Phuong Thi Thuy Do
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Feature selection methods and sampling techniques to financial distress prediction for Vietnamese listed companies
Loan Thi Vu , Lien Thi Vu , Nga Thu Nguyen , Phuong Thi Thuy Do , Dong Phuong Dao doi: http://dx.doi.org/10.21511/imfi.16(1).2019.22Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 276-290
Views: 1638 Downloads: 266 TO CITE АНОТАЦІЯThe 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.
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