The role of financial constraint factors in predicting SME default

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F21%3APU142491" target="_blank" >RIV/00216305:26510/21:PU142491 - isvavai.cz</a>

Výsledek na webu

<a href="http://economic-research.pl/Journals/index.php/eq/article/view/1930" target="_blank" >http://economic-research.pl/Journals/index.php/eq/article/view/1930</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.24136/eq.2021.032" target="_blank" >10.24136/eq.2021.032</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The role of financial constraint factors in predicting SME default

Popis výsledku v původním jazyce

Research background: SMEs face financial constraints in their development, which limits their access to external funds, tightens their investment possibilities, and limits their growth. Much research effort has been devoted to understanding the nature and sources of this phenomenon. In sharp contrast to this, very little has been said about the role of these factors in explaining the default probability of these types of enterprises. Understanding such interrelationships could help to adopt policies to alleviate the situation of constrained SMEs and lower their default rates. Purpose of the article: This study analyses the role of financial constraint factors in SME defaults. This is done by utilising the financial constraint factors in a newly derived default prediction model. A comparison of the derived model and other SME default prediction models is carried out to assess the potential of financial constraints in the discrimination power of the model. Methods: In this study, we use the Cox semiparametric model, while leaving the baseline hazard rate unspecified and employing macroeconomic variables as explanatory variables. The discrimination power was addressed in terms of the area under the curve (AUC), resulting in out-of-sample testing. The DeLong test was used to compare the AUC of the created and analysed models. The model was estimated on a set of over 213,731 SMEs from 28 counties, covering the period 2014?2019. Findings & value added: It was found that adopting the financial constraint measures can explain the default of small and medium enterprises with high accuracy; however, they do not explain the default of micro enterprises.

Název v anglickém jazyce

The role of financial constraint factors in predicting SME default

Popis výsledku anglicky

Research background: SMEs face financial constraints in their development, which limits their access to external funds, tightens their investment possibilities, and limits their growth. Much research effort has been devoted to understanding the nature and sources of this phenomenon. In sharp contrast to this, very little has been said about the role of these factors in explaining the default probability of these types of enterprises. Understanding such interrelationships could help to adopt policies to alleviate the situation of constrained SMEs and lower their default rates. Purpose of the article: This study analyses the role of financial constraint factors in SME defaults. This is done by utilising the financial constraint factors in a newly derived default prediction model. A comparison of the derived model and other SME default prediction models is carried out to assess the potential of financial constraints in the discrimination power of the model. Methods: In this study, we use the Cox semiparametric model, while leaving the baseline hazard rate unspecified and employing macroeconomic variables as explanatory variables. The discrimination power was addressed in terms of the area under the curve (AUC), resulting in out-of-sample testing. The DeLong test was used to compare the AUC of the created and analysed models. The model was estimated on a set of over 213,731 SMEs from 28 counties, covering the period 2014?2019. Findings & value added: It was found that adopting the financial constraint measures can explain the default of small and medium enterprises with high accuracy; however, they do not explain the default of micro enterprises.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Equilibrium

ISSN

1689-765X

e-ISSN

—

Svazek periodika

16

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

25

Strana od-do

859-883

Kód UT WoS článku

000748401500007

EID výsledku v databázi Scopus

2-s2.0-85122943650