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Financial Distress Prediction:an Empirical Study of Model Comparison in China A Share Market

Author: JiangZuo
Tutor: Charles Chang
School: Shanghai Jiaotong University
Course: Financial
Keywords: Financial distress prediction MDA model static Logistic Discrete-time hazard model
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 14
Quote: 0
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Abstract


With the establishment and in-depth of the socialist market economic system, thecompetition among enterprises is becoming fiercer and fiercer. This kind of strongcompetition makes risk an objective to become the inevitable and financial distress isthe most notability and comprehensive representation one. Once a company ran intofinancial distress, relevant shareholders, executives (by CEO leadership), such as theboard of directors of the stakeholders and employees, customers, suppliers, creditorsand other stakeholders would be affected and suffer loss without a doubt. And for thisreason, financial distress and bankruptcy prediction is playing an important role inacademic and practical field.This paper studies on the theory and empirical analysis on the comparisons offinancial distress prediction models. Through review of domestic and internationalfinancial distress prediction model in the field of classical literature, I choose342companies from consumer products manufacturing industry that listed in China’s Ashare market from year2000to2009, and then build up three models with MDA,static logistic and discrete-time hazard method. And also use different predictivefactors that appeared in Altman(1968), Ohlson(1980) and Shumway’s(2001) originalmodel and other factors selected from a bunch of candidate variables that havepotential influence on the predictive power. After regress on the predictive factors, Icompared models to investigate the predictive accuracy power both from horizontallywith different predictors based on the same method and vertically with differentstatistical prediction techniques.This dissertation is composed of six parts. Part I is for introduction; Part II forliterature review; Part III for introduction of theoretical models and methodology usedin this dissertation; Part IV for empirical study of financial distress prediction; Part Vis conclusion and Part VI is the limitation for this research.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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