Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress

This study aimed to investigate the effectiveness of capital market cycle on behavior of financial distress predicting patterns. In this study, the information of 211 distressed firms, selected by certain distress criteria, along with 211 healthy firms listed in the Tehran Stock Exchange in the peri...

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Autores principales:	Sasan Mehrani (Ph.D), Yahya Kamyabi, Farzad Ghayour
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2017
Materias:	capital market cycle financial distress logistic regression support vector machine Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/6b78578ffe444cfc87e6ac9fe17f6e3b
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spelling	oai:doaj.org-article:6b78578ffe444cfc87e6ac9fe17f6e3b2021-11-04T19:52:57ZEffects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress2008-89142476-292X10.22103/jak.2017.1674https://doaj.org/article/6b78578ffe444cfc87e6ac9fe17f6e3b2017-08-01T00:00:00Zhttps://jak.uk.ac.ir/article_1674_0412c4dbd2676ca3290be71bcaed185a.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XThis study aimed to investigate the effectiveness of capital market cycle on behavior of financial distress predicting patterns. In this study, the information of 211 distressed firms, selected by certain distress criteria, along with 211 healthy firms listed in the Tehran Stock Exchange in the period 2006-2015 have been used. The model estimation by the use of 35 selected indices in the two periods of capital market recession and expansion was carried out. In this study, Hodrich-Prescott Filter for determining capital market cycle and Logistic Regression and Support Vector Machine models for predicting financial distress were used. The results showed that the behavior of financial distress predicting patterns are influenced by capital market cyclical variation in recession and expansion periods, but the influences are different in application of explaining variables and in predicting ability in the periods of recession and expansion. Also, the prediction ability in Support Vector Machine model is more than that in Logistic Regression model.Sasan Mehrani (Ph.D)Yahya KamyabiFarzad GhayourShahid Bahonar University of Kermanarticlecapital market cyclefinancial distresslogistic regressionsupport vector machineAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 8, Iss 2, Pp 35-62 (2017)
institution	DOAJ
collection	DOAJ
language	FA
topic	capital market cycle financial distress logistic regression support vector machine Accounting. Bookkeeping HF5601-5689
spellingShingle	capital market cycle financial distress logistic regression support vector machine Accounting. Bookkeeping HF5601-5689 Sasan Mehrani (Ph.D) Yahya Kamyabi Farzad Ghayour Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
description	This study aimed to investigate the effectiveness of capital market cycle on behavior of financial distress predicting patterns. In this study, the information of 211 distressed firms, selected by certain distress criteria, along with 211 healthy firms listed in the Tehran Stock Exchange in the period 2006-2015 have been used. The model estimation by the use of 35 selected indices in the two periods of capital market recession and expansion was carried out. In this study, Hodrich-Prescott Filter for determining capital market cycle and Logistic Regression and Support Vector Machine models for predicting financial distress were used. The results showed that the behavior of financial distress predicting patterns are influenced by capital market cyclical variation in recession and expansion periods, but the influences are different in application of explaining variables and in predicting ability in the periods of recession and expansion. Also, the prediction ability in Support Vector Machine model is more than that in Logistic Regression model.
format	article
author	Sasan Mehrani (Ph.D) Yahya Kamyabi Farzad Ghayour
author_facet	Sasan Mehrani (Ph.D) Yahya Kamyabi Farzad Ghayour
author_sort	Sasan Mehrani (Ph.D)
title	Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
title_short	Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
title_full	Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
title_fullStr	Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
title_full_unstemmed	Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress
title_sort	effects of capital market cycle on behavior of prediction patterns of financial distress
publisher	Shahid Bahonar University of Kerman
publishDate	2017
url	https://doaj.org/article/6b78578ffe444cfc87e6ac9fe17f6e3b
work_keys_str_mv	AT sasanmehraniphd effectsofcapitalmarketcycleonbehaviorofpredictionpatternsoffinancialdistress AT yahyakamyabi effectsofcapitalmarketcycleonbehaviorofpredictionpatternsoffinancialdistress AT farzadghayour effectsofcapitalmarketcycleonbehaviorofpredictionpatternsoffinancialdistress
_version_	1718444596070973440

Effects of Capital Market Cycle on Behavior of Prediction Patterns of Financial Distress

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