Analise discriminante rácios Económico - Financeiros - VI Page 1 · 2012. 4. 25. · Analise discriminante rácios Económico - Financeiros - VI Page 10 Discriminant Selecção

Analise discriminante rácios Económico - Financeiros - VI Page 1

Frequencies ANALISE DOS RÁCIOS Notes

Missing Value Handling

Definition of Missing

User-defined missing values are treated as missing.

Cases Used Statistics are based on all cases with valid data.

Syntax FREQUENCIES VARIABLES=Ano /ORDER= ANALYSIS .

Resources Elapsed Time 0:00:00,30

Total Values Allowed

967497

Statistics Ano

N Valid 2179

Missing 0

Ano

Frequency Percent Valid

Percent Cumulative

Percent

Valid 2006 549 25,2 25,2 25,2

2007 552 25,3 25,3 50,5

2008 543 24,9 24,9 75,4

2009 535 24,6 24,6 100,0

Total 2179 100,0 100,0


Descriptive Statistics

N Minimum Maximum Mean Std.

Deviation

Liq. Geral 2173

,000000000000

3805,249271137027

3,46218907767582

81,678191509075100

Liquid. Reduzida 2173

,000000000000

3805,249271137027

3,15459470981105

81,671782722055300

Rent.Vend. e Prest.Serv. 2179

-92,730429

864254

7,412543011428

-,12512101

431479

2,273328317885391

Rent. Produção 2178

-92,730429

864254

35,996733231467

-,10657083

014042

2,721636033231011

Earning Power 2177

-10,965888

615212

,877174669450

,02201641951277

,294068603861452

ROA 2177

-11,263154

414561

,836399680376

-,00925042

784130

,296917080768732

ROE, ano N 2178

-100,52327

1683374

52,593241357929

,14810688738617

3,107654628520137

Auton. Financeira 2178

-6,6050011

8175

1,00000000000

,2147540885662

,44099667964151

REFM 2132

-220,34503

3817635

4496968,002355822

000

5363,405800108760

00

144233,26855952930000

0 TMR

2179 ,00000000

0000

99740,86765975820

0

348,0940014895923

0

2433,409224541308000

TMP 2173

,000000000000

203101,2011764706

00

1295,076506448865

00

7450,346862432090000

FundoManeio 2179

-7877456,1

5

7315467,97

63538,2224

723246,93644

Valid N (listwise) 2123


Descriptives Weight <none>

Split File <none>

N of Rows in Working Data File 2179

Missing Value Handling

Definition of Missing

User defined missing values are treated as missing.

Cases Used All non-missing data are used.

Syntax DESCRIPTIVES VARIABLES=FMACT.TOTAL RESULT.RET.ACT.TOTAL EBITACT.TOTAL CAP.PRORIOSPASS.TOTAL V.P.S.ACTITOTAL /STATISTICS=MEAN STDDEV MIN MAX .

Resources Elapsed Time 0:00:00,06

Descriptive Statistics

N Minimum Maximum Mean Std.

Deviation

FM/ACT. TOTAL 2178

-6,7528007

56323

1,000000000000

,00362208494105

,463703798361386

RESULT. RET./ACT.TOTAL

2178

-33961645,00000000

0000

4,270812325393

-15593,14975267972

000

727712,40616464600000

0

EBIT/ACT. TOTAL

2178

-35733668,00000000

0000

,877174669450

-16406,62078524094

000

765682,39318298600000

0

CAP. PRORIOS/PASS. TOTAL 2177

-1,0000000

0000

3804,24927113703

2,5166369533734

81,58406264976880

V. P. S./ACTI TOTAL 2178

,000402933859

7550000,000000000

000

3467,345804355168

00

161777,44204932790000

0 Valid N (listwise) 2176


Analysis Case Processing Summary

Unweighted Cases N Percent

Valid 2123 97,4

Excluded

Missing or out-of-range group codes 0 ,0

At least one missing discriminating variable 56 2,6

Both missing or out-of-range group codes and at least one missing discriminating variable

0 ,0

Total 56 2,6

Total 2179 100,0

Para este modelo, verificam-se 2123 casos válidos, que correspondem a 97,4% da amostra, devido á existência de 56

casos com missing values. A tabela abaixo traduz as diferenças nas médias obtidas por cada uma das situações nas

variáveis ,observando-se algumas diferenças entre os dois grupos (com dívida e sem dívida). Group Statistics

DIVIDAS Mean Std.

Deviation Valid N (listwise)

Unweighted Weighted

Sem dívida Liq. Geral 1,60289459195232

2,742435666809971 2054 2054,000

Liquid. Reduzida 1,28525944487963

2,277780229154599 2054 2054,000

Rent.Vend. e Prest.Serv.

-,11579609

949116 2,296062498597872 2054 2054,000

Rent. Produção -,13871121

077932 2,512548450215259 2054 2054,000

Earning Power ,02739286141935

,286902334264476 2054 2054,000

ROA -,00347670

914347 ,289109215352869 2054 2054,000

ROE, ano N ,12928457261984

3,177307156336032 2054 2054,000

Auton. Financeira ,23478384503607

,353603759159050 2054 2054,000

REFM 5566,950387087600

00

146943,811844836800000

2054 2054,000

TMR 279,9178577164260

0 1129,268278920531000 2054 2054,000

TMP 1213,2587 7332,870177988220000 2054 2054,000


1750077900

FundoManeio 80967,84694741960

000

710890,209557081000000

2054 2054,000

Com dívida

Liq. Geral 1,15010732069233

2,950183652203079 69 69,000

Liquid. Reduzida ,96593102358264

2,972405498480290 69 69,000


-,35391642

756075 1,303513772658448 69 69,000

Rent. Produção ,60782364146615

6,252616405374950 69 69,000

Earning Power -,09511277

243090 ,330242697608472 69 69,000

ROA -,14466892

802940 ,348587753396332 69 69,000

ROE, ano N ,31897798267366

1,480849133416561 69 69,000

Auton. Financeira -,35325515

819868 1,308370432247312 69 69,000

REFM ,28596276780983

11,889180842765520 69 69,000

TMR 654,6862580069750

0 1775,513874038263000 69 69,000

TMP 3967,726977432616

00 11850,547831236950000 69 69,000

FundoManeio -427825,2382608695

0000

1109644,889417366000000

69 69,000

Total Liq. Geral 1,58817847244363

2,749864819407983 2123 2123,000

Liquid. Reduzida 1,27488089515307

2,303456511313850 2123 2123,000


-,12353529

055889 2,270839626840384 2123 2123,000


897765 2,716242760670138 2123 2123,000

Earning Power ,02341128405917

,289142555778946 2123 2123,000

ROA -,00806562

252224 ,292211153501770 2123 2123,000

ROE, ano N ,13544983182554

3,136625913867901 2123 2123,000



,432093091260245 2123 2123,000

REFM 5386,027238110650

00

144538,392270007900000

2123 2123,000

TMR 292,0982720452287

0 1157,246665638880000 2123 2123,000

TMP 1302,782179552261

00 7534,023990468010000 2123 2123,000

FundoManeio 64431,47253414970

000

732484,713139305000000

2123 2123,000

Tests of Equality of Group Means

Wilks'

Lambda F df1 df2 Sig.

Liq. Geral ,999 1,811 1 2121 ,179

Liquid. Reduzida ,999 1,283 1 2121 ,257


1,000 ,734 1 2121 ,392

Rent. Produção ,998 5,052 1 2121 ,025

Earning Power ,994 12,046 1 2121 ,001

ROA ,993 15,694 1 2121 ,000

ROE, ano N 1,000 ,244 1 2121 ,621

Auton. Financeira ,942 131,227 1 2121 ,000

REFM 1,000 ,099 1 2121 ,753

TMR ,997 7,021 1 2121 ,008

TMP ,996 8,957 1 2121 ,003

FundoManeio ,985 32,691 1 2121 ,000

. Box's Test of Equality of Covariance Matrices Log Determinants

DIVIDAS Rank Log

Determinant

Sem dívida 12 75,589

Com dívida 12 56,886

Pooled within-groups

12 76,828

The ranks and natural logarithms of determinants printed are those of the group covariance matrices.


Test Results

Box's M 3900,523

F Approx.

46,869

df1 78

df2 43602,532

Sig. ,000

Tests null hypothesis of equal population covariance matrices.

Na tabela abaixo verifica-se que é constituída uma função discriminante, que corresponde a 100% da variância

explicada em termos de diferenças entre grupos, observando-se uma correlação canónica entre a função

discriminante e os grupos de 0,290. Summary of Canonical Discriminant Functions Eigenvalues

Function Eigenvalue % of

Variance Cumulative

% Canonical Correlation

1 ,092(a) 100,0 100,0 ,290

a First 1 canonical discriminant functions were used in the analysis .

Wilks' Lambda

Test of Function(s)

Wilks' Lambda Chi-square df Sig.

1 ,916 185,281 12 ,000

Standardized Canonical Discriminant Function Coefficients

Function

1

Liq. Geral ,005

Liquid. Reduzida -,130


,270


Earning Power -3,214

ROA 3,078

ROE, ano N ,010


REFM ,006

TMR -,149

TMP -,092

FundoManeio ,297


Structure Matrix

Coeficientes estruturais

Function

1


FundoManeio ,410

ROA ,284

Earning Power ,249

TMP -,215

TMR -,190


Liq. Geral ,097

Liquid. Reduzida ,081


,061

ROE, ano N -,035

REFM ,023

Pooled within-groups correlations between discriminating variables and standardized canonical discriminant functions Variables ordered by absolute size of correlation within function. Functions at Group Centroids

DIVIDAS

Function

1

Sem dívida ,055

Com dívida

-1,650

Unstandardized canonical discriminant functions evaluated at group means Classification Statistics Classification Processing Summary

Processed 2179

Excluded Missing or out-of-range group codes 0

At least one missing discriminating variable 56

Used in Output 2123

Prior Probabilities for Groups

DIVIDAS Prior Specified

Prior Effective

Prior

Cases Used in Analysis

Unweighted Weighted

Sem dívida ,500 2054 2054,000

Com dívida

,500 69 69,000

Total 1,000 2123 2123,000


Classification Function Coefficients (Funções lineares discriminantes de Fisher) Fisher's linear discriminant functions Classification Results(a)

DIVIDAS Predicted Group

Membership Total

Sem dívida Com dívida

Original Count Sem dívida 1899 155 2054

Com dívida

40 29 69

% Sem dívida 92,5 7,5 100,0

Com dívida

58,0 42,0 100,0

a 90,8% of original grouped cases correctly classified.

Apresenta os resultados de classificação, em que se verifica que foram classificados correctamente 92,5% dos casos

sem dívida e 42% dos casos com dívida.

DIVIDAS

Sem dívida

Com dívida

Liq. Geral ,337 ,334

Liquid. Reduzida -,216 -,120


-,012 -,215

Rent. Produção ,052 ,371

Earning Power 44,106 63,112

ROA -45,031 -63,056

ROE, ano N ,002 -,004

Auton. Financeira 2,046 -1,255

REFM 2,30E-007 1,53E-007

TMR ,000 ,001

TMP 3,46E-005 5,56E-005

FundoManeio -1,39E-008 -7,10E-007

(Constant) -1,812 -3,202


Discriminant Selecção automática de variáveis significantes

Unweighted Weighted

em dívida Liq. Geral 1,60289459195232 2,742435666809971 2054 2054,000

Liquid. Reduzida 1,28525944487963 2,277780229154599 2054 2054,000


-,11579609949116 2,296062498597872 2054 2054,000

Rent. Produção -,13871121077932 2,512548450215259 2054 2054,000

Earning Power ,02739286141935 ,286902334264476 2054 2054,000

ROA -,00347670914347 ,289109215352869 2054 2054,000

ROE, ano N ,12928457261984 3,177307156336032 2054 2054,000

Auton. Financeira ,23478384503607 ,353603759159050 2054 2054,000

REFM 5566,95038708760000 146943,811844836800000 2054 2054,000

TMR 279,91785771642600 1129,268278920531000 2054 2054,000

TMP 1213,25871750077900 7332,870177988220000 2054 2054,000

FundoManeio 80967,84694741960000 710890,209557081000000 2054 2054,000

Com dívida

Liq. Geral 1,15010732069233 2,950183652203079 69 69,000

Liquid. Reduzida ,96593102358264 2,972405498480290 69 69,000


-,35391642756075 1,303513772658448 69 69,000

Rent. Produção ,60782364146615 6,252616405374950 69 69,000

Earning Power -,09511277243090 ,330242697608472 69 69,000

ROA -,14466892802940 ,348587753396332 69 69,000

ROE, ano N ,31897798267366 1,480849133416561 69 69,000

Auton. Financeira -,35325515819868 1,308370432247312 69 69,000

REFM ,28596276780983 11,889180842765520 69 69,000

TMR 654,68625800697500 1775,513874038263000 69 69,000

TMP 3967,72697743261600 11850,547831236950000 69 69,000

FundoManeio -427825,23826086950000

1109644,889417366000000 69 69,000

Total Liq. Geral 1,58817847244363 2,749864819407983 2123 2123,000

Liquid. Reduzida 1,27488089515307 2,303456511313850 2123 2123,000


-,12353529055889 2,270839626840384 2123 2123,000

Rent. Produção -,11444794897765 2,716242760670138 2123 2123,000

Earning Power ,02341128405917 ,289142555778946 2123 2123,000

ROA -,00806562252224 ,292211153501770 2123 2123,000

ROE, ano N ,13544983182554 3,136625913867901 2123 2123,000

Auton. Financeira ,21567188496862 ,432093091260245 2123 2123,000

REFM 5386,02723811065000 144538,392270007900000 2123 2123,000

TMR 292,09827204522870 1157,246665638880000 2123 2123,000

TMP 1302,78217955226100 7534,023990468010000 2123 2123,000


FundoManeio 64431,47253414970000 732484,713139305000000 2123 2123,000

Tests of Equality of Group Means

Wilks'

Lambda F df1 df2 Sig.

Liq. Geral ,999 1,811 1 2121 ,179

Liquid. Reduzida ,999 1,283 1 2121 ,257


1,000 ,734 1 2121 ,392

Rent. Produção ,998 5,052 1 2121 ,025

Earning Power ,994 12,046 1 2121 ,001

ROA ,993 15,694 1 2121 ,000

ROE, ano N 1,000 ,244 1 2121 ,621

Auton. Financeira ,942 131,227 1 2121 ,000

REFM 1,000 ,099 1 2121 ,753

TMR ,997 7,021 1 2121 ,008

TMP ,996 8,957 1 2121 ,003

FundoManeio ,985 32,691 1 2121 ,000

SELECÇÃO AUTOMÁTICA DAS VARIÁVEIS SIGNIFICANTES Box's Test of Equality of Covariance Matrices Log Determinants

DIVIDAS Rank Log

Determinant

Sem dívida 4 40,506

Com dívida 4 46,906

Pooled within-groups

4 41,148

The ranks and natural logarithms of determinants printed are those of the group covariance matrices. Test Results

Box's M 926,606

F Approx.

90,690

df1 10

df2 58942,150

Sig. ,000

Tests null hypothesis of equal population covariance matrices. Stepwise Statistics


Variables Entered/Removed(a,b,c,d)

Entered Removed

Wilks' Lambda

Statistic df1 df2 df3

Exact F

Statistic df1 df2 Sig.

1 Auton. Financeira

,942 1 1 2121,000 131,227 1 2121,000 ,000

2 FundoManeio

,935 2 1 2121,000 73,749 2 2120,000 ,000

3 Rent. Produção

,930 3 1 2121,000 52,834 3 2119,000 ,000

4 TMR ,928 4 1 2121,000 41,368 4 2118,000 ,000

At each step, the variable that minimizes the overall Wilks' Lambda is entered. a Maximum number of steps is 24. Variables in the Analysis

Step Tolerance F to

Remove Wilks'

Lambda

1 Variables

Auton. Financeira

1,000 131,227

FundoManeio

Rent. Produção

TMR

2 Variables

Auton. Financeira

,977 113,079 ,985

FundoManeio ,977 15,380 ,942

Rent. Produção

TMR

3 Variables

Auton. Financeira

,970 117,942 ,982

FundoManeio ,977 15,643 ,937

Rent. Produção ,992 10,354 ,935

TMR

4 Variables

Auton. Financeira

,958 109,420 ,975

FundoManeio ,977 16,023 ,935

Rent. Produção ,845 15,643 ,934

TMR ,837 6,556 ,930


Variables Not in the Analysis

Step Tolerance Min.

Tolerance F to Enter Wilks'

Lambda

0 Variables

Liq. Geral 1,000 1,000 1,811 ,999

Liquid. Reduzida 1,000 1,000 1,283 ,999


1,000 1,000 ,734 1,000

Rent. Produção 1,000 1,000 5,052 ,998

Earning Power 1,000 1,000 12,046 ,994

ROA 1,000 1,000 15,694 ,993

ROE, ano N 1,000 1,000 ,244 1,000

Auton. Financeira 1,000 1,000 131,227 ,942

REFM 1,000 1,000 ,099 1,000

TMR 1,000 1,000 7,021 ,997

TMP 1,000 1,000 8,957 ,996

FundoManeio 1,000 1,000 32,691 ,985

1 Variables

Liq. Geral ,957 ,957 1,064 ,941

Liquid. Reduzida ,946 ,946 2,338 ,941


,962 ,962 1,816 ,941

Rent. Produção ,992 ,992 10,089 ,937

Earning Power ,753 ,753 6,179 ,939

ROA ,745 ,745 4,193 ,940

ROE, ano N ,999 ,999 ,038 ,942

Auton. Financeira

REFM ,999 ,999 ,002 ,942

TMR ,982 ,982 1,167 ,941

TMP ,985 ,985 2,407 ,941

FundoManeio ,977 ,977 15,380 ,935

2 Variables

Liq. Geral ,942 ,942 2,304 ,934

Liquid. Reduzida ,940 ,930 3,364 ,933


,962 ,941 1,675 ,934

Rent. Produção ,992 ,970 10,354 ,930

Earning Power ,752 ,736 5,432 ,933

ROA ,744 ,729 3,646 ,933

ROE, ano N ,999 ,977 ,014 ,935

Auton. Financeira


REFM ,999 ,977 ,005 ,935

TMR ,982 ,959 1,285 ,934

TMP ,984 ,964 2,061 ,934

FundoManeio

3 Variables

Liq. Geral ,942 ,935 2,313 ,929

Liquid. Reduzida ,940 ,924 3,345 ,929


,303 ,303 5,941 ,928

Rent. Produção

Earning Power ,738 ,736 3,662 ,929

ROA ,731 ,729 2,205 ,929

ROE, ano N ,999 ,970 ,013 ,930

Auton. Financeira

REFM ,999 ,970 ,005 ,930

TMR ,837 ,837 6,556 ,928

TMP ,981 ,958 2,596 ,929

FundoManeio

4 Variables

Liq. Geral ,941 ,835 1,999 ,927

Liquid. Reduzida ,936 ,833 2,780 ,926


,281 ,281 3,299 ,926

Rent. Produção

Earning Power ,736 ,724 3,080 ,926

ROA ,727 ,716 1,697 ,927

ROE, ano N ,999 ,837 ,013 ,928

Auton. Financeira

REFM ,999 ,837 ,007 ,928

TMR

TMP ,912 ,778 ,930 ,927

FundoManeio


Wilks' Lambda

Step Number of Variables Lambda df1 df2 df3

Exact F

Statistic df1 df2 Sig.

1 1 ,942 1 1 2121 131,227 1 2121,000 ,000

2 2 ,935 2 1 2121 73,749 2 2120,000 ,000

3 3 ,930 3 1 2121 52,834 3 2119,000 ,000

4 4 ,928 4 1 2121 41,368 4 2118,000 ,000

Summary of Canonical Discriminant Functions Eigenvalues

Function Eigenvalue % of

Variance Cumulative

% Canonical Correlation

1 ,078(a) 100,0 100,0 ,269

a First 1 canonical discriminant functions were used in the analysis. Standardized Canonical Discriminant Function Coefficients

Function

1


Auton. Financeira

,841

TMR -,226

FundoManeio ,326

Structure Matrix

Function

1


FundoManeio ,444

ROA(a) ,397

Earning Power(a) ,391

Liquid. Reduzida(a) ,218

Liq. Geral(a) ,215

TMR -,206


TMP(a) -,158

ROE, ano N(a) -,029

REFM(a) ,018

Rent.Vend. e -,011


Prest.Serv.(a)

Pooled within-groups correlations between discriminating variables and standardized canonical discriminant functions Variables ordered by absolute size of correlation within function. a This variable not used in the analysis. Functions at Group Centroids

DIVIDAS

Function

1

Sem dívida ,051

Com dívida

-1,524

Unstandardized canonical discriminant functions evaluated at group means Classification Statistics Classification Processing Summary

Processed 2179

Excluded Missing or out-of-range group codes 0

At least one missing discriminating variable 2

Used in Output 2177

Prior Probabilities for Groups

DIVIDAS Prior Specified

Prior Effective

Prior

Cases Used in Analysis

Unweighted Weighted

Sem dívida ,500 2054 2054,000

Com dívida

,500 69 69,000

Total 1,000 2123 2123,000

Classification Function Coefficients

DIVIDAS

Sem dívida

Com dívida

Rent. Produção ,009 ,210

Auton. Financeira

1,428 -1,731

TMR ,000 ,001

FundoManeio 3,11E-008 -6,75E-007

(Constant) -,902 -1,402

Fisher's linear discriminant functions Classification Results(a)


DIVIDAS Predicted Group

Membership Total

Sem dívida Com dívida

Original Count Sem dívida 1957 151 2108

Com dívida

46 23 69

% Sem dívida 92,8 7,2 100,0

Com dívida

66,7 33,3 100,0

a 91,0% of original grouped cases correctly classified. A tabela de classificação ilustra os resultados práticos da utilização do modelo.

Documents

Analise discriminante rácios Económico - Financeiros - VI Page 1 · 2012. 4. 25. · Analise discriminante rácios Económico - Financeiros - VI Page 10 Discriminant Selecção