Analiza factorilor determinaţi ai riscului de credit. Evidenţe empirice pe cazul companiilor listate la Bursa de Valori Bucureşti
Analysis of credit risk determinants. Empirical evidence on the case of companies listed on the Bucharest Stock Exchange

Summary/Abstract: The paper aims to analyze the determinants of credit risk for enterprises. In this study, was used a sample of 68 Romanian companies listed on the Bucharest Stock Exchange, for the period 1988-2017, totaling 810 statistical observations; the database was collected from the Bloomberg platform. To perform the analysis, we used panel data related to the size of enterprises, performance indicators, liquidity indicators, seniority of enterprises, period of listing of companies on the Bucharest Stock Exchange, total credit lines, cash flows and a variable dummy corresponding to the period of economic crisis (2007-2009 representing the period of economic recession in Romania) - as explanatory / independent variables and debt indicators-as dependent variables; thus, 7 multiple linear regressions were constructed in EViews. Analyzing the obtained results, we can say that: the explanatory variables - total assets, the time period of listing companies - have a positive relationship with the dependent variable - the ratio between long-term debt and capital, and the explanatory variables - cash flow from financial activity and ROA a significant inverse link on the dependent variable. The ratio between long-term debt and equity has a significant inverse link with the variables: ROC, ROIC and cash flow from investment activity, and with the available cash flow from operational activity has a direct link; also, on the dependent variables - the total long-term debt related to the total assets and the ratio of the total debt to the total assets is exerted a significant influence by the explanatory variables: size, performance, cash flow and credit lines indicators.

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