Distribuční vlastnosti finančních ukazatelů: případ českých konkurzních údajů
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Date
2013-03
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Mark
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Vysoké učení technické v Brně, Fakulta podnikatelská
Abstract
Purpose of the article: The purpose of this paper is to analyse the distributional properties of financial data,
suitable for building a bankruptcy forecast model, in the sense of normality deviation and the existence of
outliers.
Methodology/methods: In praxis, financial data in the form of financial ratios is very often not normally
distributed. A Shapiro-Wilk’s procedure was used to test normality (Shapiro, Wilk, 1965) and a Box-Cox
transformation (Box, Cox, 1964) for normalizing financial ratios.
Scientific aim: We would like to contributed to the previous pieces of research in following ways. Firstly, by
analysing a greater range of accounting ratios or indicators (i.e. 44), secondly, by focusing on data of a different
character (data suitable for building a bankruptcy forecast model), thirdly, by explaining cases in which
the parameter l is not possible to estimate, and finally fourthly, identifying a possible cause of transformation
failure in achieving normality of financial ratios.
Findings: Before the transformation none of the analysed financial ratios met the condition of one-dimensional
normality, not even on the 1-% level. After transformation, the condition of one-dimensional normality was
met, at the 1-% level, by 34% of the analysed financial ratios. The same condition, but at the 5 or 10-% level,
was met by 27% of the analysed financial ratios. The parameter l was not possible to estimate in the case of
18% of financial ratios.
Conclusions: The condition of normality for untransformed Czech bankruptcy data seems almost as impossible
to fulfil. This conclusion implies the use of non-parametric methods, such as artificial neural networks.
However, the comparison of the parametric method’s performance using untransformed or transformed data is
the subject of further research.
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Trendy ekonomiky a managementu. 2013, VII, č. 13, s. 56-67. ISSN 1802-8527.
http://www.fbm.vutbr.cz/cs/fakulta/vedecky-casopis/aktualni-cislo/1649-trendy-ekonomiky-a-managementu-cislo-13-rocnik-vii
http://www.fbm.vutbr.cz/cs/fakulta/vedecky-casopis/aktualni-cislo/1649-trendy-ekonomiky-a-managementu-cislo-13-rocnik-vii
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en
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© Vysoké učení technické v Brně, Fakulta podnikatelská