THE DEVELOPMENT OF THE CREDIT SCORING MODEL FOR COMPANIES LISTED ON THE STOCK EXCHANGE OF THAILAND
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Abstract
The purposes of this research aimed (1) to study financial ratios, market related variables and company characteristic which could predict credit scoring performance, (2) to develop the credit scoring model for companies and (3) To test the causal influences of predictive variables from the developed credit scoring model on stock return. The research methodology was mixed method. The samples of quantitative method were selected by matched pairs between unhealthy financial and healthy financial companies, and, this method used secondary data. For the qualitative method, the research collected data from in-depth interview with experts selected by purposive sampling. According to the study of the predictable variables and the development of credit scoring model for businesses by using logistic regression analysis, the research found that the financial ratios such as current ratio, net working capital to total assets ratio, fixed asset turnover ratio, return on assets and return on equity, market related variable which is the market value of assets to default point ratio, and company characteristic which is firm size, were the predictable variables. Moreover, when these variables are used to develop the credit scoring model, the model showed 82.70 percent accuracy in prediction.
As for the test of the influence of the predictable variables from the developed credit scoring model on stock return by using path analysis, it was found that the causal variables influencing on stock return directly and indirectly consisted of current ratio, net working capital to total assets ratio, fixed asset turnover ratio and the market value of assets to default point ratio. While firm size has a direct influence significantly on stock return, it is not significant in an indirect influence. In the overview, the causal model was consistent with empirical data and had consistency values passing all conformance criteria. In addition, the results of qualitative research found that all experts agreed with the quantitative research results that have been developed.
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