A multivariate analysis of financial and market-based variables for bond rating prediction

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

A multivariate analysis of financial and market-based variables for bond rating prediction

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A multivariate analysis of financial and market-based variables for bond rating prediction

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Economic Computation and Economic Cybernetics Studies and Research

ISSN

0424-267X

e-ISSN

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Svazek periodika

47

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

RO - Rumunsko

Počet stran výsledku

17

Strana od-do

67-83

Kód UT WoS článku

000328587300005

EID výsledku v databázi Scopus

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