Measurement of liquidity, insolvency and market risk levels in the textile sector of Ecuador
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A company is exposed to different types of financial risk (systematic and non-systematic risks). This research focuses on analyzing the insolvency, market and liquidity risks of the Textile Sector of Ecuador in the period 2007-2018. Regarding the methodology, a non-experimental study was carried out with a quantitative approach. The Superintendence of Companies, Securities and Insurance was used as a source of information; also scientific information on financial risk and the textile sector in Ecuador was analyzed. In the insolvency risk analysis, through the methodologies of Altman and Ohlson, it was determined that the riskiest years are 2016 and 2018: Altman score of 5,545 and 5,690 respectively, and a percentage of insolvency risk of 6,40% and 7,46% in the same years. In the market risk analysis, the Beta coefficient for the textile sector was 1,2. In addition, microenterprises have a higher level of liquidity risk, with 57,06%. Determining the financial risk of a company is an important tool for making decisions and helps to have a better vision of the fulfillment of the proposed objectives. Keywords: Insolvency risk, market risk, altman, ohlson, textile sector of Ecuador. URL: https://revistas.uta.edu.ec/erevista/index.php/bcoyu/article/view/1014 References: Ahn, B. S., Cho, S. S., & Kim, C. Y. (2000). Integrated methodology of rough set theory and artificial neural network for business failure prediction. Expert Systems with Applications, 18(2), 65-74. https://doi.org/10.1016/S0957-4174(99)00053-6 Altman, E. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23, 589-609. https://doi.org/10.2307/2978933 Altman, E. (2000). Predicting financial distress of companies: revisiting the Z-score and Zeta® models. Journal of Banking & Finance, 1, 1-54. https://doi.org/10.4337/9780857936097.00027 Altman, E., Baidya, T., & Ribeiro, L. (1979). Assessing Potential Financial Problems for firms in Brazil. Journal of International Business Studies, 10, 9-24. https://doi.org/10.1057/palgrave.jibs.8490787 Altman, E., Hartzell, J., & Peck, M. (1995). Emerging market corporate bonds — a scoring system. Salomon Brothers Inc, New York University, 391-400. https://doi.org/10.1007/978-1-4615-6197-2_25 Altman, E., & Hotchkiss, E. (2006). Corporate Financial Distress and Bankruptcy. John Wiley & Sons, Inc., Hoboken, New Jersey., 3. Beaver, W. (1966). of Failure Financial Ratios as Predictors. Journal of Accounting Research, 4, 71-111. Berg, D. (2007). Bankruptcy prediction by generalized additive models. Applied Stochastic Models in Business and Industry, 23, 129-143. https://doi.org/10.1002/asmb.658 Boritz, E., Kennedy, D., & Sun, J. (2007). Predicting business failures in Canada. Accounting Perspectives, 6(2), 141-165. https://doi.org/10.1506/g8t2-k05v-1850-52u4 Campos, S., Castro, M., Cuy, M., & Ferrer, G. (2005). CAPM en mercados emergentes. Celaya, R., & López, M. (2004). ¿Cómo determinar su riesgo empresarial? Revista Escuela de Administración de Negocios, 52, 69-75. Central Bank of Ecuador. (2018). Yearbook Bulletin - 40. https://www.bce.fin.ec/ Chaudhuri, A., & De, K. (2011). Fuzzy Support Vector Machine for bankruptcy prediction. Applied Soft Computing Journal, 11(2), 2472-2486. https://doi.org/10.1016/j.asoc.2010.10.003 Chudson, W. (1945). The Pattern of Corporate Financial Structure. National Bureau of Economic Research, 105(3), 129-133.Circiumaru, D., Siminica, M., & Ganea, M. (2009). Basics for a Graphical Model of Risk – Performances Correlation. Annales Universitatis Apulensis series Oeconomica, 1(11), 539-545. Cowan, K., & Hansen, E. (2008). Inversión, desfase de madurez y choques de liquidez en Chile. Trimestre Economico, 75(2), 433-470. https://doi.org/10.20430/ete.v75i298.408 Efron, B. (1975). The Efficiency of Logistic Regression Compared to Normal Discriminant Analysis. Journal of the American Statistical Association, 70(352), 892. https://doi.org/10.2307/2285453 Ferrando, M., & Blanco, F. (1998). Máximo Ferrando Bolado. Revista Espanola De Financiacion Y Contabilidad, XXi(1), 499-540. FitzPatrick, P. (1932). Average Ratios of Twenty Representative Industrial Failures *. The certified public account, 13-18. Ghazali, R., Jaafar Hussain, A., Mohd Nawi, N., & Mohamad, B. (2009). Non-stationary and stationary prediction of financial time series using dynamic ridge polynomial neural network. Neurocomputing, 72(10-12), 2359-2367. https://doi.org/10.1016/j.neucom.2008.12.005 Gitman, L. (2007). Principios de administración financiera. Pearson Addison Wesley. Hablich, F., Toala, I., & Agila, M. (2018). Las empresas públicas con economía mixta en el mercado de valores en el Ecuador. Recimundo, 2(1), 784-799. https://doi.org/10.26820/recimundo/2.1.2018.784-799 Horrigan, J. (1965). Some Empirical Bases of Financial Ratio Analysis. American Accounting Association, 40(3), 558-568. Hua, Z., Wang, Y., Xu, X., Zhang, B., & Liang, L. (2007). Predicting corporate financial distress based on integration of support vector machine and logistic regression. Expert Systems with Applications, 33(2), 434-440. https://doi.org/10.1016/j.eswa.2006.05.006 Jackendoff, N. (1962). A Study of Published Industry Financial and Operating Ratios. En Temple University, Bureau of Economic and Business Research. Krishnasami, J. (2012). Financial Risk: Impact on Debt-Equity Mix. SCMS Journal of Indian Management, 9(1), 43-59. Lara, A. (2008). Medición y control de riesgos financieros. Limusa. Leiva, R. (2009). Riesgos financieros después de la crisis subprime. Contabilidad y Negocios, 4(8), 18-22. Lieu, P. T., Lin, C. W., & Yu, H. F. (2008). Financial early-warning models on cross-holding groups. Industrial Management and Data Systems, 108(8), 1060-1080. https://doi.org/10.1108/02635570810904613 Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review Literature And Arts Of The Americas, 47(1), 13-37. Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7, 77-91. https://doi.org///doi.org/10.1111/j.1540-6261.1952.tb01525.x Merwin, C. L. (1942). The Five Industries: Operations and Financial Structure. En Financing Small Corporations in Five Manufacture Industries. http://www.nber.org/chapters/c9386 Mossin, J. (1966). Equilibrium in a Capital Asset Market. The Econometric Society, 34(4), 768-783. Ohlson, J. A. (1980). Financial Ratios and the Probabilistic Prediction of Bankruptcy. Journal of Accounting Research, 18(1), 109. https://doi.org/10.2307/2490395 Oxford Dictionary. (2020). Oxford English and Spanish Dictionary. https://www.lexico.com/definition/risk Pascale, R. (1988). A Multivariate Model To Predict Firm Financial Problems: the Case of Uruguay. Studies in Banking and Finance, 7, 171-182. Ross, S., Westerfield, R., & Jaffe, J. (2010). Fundamentos de finanzas corporativas (9.a ed.). McGraw-Hill Education. Ross, S., Westerfield, R., & Jaffe, J. (2012). Finanzas corporativas (9.a ed.). McGraw-Hill Education. Salcedo, V. (2018). La Bolsa de Valores en Ecuador; su valor creativo para la promoción de la inversión. Dilemas Contemporáneos: Educación , Política y Valores, 49, 430-439. Sánchez, J. (2010). La tasa de descuento en países emergente aplicación al caso colombiano. Revista EAN, 69. Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2329297 Shehni, M. (2013). Application and comparison of altman and ohlson models to predict bankruptcy of companies. Research Journal of Applied Sciences, Engineering and Technology, 5(6), 2007-2011. https://doi.org/10.19026/rjaset.5.4743 Smith, R., & Winakor, A. (1935). Changes in the Financial Structure of Unsuccessful Corporations. Bureau of Business Research, bulletin number 51. Superintendency of Companies, Securities and Insurance. (2016a). Issuance and public offering of securities in Ecuador. National Directorate for Research and Studies, 41. Superintendency of Companies, Securities and Insurance. (2016b). Resolution No. SCVS-INC-DNCDN-2016-010. Superintendency of Companies, Securities and Insurance. (2019). Information portal. https://appscvsmovil.supercias.gob.ec/portalInformacion/sector_societario.zul Terreno, D., Sattler, S., & Pérez, J. (2017). Las etapas del ciclo de vida de la empresa por los patrones del estado de flujo de efectivo y el riesgo de insolvencia empresarial. Contabilidad y Negocios, 12(23), 22-37. https://doi.org/10.18800/contabilidad.201701.002 Tobin, J. (1958). Liquidity Preference as Behavior Towards Risk. The Review of Economic Studies, 25(2), 65-86. https://doi.org/10.2307/2296205 Toro, J., Redondo, I., & Díaz, C. (2015). Riesgo Financiero en las Empresas de la ciudad de Medellín durante el año 2013. Gestión y Región, 20, 139-159. United Nations Statistical Commission (UNSD). (2008). International Standard Industrial Classification of all Economic Activities ( ISIC) Rev. 4. United Nations. https://unstats.un.org/unsd/publication/seriesM/seriesm_4rev4e.pdf Vélez-Pareja, I. (2011). Estimación de betas y relación entre las betas apalancadas y el coste del capital. Análisis financiero, 116(116), 6-13.
Una empresa está expuesta a diferentes tipos de riesgo (riesgos sistemáticos y no sistemáticos). La presente investigación se enfoca en analizar los riesgos de insolvencia, mercado y liquidez del Sector Textil del Ecuador en el periodo 2007-2018. En relación a la metodología, se realizó un estudio no experimental con un enfoque cuantitativo; la Superintendencia de Compañías Valores y Seguros es la fuente de información principal del estudio. En el análisis de riesgo de insolvencia, a través de las metodologías de Altman y Ohlson, se determinó que los años más riesgosos son el 2016 y 2018: puntaje de Altman de 5,545 y 5,690 respectivamente, y un porcentaje de riesgo de insolvencia del 6,40% y 7,46 %. El riesgo de mercado a través del coeficiente Beta para el sector textil fue de 1,2. Además, las microempresas presentan un mayor nivel de riesgo de liquidez, con un 57,06 %. Determinar el riesgo financiero de una empresa es una herramienta importante para la toma de decisiones y ayuda a tener una mejor visión del cumplimiento de los objetivos propuestos. Palabras clave: Riesgo de insolvencia, riesgo de mercado, altman, ohlson, sector textil del Ecuador. URL: https://revistas.uta.edu.ec/erevista/index.php/bcoyu/article/view/1014 Referencias: Ahn, B. S., Cho, S. S., & Kim, C. Y. (2000). Integrated methodology of rough set theory and artificial neural network for business failure prediction. Expert Systems with Applications, 18(2), 65-74. https://doi.org/10.1016/S0957-4174(99)00053-6 Altman, E. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23, 589-609. https://doi.org/10.2307/2978933 Altman, E. (2000). Predicting financial distress of companies: revisiting the Z-score and Zeta® models. Journal of Banking & Finance, 1, 1-54. https://doi.org/10.4337/9780857936097.00027 Altman, E., Baidya, T., & Ribeiro, L. (1979). Assessing Potential Financial Problems for firms in Brazil. Journal of International Business Studies, 10, 9-24. https://doi.org/10.1057/palgrave.jibs.8490787 Altman, E., Hartzell, J., & Peck, M. (1995). Emerging market corporate bonds — a scoring system. Salomon Brothers Inc, New York University, 391-400. https://doi.org/10.1007/978-1-4615-6197-2_25 Altman, E., & Hotchkiss, E. (2006). Corporate Financial Distress and Bankruptcy. John Wiley & Sons, Inc., Hoboken, New Jersey., 3. Beaver, W. (1966). of Failure Financial Ratios as Predictors. Journal of Accounting Research, 4, 71-111. Berg, D. (2007). Bankruptcy prediction by generalized additive models. Applied Stochastic Models in Business and Industry, 23, 129-143. https://doi.org/10.1002/asmb.658 Boritz, E., Kennedy, D., & Sun, J. (2007). Predicting business failures in Canada. Accounting Perspectives, 6(2), 141-165. https://doi.org/10.1506/g8t2-k05v-1850-52u4 Campos, S., Castro, M., Cuy, M., & Ferrer, G. (2005). CAPM en mercados emergentes. Celaya, R., & López, M. (2004). ¿Cómo determinar su riesgo empresarial? Revista Escuela de Administración de Negocios, 52, 69-75. Central Bank of Ecuador. (2018). Yearbook Bulletin - 40. https://www.bce.fin.ec/ Chaudhuri, A., & De, K. (2011). Fuzzy Support Vector Machine for bankruptcy prediction. Applied Soft Computing Journal, 11(2), 2472-2486. https://doi.org/10.1016/j.asoc.2010.10.003 Chudson, W. (1945). The Pattern of Corporate Financial Structure. National Bureau of Economic Research, 105(3), 129-133.Circiumaru, D., Siminica, M., & Ganea, M. (2009). Basics for a Graphical Model of Risk – Performances Correlation. Annales Universitatis Apulensis series Oeconomica, 1(11), 539-545. Cowan, K., & Hansen, E. (2008). Inversión, desfase de madurez y choques de liquidez en Chile. Trimestre Economico, 75(2), 433-470. https://doi.org/10.20430/ete.v75i298.408 Efron, B. (1975). The Efficiency of Logistic Regression Compared to Normal Discriminant Analysis. Journal of the American Statistical Association, 70(352), 892. https://doi.org/10.2307/2285453 Ferrando, M., & Blanco, F. (1998). Máximo Ferrando Bolado. Revista Espanola De Financiacion Y Contabilidad, XXi(1), 499-540. FitzPatrick, P. (1932). Average Ratios of Twenty Representative Industrial Failures *. The certified public account, 13-18. Ghazali, R., Jaafar Hussain, A., Mohd Nawi, N., & Mohamad, B. (2009). Non-stationary and stationary prediction of financial time series using dynamic ridge polynomial neural network. Neurocomputing, 72(10-12), 2359-2367. https://doi.org/10.1016/j.neucom.2008.12.005 Gitman, L. (2007). Principios de administración financiera. Pearson Addison Wesley. Hablich, F., Toala, I., & Agila, M. (2018). Las empresas públicas con economía mixta en el mercado de valores en el Ecuador. Recimundo, 2(1), 784-799. https://doi.org/10.26820/recimundo/2.1.2018.784-799 Horrigan, J. (1965). Some Empirical Bases of Financial Ratio Analysis. American Accounting Association, 40(3), 558-568. Hua, Z., Wang, Y., Xu, X., Zhang, B., & Liang, L. (2007). Predicting corporate financial distress based on integration of support vector machine and logistic regression. Expert Systems with Applications, 33(2), 434-440. https://doi.org/10.1016/j.eswa.2006.05.006 Jackendoff, N. (1962). A Study of Published Industry Financial and Operating Ratios. En Temple University, Bureau of Economic and Business Research. Krishnasami, J. (2012). Financial Risk: Impact on Debt-Equity Mix. SCMS Journal of Indian Management, 9(1), 43-59. Lara, A. (2008). Medición y control de riesgos financieros. Limusa. Leiva, R. (2009). Riesgos financieros después de la crisis subprime. Contabilidad y Negocios, 4(8), 18-22. Lieu, P. T., Lin, C. W., & Yu, H. F. (2008). Financial early-warning models on cross-holding groups. Industrial Management and Data Systems, 108(8), 1060-1080. https://doi.org/10.1108/02635570810904613 Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review Literature And Arts Of The Americas, 47(1), 13-37. Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7, 77-91. https://doi.org///doi.org/10.1111/j.1540-6261.1952.tb01525.x Merwin, C. L. (1942). The Five Industries: Operations and Financial Structure. En Financing Small Corporations in Five Manufacture Industries. http://www.nber.org/chapters/c9386 Mossin, J. (1966). Equilibrium in a Capital Asset Market. The Econometric Society, 34(4), 768-783. Ohlson, J. A. (1980). Financial Ratios and the Probabilistic Prediction of Bankruptcy. Journal of Accounting Research, 18(1), 109. https://doi.org/10.2307/2490395 Oxford Dictionary. (2020). Oxford English and Spanish Dictionary. https://www.lexico.com/definition/risk Pascale, R. (1988). A Multivariate Model To Predict Firm Financial Problems: the Case of Uruguay. Studies in Banking and Finance, 7, 171-182. Ross, S., Westerfield, R., & Jaffe, J. (2010). Fundamentos de finanzas corporativas (9.a ed.). McGraw-Hill Education. Ross, S., Westerfield, R., & Jaffe, J. (2012). Finanzas corporativas (9.a ed.). McGraw-Hill Education. Salcedo, V. (2018). La Bolsa de Valores en Ecuador; su valor creativo para la promoción de la inversión. Dilemas Contemporáneos: Educación , Política y Valores, 49, 430-439. Sánchez, J. (2010). La tasa de descuento en países emergente aplicación al caso colombiano. Revista EAN, 69. Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2329297 Shehni, M. (2013). Application and comparison of altman and ohlson models to predict bankruptcy of companies. Research Journal of Applied Sciences, Engineering and Technology, 5(6), 2007-2011. https://doi.org/10.19026/rjaset.5.4743 Smith, R., & Winakor, A. (1935). Changes in the Financial Structure of Unsuccessful Corporations. Bureau of Business Research, bulletin number 51. Superintendency of Companies, Securities and Insurance. (2016a). Issuance and public offering of securities in Ecuador. National Directorate for Research and Studies, 41. Superintendency of Companies, Securities and Insurance. (2016b). Resolution No. SCVS-INC-DNCDN-2016-010. Superintendency of Companies, Securities and Insurance. (2019). Information portal. https://appscvsmovil.supercias.gob.ec/portalInformacion/sector_societario.zul Terreno, D., Sattler, S., & Pérez, J. (2017). Las etapas del ciclo de vida de la empresa por los patrones del estado de flujo de efectivo y el riesgo de insolvencia empresarial. Contabilidad y Negocios, 12(23), 22-37. https://doi.org/10.18800/contabilidad.201701.002 Tobin, J. (1958). Liquidity Preference as Behavior Towards Risk. The Review of Economic Studies, 25(2), 65-86. https://doi.org/10.2307/2296205 Toro, J., Redondo, I., & Díaz, C. (2015). Riesgo Financiero en las Empresas de la ciudad de Medellín durante el año 2013. Gestión y Región, 20, 139-159. United Nations Statistical Commission (UNSD). (2008). International Standard Industrial Classification of all Economic Activities ( ISIC) Rev. 4. United Nations. https://unstats.un.org/unsd/publication/seriesM/seriesm_4rev4e.pdf Vélez-Pareja, I. (2011). Estimación de betas y relación entre las betas apalancadas y el coste del capital. Análisis financiero, 116(116), 6-13.
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