Die gebruik van kontantvloei- en winsgegewens by die beoordeling van genoteerde industriele RSA-maatskappye se finansiele stabiliteit

Steyn, Barbara Wilhelmina (Stellenbosch : University of Stellenbosch, 2005-12)

Thesis (PhD)--University of Stellenbosch, 2005.

Thesis

ENGLISH ABSTRACT: Several mixed industry prediction models about failure have been reasonably successful in differentiating between successful companies and those that have failed. The challenge, however, is to venture into the grey area in between and to identify companies, which are financially unstable, at an early stage. Early identification enables management to intervene timeously in an attempt to prevent failure. Failure is defined as either liquidation, delisting, suspension of listing or a substantial change in structure. The grey area focused on in this study is overtrading. Overtrading is triggered by the company growing at too high a rate relative to its specific structure. Cash is necessary to fund expansion, whether for an increase in inventories, credit sales or new non-current assets. If the company does not generate enough cash to fund this expansion, it has to be financed through external sources. The longer the period of growth and the higher the growth rate, the more the cash requirements. From the theoretical model underlying overtrading, it was found that: • the higher the growth in sales, • the smaller the profit margin, and • the higher the net current assets in proportion to total assets, the lower the cash flow from operating activities before dividends were paid (CFO). Any company ought to generate enough cash from its daily activities in order to maintain the existing level of business, to repay loans, to replace assets and to pay dividends. If the internal generation of cash is insufficient to finance these activities, existing cash resources will be consumed, unproductive non-current assets will be sold and possibly also some of the productive non-current assets. The outcome for such a company is a business combination or liquidation. Due to the fact that cash plays such a big role in failure, cash flow variables constitute the majority of the independent variables used in the development of the failure prediction models. The overtrading ratio was developed as a measurement tool to quantify overtrading. As long as the company generates a positive CFO, it is not so much at risk as a company that does not succeed in generating a positive CFO. Therefore, a negative CFO for a three-year period was decided on as the norm for identifying possible financial difficulty. A company is involved in overtrading if the sum of CFO for three years less the sum of the adjusted profit for the three years, divided by the absolute value of the sum of the adjusted profit for the three years equals -1 or smaller in the case of a company with a cumulative profit for the three years; and smaller than nought in the case of a company with a cumulative loss for the three years. South African industrial companies listed for at least three years during the period 1974 to 2003, were identified. From a total of 6 662 cumulative three-year periods, 944 overtrading years were identified. Failure occurred in 212 out of 526 companies involved in overtrading between January 1974 and August 1989. 120 out of 199 companies involved in overtrading between September 1989 and November 1995 failed, while 90 out of 127 companies involved in overtrading, failed between December 1995 and June 2000. By June 2005 it was already evident that 49 out of 92 companies involved in overtrading between July 2000 and December 2003, had already failed. Companies involved in overtrading, may survive artificially for lengthy periods with the support of providers of capital. It can therefore be expected that failure prediction models will not achieve a better accuracy rate than achieved by probabilities. Six failure prediction models utilising classification tree algorithms were developed. Using data from two periods, two different models were developed; one for growth and recession phases of the economy, the other without distinction between economic phases. The first period was September 1989 to June 2000, the other December 1995 to June 2000. June 2000 was chosen as the cut-off, since a period of five years after an overtrading year was necessary to follow-up whether the company had failed. Each universe was split in two – the learning sample, more or less 60%, and the test sample, more or less 40%. The models were developed from the learning sample and the test sample was used as substantiation of the results of the developed model. The total classification accuracy of the three best models, one for the growth-phase, one for the recession-phase and one mixed economy model, is respectively 72,99%, 96,67% and 80,26% and the classification accuracy for the failed companies 75,29%, 100% and 85,19% respectively. The total prediction accuracy of the three models is respectively 69,23%, 80,95% and 72,55%, and that of the failed companies 73,68%, 86,67% and 83,33%. The accuracy of all the models was found to be higher than what the accuracy would have been if all the companies involved in overtrading were merely classified as having failed. From the results of the different tests, it seems that Ver3, the growth in sales from year 1 to year 3, is probably the most important independent variable in the classification between failed and non-failed overtrading years. This corroborates the theory underlying overtrading that indicates that a high sales growth puts a company at risk for cash flow problems. Companies where the cash flow problems develop because of an increase in current assets will be intercepted by the overtrading ratio. Companies where cash flow problems develop due to replacement of non-current assets, will not necessarily be intercepted by the overtrading ratio as CFO that is used in the overtrading ratio does not allow for replacement of non-current assets. It is therefore necessary to adjust CFO to a free cash flow CFO. Depreciation is used as an alternative for replacement investment since disclosure of replacement investment is not required. Depreciation is theoretically the fraction of the value of an asset lost during the year; this value needs to be replaced. By subtracting the depreciation for the year from CFO, this amount will be more representative of the cash position of the company after considering all the normal transactions in order to sustain the business. After all the adjustments for a free cash flow, six models were developed for the different periods and economic phases. The accuracy of these models were better than what the accuracy would have been if overtrading years were merely classified as failed. Implementing these models would therefore improve specificity. From the tests performed, Ver3 and KVB3/TB (the cumulative CFO for the three years over total assets) seem to be the most important independent variables in the classification between failed and non-failed when considering free cash flow. This is informative as KVB3:TB represents a fictional amount, as if the company spent an amount equal to depreciation on replacement investment.

AFRIKAANSE OPSOMMING: Heelwat gemengde industrie-mislukkingvoorspellingsmodelle was al redelik suksesvol in die onderskeid tussen mislukte en suksesvolle maatskappye. Die uitdaging is egter om die grys area tussen dié uiterstes te betree en ’n maatskappy wat finansieel onstabiel is, vroegtydig te identifiseer. Vroegtydige identifikasie stel die bestuur in staat om betyds in te gryp en mislukking te voorkom. Mislukking word as likwidasie, òf denotering, òf opskorting van notering, òf ’n wesenlike struktuurverandering, gedefinieer. Die grys area waarop die fokus in hierdie studie val, is oorbedryf. Oorbedryf word veroorsaak deurdat die maatskappy teen ’n te hoë koers relatief tot sy spesifieke struktuur groei. Kontant is nodig om uitbreiding, hetsy ’n toename in voorraad, kredietverkope of nuwe nie-bedryfsbates, te finansier. Indien die besigheid nie genoeg kontant genereer om hierdie uitbreiding te finansier nie, moet dit vanuit eksterne bronne gefinansier word. Hoe langer die tydperk van groei voortduur en hoe hoër die groeikoers is, hoe meer is die kontantbehoeftes. Uit die teoretiese model wat onderliggend is aan oorbedryf, is bevind dat: • hoe hoër die groei in verkope, • hoe kleiner die winspersentasie, en • hoe hoër die bedryfskapitaal in verhouding tot die totale bates; hoe laer is die kontantvloei uit bedryfsaktiwiteite voor dividende betaal (KVB). Enige besigheid behoort genoeg kontant uit dag-tot-dag-aktiwiteite te genereer ten einde die bestaande vlak van besigheid vol te hou, lenings terug te betaal, bates te vervang en dividende te betaal. Indien die interne kontantgenerering onvoldoende is om hierdie aktiwiteite te finansier, sal bestaande kontantbronne uitgewis word, onproduktiewe nie-bedryfsbates sal verkoop word en moontlik ook van die produktiewe nie-bedryfsbates. Die uiteinde vir so ’n maatskappy is ’n besigheidsoorname of ’n likwidasie. Aangesien kontantvloei so ’n groot rol in mislukking speel, is kontantvloeiveranderlikes die meerderheid van die onafhanklike veranderlikes wat in die ontwikkeling van die mislukkingvoorspellingsmodelle gebruik is. Die oorbedryfsratio is as ’n maatstaf ontwikkel om oorbedryf te meet. Solank as wat ’n maatskappy ’n positiewe KVB genereer, is hy nie so riskant soos ’n maatskappy wat nie daarin kan slaag om positiewe kontant te genereer nie. Daarom is ’n negatiewe kumulatiewe KVB vir ’n drie-jaar-tydperk as die norm gestel om moontlike finansiële nood te identifiseer. ’n Maatskappy is besig met oorbedryf indien die som van die KVB vir drie jaar minus die som van die aangepaste wins vir die drie jaar, gedeel deur die absolute waarde van die som van die aangepaste wins vir die drie jaar, gelyk aan of kleiner as -1 is, in die geval van ’n maatskappy wat ’n kumulatiewe wins vir die drie jaar het; en kleiner as nul in die geval van ’n maatskappy wat ’n kumulatiewe verlies vir die drie jaar het. Alle Suid-Afrikaanse genoteerde industriële maatskappye wat vir ten minste drie jaar gedurende die tydperk 1974 tot 2003 genoteer was, is geïdentifiseer. Uit ’n totaal van 6 662 kumulatiewe drie-jaar-tydperke was daar 944 oorbedryfsjare. Vanaf Januarie 1974 tot Augustus 1989 was daar 526 oorbedryfsjare, waarvan 212 misluk het. Vanaf September 1989 tot November 1995 was daar 199 oorbedryfsjare, waarvan 120 misluk het en vanaf Desember 1995 tot Junie 2000 het 90 van 127 oorbedryfsjare misluk. Teen Junie 2005 was dit reeds bekend dat 49 van die 92 oorbedryfsjare tussen Julie 2000 en Desember 2003 misluk het. Oorbedryfsmaatskappye bly soms vir uitgebreide tydperke kunsmatig voortbestaan, indien die verskaffers van kapitaal hulle dra. Die verwagting was dus dat mislukkingvoorspellingsmodelle nie ’n beter akkuraatheid sou behaal as wat waarskynlikhede sou bepaal nie. Ses mislukkingvoorspellingsmodelle is met behulp van die klassifikasieboomalgoritme ontwikkel. Een model elk vir die groeifase en die resessie-fase van die ekonomie en een model sonder onderskeid van die ekonomiese fase is met die gebruikmaking van twee tydperke se data ontwikkel. Die eerste tydperk was September 1989 tot Junie 2000 en die ander Desember 1995 tot Junie 2000. Junie 2000 is as die afsnypunt gebruik aangesien ’n vyf-jaaropvolgtydperk na ’n oorbedryfsjaar nodig is om vas te stel of die maatskappy misluk het. Elke universum is in twee verdeel – die leersteekproef, ongeveer 60%, en die toetssteekproef, ongeveer 40%. Die modelle is uit die leersteekproef afgelei en die toetssteekproef is gebruik as bevestiging van die resultate van die afgeleide model. Die totale klassifikasie-akkuraatheid van die drie beste modelle, een vir die groeifase, een vir die resessie-fase en een gemengde ekonomiemodel, is onderskeidelik 72,99%, 96,67% en 80,26% en dié vir die mislukte maatskappye 75,29%, 100% en 85,19%. Die totale voorspellingsakkuraatheid van die drie modelle is onderskeidelik 69,23%, 80,95% en 72,55% en dié van die mislukte maatskappye 73,68%, 86,67% en 83,33%. Al die modelle se akkuraatheid is meer as wat die akkuraatheid sou wees indien al die oorbedryfsjare bloot as misluk geklassifiseer sou wees. Uit die resultate van verskeie toetse blyk dit dat Ver3, die groei in verkope vanaf jaar 1 tot jaar 3, waarskynlik die belangrikste onafhanklike veranderlike in die onderskeid tussen mislukte en nie-mislukte oorbedryfsjare is. Dit ondersteun die teorie wat onderliggend is aan oorbedryf, wat aandui dat ’n hoë groei in verkope ’n maatskappy op risiko plaas vir kontantvloeiprobleme. Maatskappye waar die kontantvloeiprobleme vanweë ’n uitbreiding in bedryfskapitaal ontstaan, word deur die oorbedryfsratio onderskep. Die maatskappye waar die kontantvloeiprobleme eerder uit die vervanging van nie-bedryfsbates sal voortvloei, sal nie noodwendig deur die oorbedryfsratio ondervang word nie, aangesien die KVB wat in die oorbedryfsratio gebruik word, nie voorsiening maak vir vervangende investering nie. Dit is daarom nodig om KVB tot ’n vrye kontantvloei-KVB aan te pas. Waardevermindering word as ’n alternatief vir vervangende investering gebruik, aangesien vervangende investering nie ’n verpligte openbaarmakingsvereiste is nie. Waardevermindering is teoreties dié deel van die bate wat gedurende die jaar opgebruik is en wat vervang behoort te word. Deur dus die jaarlikse waardevermindering van KVB af te trek, is hierdie syfer meer verteenwoordigend van die maatskappy se kontantposisie nadat alle normale transaksies om die besigheid in stand te hou, in ag geneem is. Na die aanpassings vir vrye kontantvloei is weer ses modelle uit die verskillende tydperke en vir die verskillende ekonomiese fases ontwikkel. Al die modelle se akkuraatheid is beter as wat die akkuraatheid sou wees indien al die oorbedryfsjare bloot as misluk geklassifiseer sou wees. Ver3 en KVB3:TB (die kumulatiewe KVB vir die drie jaar tot die totale bates) blyk uit die toetse die belangrikste onafhanklike veranderlikes te wees in die onderskeid tussen misluk en nie-misluk wanneer vrye kontantvloei in ag geneem word. Dit is insiggewend aangesien KVB3:TB ’n fiktiewe syfer verteenwoordig, sou die maatskappy ’n bedrag wat gelyk is aan waardevermindering, aan vervangende investering bestee het.

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