Accounting and governance risk forecasting in the health care industry

Figures & data

Table 1. Feature selection, from the data submitted for Random Forests in three different versions.

		1Var		2Var		3Var
		Class	Regg	Class	Regg	Class	Regg
1	AGR_2007	+	+	+	+	+	+
2	AGR_2008	+	+	+	+	+	+
3	AGR_2009	+	+	+	+	+	+
5	Δ Assets	+	+	+	+	0	+	Modified Jones Model	1Var
6	Δ Sales	+	+	+	+	+	+
7	Δ Receivables	+	0	+	+	0	0
8	Δ PPE	+	0	+	+	0	0
14	AQI	+	+	+	+	+	+	Beneish’s M-score
21	Δ INV	+	0	+	+	0	0	Dechow et al.’s F-score
22	Δ CASH_SALES	+	+	+	+	+	+
25	ACT_ISSUANCE_2	+	+	+	+	+	+
27	Δ Assets					+	+	Modified Jones Model	2Var
28	Δ Sales					+	+
30	Δ PPE					+	0
31	Sant_2					0	0
32	Sant_3					0	0
36	AQI					+	+	Beneish’s M-score
43	Δ INV					+	0
44	Δ CASH_SALES					0	+
47	ACT_ISSUANCE_2					+	+

Table 2. Errors obtained in predicting AGR in three different ways, prior to indicators selection and after.

Class or method	Number of data vectors	After feature selection			Before feature selection
		1Var	2Var	3Var	1Var	2Var	3Var
Aggressive	172	0.0938	0.0799	0.0705	0.139	0.1311	0.1481
Average	468	0.121	0.114	0.1063	0.2121	0.1968	0.2404
Conservative	100	0.1005	0.0893	0.0965	0.2124	0.2021	0.263
Very Aggressive	52	0.1355	0.1466	0.1443	0.1589	0.1704	0.1819
Regression for all classes together	792	0.1099	0.1372	0.1451	0.2017	0.2142	0.2374
Classification	792	0.0209	0.0193	0.0188	0.0413	0.0426	0.0528

Figure 1. Contour levels of pairs of the data series of the fitted distribution.

Table 3. Compute skew t-distribution standard deviation of pairs of stocks and AGR.

Period	Matrices	Standard deviation
		AGR	Volume, (×10^6)	AGR	Close
2011_09 (III term)	Sigma	31.749	1.128	36.083	17.797
	Theta	31.890	1.997	30.022	32.249
2011_12 (IV term)	Sigma	31.906	0.522	34.756	18.234
	Theta	31.843	0.976	31.038	32.342
2012_03 (I term)	Sigma	31.318	0.824	34.928	20.536
	Theta	31.392	1.566	30.988	36.551
2012_06 (II term)	Sigma	31.221	0.957	34.409	20.190
	Theta	31.270	1.779	30.903	36.263

Table 4. Compute skew t-distribution correlations of pairs of stocks and AGR.

Period	Matrices	Correlation
		AGR-Volume	AGR-Close
2011_09 (III term)	Sigma	-0.326	-0.133
	Theta	0.111	-0.326
2011_12 (IV term)	Sigma	-0.312	-0.191
	Theta	0.105	-0.218
2012_03 (I term)	Sigma	-0.241	-0.174
	Theta	0.176	-0.233
2012_06 (II term)	Sigma	-0.253	-0.119
	Theta	0.163	-0.176

Figure 2. Distribution of companies SOM neurons characterized by AGR upward and downward trends in the period of 2007—2009.

Figure 3. Meaning of different colors in Figure 2. T1+ and T2+ means AGR rating trend towards an increase in the first and second period. T1- and T2- means AGR rating trend to decrease in the first and second period.