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dc.contributor.authorMousavi, Mohammad M.
dc.contributor.authorLin, J.
dc.date.accessioned2020-07-15T10:32:42Z
dc.date.available2020-07-15T10:32:42Z
dc.date.issued2020-11-30
dc.identifier.citationMousavi MM and Lin J (2020) The application of PROMETHEE multi-criteria decision aid in financial decision making: case of distress prediction models evaluation. Expert Systems with Applications. 159: 113438.en_US
dc.identifier.urihttp://hdl.handle.net/10454/17917
dc.descriptionNoen_US
dc.description.abstractConflicting rankings corresponding to alternative performance criteria and measures are mostly reported in the mono-criterion evaluation of competing distress prediction models (DPMs). To overcome this issue, this study extends the application of the expert system to corporate credit risk and distress prediction through proposing a Multi-criteria Decision Aid (MCDA), namely PROMETHEE II, which provides a multi-criteria evaluation of competing DPMs. In addition, using data on Chinese firms listed on Shanghai and Shenzhen stock exchanges, we perform an exhaustive comparative analysis of the most popular DPMs; namely, statistical, artificial intelligence and machine learning models under both mono-criterion and multi-criteria frameworks. Further, we address two prevailing research questions; namely, "which DPM performs better in predicting distress?" and "will training models with corporate governance indicators (CGIs) enhance the performance of models?”; and discuss our findings. Our multi-criteria ranking suggests that non-parametric DPMs outperform parametric ones, where random forest and bagging CART are among the best machine learning DPMs. Further, models fed with CGIs as features outperform those fed without CGIs.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.eswa.2020.113438en_US
dc.subjectCorporate distress prediction modelsen_US
dc.subjectMulti-criteria decision aiden_US
dc.subjectPROMETHEE IIen_US
dc.subjectCorporate governance indicatorsen_US
dc.subjectMachine learningen_US
dc.titleThe application of PROMETHEE multi-criteria decision aid in financial decision making: case of distress prediction models evaluationen_US
dc.status.refereedYesen_US
dc.date.Accepted2020-04-04
dc.date.application2020-05-22
dc.typeArticleen_US
dc.type.versionNo full-text in the repositoryen_US


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