Week 4

library(dplyr)

Attaching package: ‘dplyr’

The following objects are masked from ‘package:stats’:

    filter, lag

The following objects are masked from ‘package:base’:

    intersect, setdiff, setequal, union

library(ggplot2)
library(tidyr)

# view dataset
View(accounting_analysis)

Part 1

# view data for single company
dsw_data<- accounting_analysis %>% filter(gvkey=="024171")
View(dsw_data)

Part 2

# Beneish Model
beneish<-accounting_analysis%>%group_by(gvkey)%>%
  mutate(dsri=(rect/revt) / ( lag(rect)/lag(revt) ),
         gmi=( (lag(revt)-lag(cogs)) /lag(revt) ) / ((revt-cogs)/revt) ,
         aqi=( 1 - ((act+ppent)/at) ) / (1 - ((lag(act)+lag(ppent))/lag(at))),
         sgi=revt / lag(revt) ,
         depi=( lag(dp)/(lag(dp)+lag(ppent)) ) / (dp/(dp+ppent)),
         sai = (xsga/revt) / (lag(xsga)/lag(revt)),
         lvgi = ( (dltt+lct)/at ) / ( (lag(dltt)+lag(lct) )/lag(at)),
         tata = (ib-oancf)/at,
         check_dsri=is.nan(dsri),
         check_dsri2=is.infinite(dsri),
         check_aqi=is.nan(aqi),
         check_aqi2=is.infinite(aqi),
         check_sai=is.nan(sai),
         check_sai2=is.infinite(sai))
beneish$dsri<- ifelse(beneish$check_dsri==TRUE | beneish$check_dsri2==TRUE, yes=1, no=beneish$dsri)
beneish$aqi<- ifelse(beneish$check_aqi==TRUE | beneish$check_aqi2==TRUE, yes=1, no=beneish$aqi)
beneish$sai<- ifelse(beneish$check_sai==TRUE | beneish$check_sai2==TRUE, yes=1, no=beneish$sai)
beneish2<-beneish%>%mutate(m_score=-4.84+.920*dsri+.528*gmi+.404*aqi+.892*sgi+.115*depi-.172*sai-.327*lvgi+4.679*tata,
                           probability_of_manipulation=pnorm(m_score)*100)
sorted_by_m<-beneish2%>%filter(year==2017)%>%drop_na(m_score)%>%arrange(desc(probability_of_manipulation))
View(sorted_by_m)
dsw_m_score<-beneish2%>%filter(gvkey=="024171" & year==2017)
View(dsw_m_score)

Part 3

# Red Flags
redflags<-accounting_analysis%>%
  group_by(gvkey)%>% 
  mutate(ar_turnover=revt/rect,
         days_inventory=invt/(cogs/365),
         inventory_turnover=cogs/(invt/365),
         days_receivables=rect/(revt/365),
         LTasset_turnover=revt/ppent,
         asset_turnover=revt/at,
         total_accruals=(ib-oancf)/at)

#9 Total Accruals
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=total_accruals))+
  geom_point() + geom_line()

#10 AR Turnover
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=ar_turnover))+
  geom_point() + geom_line()

#11 Days Receivables
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=days_receivables))+
  geom_point() + geom_line()

#12 Inventory Turnover
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=inventory_turnover))+
  geom_point() + geom_line()

#13 Days Inventory
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=days_inventory))+
  geom_point() + geom_line()

#14 Long Term Asset Turnover
redflags %>%filter(gvkey=="024171") %>% 
  ggplot(aes(x=year , y=LTasset_turnover))+
  geom_point() + geom_line()

# In Class
inclassq<-redflags %>%filter(gvkey=="024171",year=="2017")
View(inclassq)

Part 4

# Operating Leases
lease<-accounting_analysis%>% mutate(
                            mrc6=mrcta/5,
                            mrc7=mrcta/5,
                            mrc8=mrcta/5,
                            mrc9=mrcta/5,
                            mrc10=mrcta/5,
                            pv_mrc1=mrc1/1.06,
                            pv_mrc2=mrc2/1.06^2,
                            pv_mrc3=mrc3/1.06^3,
                            pv_mrc4=mrc4/1.06^4,
                            pv_mrc5=mrc5/1.06^5,
                            pv_mrc6=mrc6/1.06^6,
                            pv_mrc7=mrc7/1.06^7,
                            pv_mrc8=mrc8/1.06^8,
                            pv_mrc9=mrc9/1.06^9,
                            pv_mrc10=mrc10/1.06^10,
                                total_pv=pv_mrc1+pv_mrc2+pv_mrc3+pv_mrc4+pv_mrc5+pv_mrc6+pv_mrc7+pv_mrc8+pv_mrc9+pv_mrc10,
                      
                            totalassets_plus_leases=at+total_pv,
                            debt_plus_leases=dltt+dlc+total_pv,
                            liabilities_plus_leases=lt+total_pv,
                            
                            change_in_assets=totalassets_plus_leases/at-1,
                            change_in_liabilities=liabilities_plus_leases/lt-1,
                            
                            roa=ni/at,
                            roa_after=ni/totalassets_plus_leases,
                            asset_turnover=revt/at,
                            asset_turnover_after_leases=revt/totalassets_plus_leases,
                            debt_to_equity=(dltt+dlc)/ceq,
                            debt_to_equity_after=(liabilities_plus_leases/ceq))
sorted_by_change_in_liabilities<-lease%>%filter(year==2017)%>%arrange(desc(change_in_liabilities))
View(sorted_by_change_in_liabilities)

lease%>%filter(gvkey=="024171",year=="2017")