Feature selection methods and sampling techniques to financial distress prediction for Vietnamese listed companies

Vu, Loan Thi and Vu, Lien Thi and Nguyen, Nga Thu and Do, Phuong Thi Thuy and Dao, Daniel (2019) Feature selection methods and sampling techniques to financial distress prediction for Vietnamese listed companies. Investment Management and Financial Innovations, 16 (1). pp. 276-290. (https://doi.org/10.21511/imfi.16(1).2019.22)

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Abstract

The research is taken to integrate the effects of variable selection approaches, as well as sampling techniques, to the performance of a model to predict the financial distress for companies whose stocks are traded on securities exchanges of Vietnam. A firm is financially distressed when its stocks are delisted as requirement from Vietnam Stock Exchange because of making a loss in 3 consecutive years or having accumulated a loss greater than the company’s equity. There are 12 models, constructed differently in feature selection methods, sampling techniques, and classifiers. The feature selection methods are factor analysis and F-score selection, while 3 sets of data samples are chosen by choice-based method with different percentages of financially distressed firms. In terms of classifying technique, logistic regression together with SVM are used in these models. Data are collected from listed firms in Vietnam from 2009 to 2017 for 1, 2 and 3 years before the announcement of their delisting requirement. The experiment’s results highlight the outperformance of the SVM model with F-score selection method in a data sample containing the highest percentage of non-financially distressed firms.

  • Item type:Article
    ID code:86738
    Dates:
    Date
    Event
    25 March 2019
    Published
    12 March 2019
    Accepted
    21 December 2018
    Submitted
    Notes:© Loan Thi Vu, Lien Thi Vu, Nga Thu Nguyen, Phuong Thi Thuy Do, Dong Phuong Dao, 2019 Loan Thi Vu, Lien Thi Vu, Nga Thu Nguyen, Phuong Thi Thuy Do and Dong Phuong Dao (2019). Feature selection methods and sampling techniques to financial distress prediction for Vietnamese listed companies. Investment Management and Financial Innovations, 16(1), 276-290. doi:10.21511/imfi.16(1).2019.22
    Subjects:Social Sciences > Commerce > Business
    Social Sciences > Finance
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Pure Administrator
    Date deposited:21 Sep 2023 07:56
    Last modified:22 Apr 2024 00:57
    URI:https://strathprints.strath.ac.uk/id/eprint/86738
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