this article is, on the one hand, to determine the characteristics of firms using leasing credit and on the other hand, to better understand the relationship between leasing and credit rationing. Firstly, our results suggest that SME use leasing all the more the leasing so when they are young, leveraged, less solvent and that they present an small size and an important failure probability. Thus, leasing pushes back the limits of banking debt for firms that have no access to it. Secondly, our results suggest a strong and significant relationship between credit rationing and the use of leasing. In this framework the latter appears to be a last resort financing.
This paper proposes a method which is the advanced modification of the original extreme learning ... more This paper proposes a method which is the advanced modification of the original extreme learning machine with a new tool for solving the missing data problem. It uses a cascade of L 1 penalty (LARS) and L 2 penalty (Tikhonov regularization) on ELM (TROP-ELM) to regularize the matrix computations and hence makes the MSE computation more reliable, and on the other hand, it estimates the expected pairwise distances between samples directly on incomplete data so that it offers the ELM a solution to solve the missing data issues. According to the experiments on five data sets, the method shows its significant advantages: fast computational speed, no parameter need to be tuned and it appears more stable and reliable generalization performance by the two penalties. Moreover, it completes ELM with a new tool to solve missing data problem even when half of the training data are missing as the extreme case.
The Effect of Earnings Management on Debt Maturity: An International Study [L’effet de la gestion des résultats sur la maturité: une étude internationale]
RePEc: Research Papers in Economics, 2020
Cet article examine l’effet de la gestion des resultats sur la maturite de la dette et comment ce... more Cet article examine l’effet de la gestion des resultats sur la maturite de la dette et comment cette relation est influencee par l’environnement institutionnel. L’echantillon est issu de 17 pays europeens de l’indice STOXX Europe 600 sur la periode 2006-2014. Nos resultats montrent que la gestion des resultats, aussi bien par les accruals discretionnaires que par la gestion reelle, a un effet negatif sur la dette a long terme. Plus important encore, nous observons que le lien negatif entre la gestion des resultats et la dette a long terme ne tient que dans les pays a faible protection des creanciers. Ce resultat suggere que la bonne protection des creanciers tend a compenser la faiblesse de la qualite de l’information financiere des emprunteurs.
Quel avenir pour la recherche et la publication en français
RePEc: Research Papers in Economics, 2016
Cet article resume une table ronde sur les enjeux et les perspectives de la publication en franca... more Cet article resume une table ronde sur les enjeux et les perspectives de la publication en francais en sciences de gestion qui s'est tenue a l'occasion des 50 ans de La Revue des Sciences de Gestion.
This paper presents a new methodology for missing value imputation in a database. The methodology... more This paper presents a new methodology for missing value imputation in a database. The methodology combines the outputs of several Self-Organizing Maps in order to obtain an accurate filling for the missing values. The maps are combined using MultiResponse Sparse Regression and the Hannan-Quinn Information Criterion. The new combination methodology removes the need for any lengthy cross-validation procedure, thus speeding up the computation significantly. Furthermore, the accuracy of the filling is improved, as demonstrated in the experiments.
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Papers by Éric Séverin