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stepwise & factor analysis . Libby (1975), Pincher, Miago and Carnthon

(1973),Combola and Ketz (1983) ..]

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Foster (1986), Altman (1982) & Rose, Andrews and Giroux (1982),

, Altman,

Haldeman and Narayanen (1977) Diakoyiannis (1989),

( ) .

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,

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a) (Univariate Analysis)

b)

- (Discriminant Analysis)

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c)

19

- Recursive Partioning

-

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Beaver (1966),

30

.

( 87%),

.

. ,

,

[Zavgren (1983)].

[Schipper (1977)].

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1935

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[Altman (1986)].

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..

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, multi-logit

analysis.

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22

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Partitioning (

),

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(1984), Financial Times (1984) .].

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.. , 2002 2003 (.

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2003 2002

100 100

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2003 2002

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38

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= 8000 x 50 = 400000

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48

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53

:

.. X 2002-2003

2002 2003

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17 . G.Foster : FINANCIAL STATEMENT ANALYSIS (1990)

71

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.

Ricketts and Stover (1978) : .

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1999 2000 2001 2002 2003

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,

23 , , .

80

.

6.2

,

.

:

. :

.

() .

() .

.

:

() = / = /

() = ( ) /

() = ( + ) /

81

(), = ( / ) x 365

(), = ( / ) x 365

, ,

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/

/

/

,

(, ,

). ( / ),

,

. , ,

. ,

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.

, 1,5 2,5

.

, , 50%

150%,

82

. ,

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.

,

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.

, ,

.

,

. , ,

,

.

,

1 2.

()

() .

.

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3 .

, ,

.. ,

. ,

83

,

. ,

:

=

+ () x () () = ( )

= () x ( 1)

= (-1)

() ()

() , + = 1. , ,

i j.

, :

= +

= ()i

= ()j

:

ij

)()(

= (-1)

ij

)()(

= ( 1)

iaj = ( 1) j = i () i = i

iaj+

, 0 j 0 :

84

= ii

+0 = 1.

:

i

j

i

j

i+j

1 0,6 0,4 0,15 0,20 0,060 0,120 0,180 3,00

2 0,5 0,5 0,15 0,25 0,075 0,125 0,200 2,66

3 0,4 0,6 0,16 0,30 0,096 0,120 0,216 2,25

4 0,3 0,7 0,18 0,35 0,126 0,105 0,231 1,83

5 0,0 1,0 0,25 - 0,250 0,000 0,25 1,0

, ,

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85

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9

9

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86

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10%, 2 180

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50 . (2 x (180/360) x 10% x 0,5 ).

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.

6.3

,

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.

, 24,

:

24 . .. J. V. Home Fundamentals of Financial Management

87

(Net Income Approach),

.

(Net Operating Income

Approach),

.

Modigliani and Miller,

()

(i), :

= i(1-), = .

(Traditional Approach),

.

,

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.

,

.

,

.

88

, 25,

26,

(

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) ()

)

().

()

27:

=

25 , , . 26 .., , . 27 : / /

89

,

.

,

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. , management

,

.

,

/ ,

60 65 %. ,

28

.

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()

:

= ( + ) /

= ( + ) / .

28 . . , 42, 2, 1992.

90

, , .

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() (),

() ()

():

+ = + + ()

= 1, + = ()

() = . ,

:

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= ,

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+ > > .

, [(+ ) ] ( ).

,

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,

91

, . ,

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29.

,

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2,

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, :

1 300 1200 400 500 600 2 3,00

2 400 1100 100 850 550 2 2,40

3 500 1000 200 800 500 2 2,00

4 600 900 350 700 450 2 1,75

6.4

:

t 1 t =1

1

t

tt

XXX

. , ,

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92

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) = (t+1 / t) - 1

) = (t+1 / t) 1

: = , = , =

30 , .. , ( )

93

6.5

,

.

,

(

), . ,

31

32 .

,

( )

:

/ T / , Price / Earnings Ratio P / E .

() = / .

/ ()= = ( ) /

() = = ( + ) /

() = ,

31 (technical analysis) 32 (fundamental analysis).

94

/

.

() = ( ) /

() = ( ) /

,

:

,

. , ,

,

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, :

T / P / E,

. , , ,

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5

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95

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(.. 1998-1999) (.. 2000 2001) (

, / ,

).

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) .

(buy and hold

96

policy) (

) .

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33,

. , (=)

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5,87 , 25%

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) 0,29

) 6,02 .

,

(6,02 + 0,29 5,87) / 5,87 = 7,5%

33 (Capital Assets Pricing Model or CAPM)

97

.

25%. ,

5,05 ,

(6,02 + 0,29-5,05) / 5,05= 25%). ,

. ,

5,05 . , ,

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34.

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34 .

98

,

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).

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99

5

1.

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)

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2. ,

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( ).

, ..

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.

100

( ):

2003 2002 2003 2002

35 30 2,50 2,90

20 20 1,40 1,90

480 430 34,30 41,80

90 110 6,40 10,70

.. 85 60 6,10 5,80

.. 710 650 50,70 63,10

690 380 49,30 36,90

1400 1030 100,00 100,00

910 730 65,00 70,90

70 105 5,00 10,20

130 140 9,30 13,60

1110 975 79,30 94,70

290 55 20,70 5,30

1400 1030 100,00 100,00

1800 1600 100,00 100,00

60 40 3,30 2,50

1860 1640 103,30 102,50

1410 1300 78,30 81,20

450 340 25,00 21,30

190 176 10,60 11,00

260 164 14,40 10,30

105 94 5,80 5,90

10 6 0,50 0,40

115 100 6,30 6,30

145 64 8,10 4,00

75 30 4,20 1,99

101

70 34 3,90 2,10

30 24 1,70 1,50

40 10 2,20 0,60

,

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: 50%

2003 36,9% 2002.

,

(

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, ,

,

(79,3% 2001 94,7% 2002).

,

( 21,3% 25%),

3,9% , 2,1% 2002.

, ,

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.

102

( / ) (24,1% 2003

61,8% 2002).

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103

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, G. Foster (1974), 15

(), .

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, ,

104

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105

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( 60%

). , ,

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4. 4.1

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106

.

35

(=

), 36

.

37 AR(p) MA(q) ARM(p,q),

:

p = .

q =

.

:

AR (1) : Yt = b1Yt-1 + et

AR (2) : Yt = b1Yt-1 + b2Yt-2 + et

..

MA (1) : Yt = et + b1et-1

MA (2) : Yt = et + b1et-1 + b2et-2

..

ARMA (1,0) : Yt = b1Yt-1 + et

ARMA (1,1) : Yt = b1Yt-1 + et + b1et-1

ARMA (0,1) : Yt = et + b1et-1 .

: Y =

b1 =

e = (error term)

t =

35 , . . (1987), Box Jenkins , . 36 ( ), . . (1991), , , 41. 37 . J. Guerard and T. Vaught (1989), FINANCIAL MODELING, Probus, Chicago.

107

, .

,

(

) .

ARMA(p,q)

Yt , Yt Yt-1. ,

, Y.

,

.

,

d (d= 1,2,3,..n).

, Yt Y, :

- Y, d =1

- , d =2

..

- n-1 , d = n

ARMA(p,q)

(

), ARIMA (p,d,q),

.

:

ARIMA (1,0,0) : Yt = b1Yt-1 + et

ARIMA (1,0,1) : Yt = b1Yt-1 + et + b2et-1

ARIMA (1,1,1) : Yt= b1Yt-1 + et + b2et-1

108

4.2

,

:

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,

, :

(.. / ).

. (..

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.

109

(.. ,

).

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),

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) 38.

,

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,

). ,

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38 . . G. Foster (1978) .

110

( dummy

variables), (.. ) 39

..

. management

,

.

, :

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, - .

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. ,

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).

39 , , (.. , , ) .

111

(non stationarity), ,

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differencing )

(autocorrelation),

, , .

(=1,2,.n)

. ..

.

, ,

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(multicollinearity),

,

(lag

values). ARIMA.

,

40

,

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).

,, .

40 . . (1973)

112

6

1. , ,

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/ (software) ..

, (.. , , ), (.. Bloomberg, Reuters )

Internet

Intranets, ,

, , - .

.

.

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, , (service),

, , .

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113

.

.

, / ,

:

1 : 1

/

/

1

j

.

z

1 11 1j . 1z

. .. . ..

i i1 iXj . EiXz

. . . .

1

1 j . z

, , 1 x Z,

, .. iXj. / ,

, M x Z x Y

. , ,

.

41, ( ),

(= M x Z x Y x ).

, ,

.

41 , .. , , .

114

,

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(.. ). ,

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M x Z x Y x

(- ) x ( ) x (Y- ) x (-).

,

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42,

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marketing., ,

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42 ..

115

2.

( / )

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( )

, .. , ,

(Net Present Value),

(Internal Rate of Return), (Pay-

back Period) .

,

,

.

,

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, - ..

,

(Sensitivity analysis) ()

.

,

,

.

,

(, , )

.

116

3. 43

. ,

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:

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43 , ( ) , . , , .

117

(, , ), ,

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118

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,

(target group).

.

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4.

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119

( , ,

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120

.

.

.

.

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5.

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).

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121

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:

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=

122

=

2 3

6.

,

:

t = t

t = t + t + Yt + t

123

t = (t - Kt - Tt) x (1-)

Tt = (t) x i + () x

t = t t At Yt

At = At-1 + t

t = t - Mt

= =

=

=

=

=

= ()

Y = ( , )

=

=

=

=

=

=

i =

=

t =

T =

,

,

,

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.

124

:

: :

()

()

.

, :

A. , .

B. (.. 0). ,

()

.

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:

=

( ).

,

,

,

.

125

. (

) 1.

0 1 , 1 . 1

( )

.

,

() .

7. ()

,

. ,

/

.

,

, :

:

= ( )

=

=

126

:

t = t Yt t At-MKt (1)

t = (t Yt) (At MKt) - t (2)

(3)

(1),(2) (3) :

(2),(3) t = C1t At (4)

At = At-1 + (1-t) KKt (5)

KKt = [t (t)t (t)it ](1-t) (6)

KKt = [t (t)t] (1-t)-tit(1-t) (7)

C2t = [t (t)t] (1-t) (8)

(7),(8) KKt = C2t tit(1-t) (9)

(5),(9) t = At-1 + (1-t)[C2t (t)it(1-t)

t =[At-1 + (1-t)C2t]-(1-t)( (t)it(1-t)

(10)

C3t = At-1 + (1-t)C2t (11)

C1t = t- t MKt - Yt

127

(10),(11) At = C3t (t)(1-t)(1-t)it (12)

(4),(12) t = C1t C3t + ()t [(1-t)( 1-t) it ]

t [1- (1-t)( 1-t) it ] = C1t C3t

t =ttt

tt

iCC

)1)(1(131

(13)

(1-t)( 1-t) = t (14)

(13),(14) t =

tt

tt

iCC

131

(15)

(12),(15) At = C3t- tt

tt

iCC

131 . tit (16)

A(1-tit) = C3t(1-tit)-C1ttit + C3ttit =

= C3t(1- tit+tit)-C1ttit=

= C3t C1ttit

At = tt

tttt

iiCC

113

(17)

128

.

,

.

. , ()

44.

.

1t = t

(6) KKt = [t T1t -

+ 2

1 tt it ] (1- t)

KKt = [t T1t - 21 (Bt-1)it] (1-t)- 2

1 (t)it(1-t) (7)

C2t = [ t T1t - 21 (t-1)it](1-) (8)

(7),(8) t = C2t - 21 (t) it (1-t)] (9)

At = At-1 + (1-t) [C2t - 21

(t) it (1-t) ]

At = [At-1 + (1-t) C2t] - 21 (1-t) (t)(1-t) it

C3t = At-1 + (1-t) C2t At = C3t - 21 (1-t) (t)(1-t) it (11)

(2),(3) (10) t = C1t At = C1t - C3t + [(1-t) (t)(1-t) it ] . 21

t [1- 21 (1-t) (1-t) it = C1t - C3t

t = (1- t)(1-t)

44 , .

129

(15)

(12),(15) t = C3t - 21 x

21

31

tt

tt

iCC

tit

At (1- 21 tit) = C3t (1-

21 tit) C1ttit + C3ttit

At (1- 21 tit) = C3t (1- 2

1 tit + tit) - C1ttit

At (1- 21 tit) = C3t (1+ 2

1 tit) - C1ttit

(17)

: ,

(t-1 + t)/2 ,

t t (8),(11),(15) (17)

(8),(11),(15) (17).

t =

21

31

tt

tt

iCC

At = )

211(

)211( 13

tt

tttttt

i

iCiC

+

130

8.

1

t-1 t t-1 t

400 500 .. 300 400

.

1500 1700 400 ?

100 100 .. 200 350

.

100 ?

1000 1150

2000 2300 2000 2300

400

- ? t=it=20%

?

- ? t = 40%

?

? t = 30%

?

(15) t = tt

tt

iCC

131 (17) At =

tt

ttt

iitCC

113

(3) C1t = t Yt- t- t

131

(8) C2t = [t (t)t](1-t)

(11) C3t = At-1 + (1-t) C2t

(14) t = (1-)(1-)

t = (1-0,4)(1-0,3) = 0,42 tit = 0,42 x 0,2 = 0,084

C1t = 2300 1150 350 400 = 400

C2t = (400-350 x 0,2)(1-0,4) = 198

C3t = 400 + 198 (1-0,3) = 538,6

t = 084,01

6,538400 =

916,06,138 = -151,3

At = 084,01

084,04006,538 x =

916,0505 = 551,3

=(350-151,3) x 0,2 =39,74

= 360,26 x 0,4 = 144,10

= 216,16 x 0,3 = 64,85

132

= 400,00

- = 39,74

360,26

- = 144,11

216,15

- 64,85

= 151,30

:

t.

( 100+ 151,3)

. , , ,

..

.

.

. :

t t

500,0 400,0

(400+151,3)= 551,3

1700,0 / 350,0

251,3 / -

1150,0

2451,3 2451,3

133

.

:

500,0 400,0

551,3

1700,0 / 350,0

100,0 998,7

2300 2300

. (.. 40%)

:

500,00 400,00

551,30

1700,00 / 350,00

160,52 1059,22

2360,52 2360,52

2

t-1 t t-1 t

3000 4000 5000 5000

6000 ?

11000 12000 / 800 1000

1000 500 / 2200 ?

1000 2000

15000 16500 15000 16500

134

1500

- ? i = =20%

..

- . = 40%

..

. = 30%

.

C1t = 16500 2000 5000 1000 = 8520

C2t = (1500 1000 x 0,2) x 0,6 = 780

C3t = 6000 + 0,7 x 780 = 6546

At = 2,07,06,01

2,07,06,085006546xx

xxx = 6366,81

= 916,0

65468500 = 2133,19

1500,00

- 626,64 (2133,19 + 1000) x 0,2

873,36

- 349,34 (873,36 x 0,4)

524,02

- 157,21

366,51

135

4000,00 5000,00

6366,81

12000,00 / 1000,00

500,00 / 2133,19

2000,00

16500,00 16500,00