Role of Comprehensive Income in Predicting Bankruptcy

Asyrofa Rahmi, Hung Yuan Lu, Deron Liang, Dinda Novitasari, Chih Fong Tsai

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

This study examines the role of comprehensive income and its components, in addition to net income, as inputs to forecast bankruptcy. Using a matched sample of 466 (233 pairs) U.S. bankrupt and non-bankrupt firms from 1993 to 2014, we build a bankruptcy prediction model using random forest classification. Compared with the benchmark model, our proposed model’s accuracy increases by 1.5% and the Type I error decreases by up to 3%. A variable importance analysis reveals that comprehensive income is consistently the most useful variable for bankruptcy prediction. A variable interaction analysis shows that the top interaction pair includes one Altman variable and comprehensive income. Finally, we analyze bankrupt firms that our model identifies but the benchmark model misclassifies; we find that such firm’ other comprehensive income is consistently negative, suggesting that firms’ macroeconomic risk exposure plays a key role in bankruptcy prediction.

原文???core.languages.en_GB???
頁(從 - 到)689-720
頁數32
期刊Computational Economics
62
發行號2
DOIs
出版狀態已出版 - 8月 2023

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