A multivariate analysis of financial and market-based variables for bond rating prediction
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86082946" target="_blank" >RIV/61989100:27510/13:86082946 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A multivariate analysis of financial and market-based variables for bond rating prediction
Original language description
The analysis of factors which have the strongest influence on rating can contribute to the higher information availability of market participants, and it enables to react on changes and new information sooner and independently from rating agencies. The paper presents an estimation of corporate bond rating models based on both financial and market-based indicators. Multivariate discriminant analysis and logistic regression were used to identify variables with a significant impact on corporate bond ratingin oil and gas industry. In addition to common financial variables, the following market-based indicators such as earnings per share, enterprise value, market capitalization and beta are considered in this paper. Among all the variables used in this study, the enterprise value is the most significant variable for bond rating prediction. The practical use of models lies in the area of management decision process and managing credit risk.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Computation and Economic Cybernetics Studies and Research
ISSN
0424-267X
e-ISSN
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Volume of the periodical
47
Issue of the periodical within the volume
2
Country of publishing house
RO - ROMANIA
Number of pages
17
Pages from-to
67-83
UT code for WoS article
000328587300005
EID of the result in the Scopus database
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