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
Analise discriminante rácios Económico - Financeiros - VI Page 2
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
Analise discriminante rácios Económico - Financeiros - VI Page 3
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
Analise discriminante rácios Económico - Financeiros - VI Page 4
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
Analise discriminante rácios Económico - Financeiros - VI Page 5
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
Rent.Vend. e Prest.Serv.
-,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
Rent.Vend. e Prest.Serv.
-,12353529
055889 2,270839626840384 2123 2123,000
Rent. Produção -,11444794
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
Analise discriminante rácios Económico - Financeiros - VI Page 6
Auton. Financeira ,21567188496862
,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
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
The ranks and natural logarithms of determinants printed are those of the group covariance matrices.
Analise discriminante rácios Económico - Financeiros - VI Page 7
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
Analise discriminante rácios Económico - Financeiros - VI Page 8
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
Total 1,000 2123 2123,000
Analise discriminante rácios Económico - Financeiros - VI Page 9
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
Analise discriminante rácios Económico - Financeiros - VI Page 10
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
Analise discriminante rácios Económico - Financeiros - VI Page 11
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
Analise discriminante rácios Económico - Financeiros - VI Page 12
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
Analise discriminante rácios Económico - Financeiros - VI Page 13
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
Analise discriminante rácios Económico - Financeiros - VI Page 14
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
Analise discriminante rácios Económico - Financeiros - VI Page 15
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
Rent.Vend. e -,011
Analise discriminante rácios Económico - Financeiros - VI Page 16
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)
Analise discriminante rácios Económico - Financeiros - VI Page 17
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.
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