Modelo de Previsão de Risco de Incumprimento Fiscal: Estudo do Sector de Actividade - Fabricação de Moldes Metalicos - CAE 25734

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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

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Descriptive Statistics

N Minimum Maximum Mean

Std. Deviation Liq. Geral 2173 ,00000000 0000 3805,2492 71137027 3,4621890 7767582 81,67819150 9075100 Liquid. Reduzida 2173 ,00000000 0000 3805,2492 71137027 3,1545947 0981105 81,67178272 2055300 Rent.Vend. e Prest.Serv. 2179 -92,730429 864254 7,4125430 11428 -,12512101 431479 2,273328317 885391 Rent. Produção 2178 -92,730429 864254 35,996733 231467 -,10657083 014042 2,721636033 231011 Earning Power 2177 -10,965888 615212 ,87717466 9450 ,02201641 951277 ,2940686038 61452 ROA 2177 -11,263154 414561 ,83639968 0376 -,00925042 784130 ,2969170807 68732 ROE, ano N 2178 -100,52327 1683374 52,593241 357929 ,14810688 738617 3,107654628 520137 Auton. Financeira 2178 -6,6050011 8175 1,0000000 0000 ,21475408 85662 ,4409966796 4151 REFM 2132 -220,34503 3817635 4496968,0 02355822 000 5363,4058 00108760 00 144233,2685 5952930000 0 TMR 2179 ,00000000 0000 99740,867 65975820 0 348,09400 14895923 0 2433,409224 541308000 TMP 2173 ,00000000 0000 203101,20 11764706 00 1295,0765 06448865 00 7450,346862 432090000 FundoManeio 2179 -7877456,1 5 7315467,9 7 63538,222 4 723246,9364 4 Valid N (listwise) ₂₁₂₃

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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 1,0000000 00000 ,00362208 494105 ,4637037983 61386 RESULT. RET./ACT.TOTAL 2178 -33961645, 00000000 0000 4,2708123 25393 -15593,149 75267972 000 727712,4061 6464600000 0 EBIT/ACT. TOTAL 2178 -35733668, 00000000 0000 ,87717466 9450 -16406,620 78524094 000 765682,3931 8298600000 0 CAP. PRORIOS/PASS. TOTAL 2177 -1,0000000 0000 3804,2492 7113703 2,5166369 533734 81,58406264 976880 V. P. S./ACTI TOTAL 2178 ,00040293 3859 7550000,0 00000000 000 3467,3458 04355168 00 161777,4420 4932790000 0 Valid N (listwise) ₂₁₇₆

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Analysis Case Processing Summary

Unweighted Cases N Percent

Valid ₂₁₂₃ _97,4

Exclude d

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 1,6028945

9195232 2,742435666809971 2054 2054,000 Liquid. Reduzida 1,2852594 4487963 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 ,02739286 141935 ,286902334264476 2054 2054,000 ROA -,00347670 914347 ,289109215352869 2054 2054,000 ROE, ano N ,12928457 261984 3,177307156336032 2054 2054,000 Auton. Financeira ,23478384 503607 ,353603759159050 2054 2054,000 REFM 5566,9503 87087600 00 146943,81184483680000 0 2054 2054,000 TMR 279,91785 77164260 0 1129,268278920531000 2054 2054,000 TMP _1213,2587 _{7332,870177988220000} ₂₀₅₄ _2054,000

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17500779 00 FundoManeio 80967,846 94741960 000 710890,20955708100000 0 2054 2054,000 Com dívida Liq. Geral 1,1501073 2069233 2,950183652203079 69 69,000 Liquid. Reduzida ,96593102 358264 2,972405498480290 69 69,000 Rent.Vend. e Prest.Serv. -,35391642 756075 1,303513772658448 69 69,000 Rent. Produção ,60782364 146615 6,252616405374950 69 69,000 Earning Power -,09511277 243090 ,330242697608472 69 69,000 ROA -,14466892 802940 ,348587753396332 69 69,000 ROE, ano N ,31897798 267366 1,480849133416561 69 69,000 Auton. Financeira -,35325515 819868 1,308370432247312 69 69,000 REFM ,28596276 780983 11,889180842765520 69 69,000 TMR 654,68625 80069750 0 1775,513874038263000 69 69,000 TMP 3967,7269 77432616 00 11850,547831236950000 69 69,000 FundoManeio -427825,23 82608695 0000 1109644,8894173660000 00 69 69,000

Total Liq. Geral 1,5881784

7244363 2,749864819407983 2123 2123,000 Liquid. Reduzida 1,2748808 9515307 2,303456511313850 2123 2123,000 Rent.Vend. e Prest.Serv. -,12353529 055889 2,270839626840384 2123 2123,000 Rent. Produção -,11444794 897765 2,716242760670138 2123 2123,000 Earning Power ,02341128 405917 ,289142555778946 2123 2123,000 ROA -,00806562 252224 ,292211153501770 2123 2123,000 ROE, ano N ,13544983 182554 3,136625913867901 2123 2123,000

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Auton. Financeira ,21567188 496862 ,432093091260245 2123 2123,000 REFM 5386,0272 38110650 00 144538,39227000790000 0 2123 2123,000 TMR 292,09827 20452287 0 1157,246665638880000 2123 2123,000 TMP 1302,7821 79552261 00 7534,023990468010000 2123 2123,000 FundoManeio 64431,472 53414970 000 732484,71313930500000 0 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 Rent.Vend. e Prest.Serv. 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

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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 Rent.Vend. e Prest.Serv. ,270 Rent. Produção _-,508 Earning Power _-3,214 ROA _3,078 ROE, ano N _,010 Auton. Financeira _,812 REFM _,006 TMR _-,149 TMP _-,092 FundoManeio _,297

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Structure Matrix Coeficientes estruturais Function 1 Auton. Financeira _,822 FundoManeio _,410 ROA _,284 Earning Power _,249 TMP _-,215 TMR _-,190 Rent. Produção _-,161 Liq. Geral _,097 Liquid. Reduzida _,081 Rent.Vend. e Prest.Serv. ,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

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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 Rent.Vend. e Prest.Serv. -,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

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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} Rent.Vend. e Prest.Serv. -,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 Rent.Vend. e Prest.Serv. -,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} Rent.Vend. e Prest.Serv. -,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}

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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 Rent.Vend. e Prest.Serv. 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

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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 _FundoMa neio ,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

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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 Rent.Vend. e Prest.Serv. 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 Rent.Vend. e Prest.Serv. ,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 Rent.Vend. e Prest.Serv. ,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

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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 Rent.Vend. e Prest.Serv. ,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 Rent.Vend. e Prest.Serv. ,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

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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 Rent. Produção _-,346 Auton. Financeira ,841 TMR _-,226 FundoManeio _,326 Structure Matrix Function 1 Auton. Financeira _,890 FundoManeio _,444 ROA(a) _,397 Earning Power(a) _,391 Liquid. Reduzida(a) _,218 Liq. Geral(a) _,215 TMR _-,206 Rent. Produção _-,175 TMP(a) _-,158

ROE, ano N(a) _-,029

REFM(a) _,018

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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)

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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.