中小企业的资本结构与违约风险:来自阿尔及利亚的证据

IF 5.7 Q1 BUSINESS, FINANCE
Riad Baha, Aldo Levy, Amir Hasnaoui
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引用次数: 1

摘要

目的本研究考察了中小企业创立时的资本结构与其3年后生存能力之间是否存在因果关系。实证策略包括两个阶段:首先,使用Logit模型将反映中小企业违约或不违约状态的研究变量回归到可能显著解释其违约风险的变量上。其次,本文考察了中小企业创立时的资本结构与生存能力之间的关系。对得到的结果进行了分析,以证实最初的假设。结果表明,Logit模型在中小企业的识别和分类方面具有良好的效果。这些发现与前人的研究结果一致,支持了前人关于该模型具有较强分类能力的结论。此外,该模型还显示,资本型中小企业,特别是股份公司(SpA)的分类率高达90%,这一点值得注意。在观察的10家中小企业中,有8家未失败的中小企业在观察期结束3年后仍在运营,存活率为80%。研究结果使银行家能够更好地理解中小企业违约风险的主要决定因素,并证明中小企业的资本结构与其生存能力之间存在因果关系。这项研究是在建筑、公共工程和液压部门(阿尔及利亚第二大部门,仅次于服务部门)进行的。在未来的工作中,作者试图将这项研究的结果扩展到其他领域的活动。原创性/价值所建立的Logit模型的丰富性在于同时考虑了财务和非财务以及定性变量。虽然定性变量在得到的结果中没有统计意义,但作者使用“法律形式”变量来证明中小企业的资本结构与其生存能力之间存在因果关系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Capital structure and default risk of small and medium enterprises: evidence from Algeria
PurposeThis study examines the existence of a causal relationship between the capital structure at the creation of the small and medium-sized enterprise (SME) and its viability after 3 years.Design/methodology/approachThe empirical strategy consists of proceeding in two stages: first, the use of the Logit model to regress the studied variable reflecting the state of an SME of being in default or not, on the variables likely to significantly explain its default risk. Second, the authors investigate the existence of a relationship between the capital structure at the time of SME creation and viability. The obtained results are analyzed to confirm the initial hypothesis.FindingsThe results obtained indicate that the Logit model performs well in terms of discriminating and classifying SMEs. These findings are consistent with previous studies and support their conclusions regarding the model's strong classification capability. Furthermore, the model demonstrates a noteworthy classification rate of 90% for capital SMEs, specifically joint-stock companies (SpA). Out of the 10 observed SMEs, 8 nonfailing SMEs were still operational three years after the observation period, resulting in a survival rate of 80%.Practical implicationsThe results allow bankers to better understand the main determinants of SME default risk and demonstrate the existence of a causal relationship between the capital structure of an SME and its viability. This study is conducted in the construction, public works, and hydraulics sector (second largest sector in Algeria after the services sector). In future works, the authors try to extend the results of this study to other sectors of activity.Originality/valueThe richness of the established Logit model is to consider both financial and non-financial and qualitative variables. Although the qualitative variables are not statistically significant in the results obtained, the authors used the “Legal form” variable to demonstrate the existence of a causal relationship between the capital structure of an SME and its viability.
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来源期刊
Journal of Risk Finance
Journal of Risk Finance BUSINESS, FINANCE-
CiteScore
6.20
自引率
6.70%
发文量
37
期刊介绍: The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk
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