基于A股市场的财务困境预测模型的实证比较研究-金融学专业论文.docxVIP

Financial Distress Prediction: An Empirical Study of Model Comparison in China A Share Market By JIANG Yi Under the Supervision of Professor Charles Chang Submitted in Partial Fulfillment of the Requirements For the Degree of Master In Finance Shanghai Advanced Institute of Finance Shanghai Jiaotong University May 2011 Content HYPERLINK \l _bookmark0 Abstract i HYPERLINK \l _bookmark1 摘要 ii HYPERLINK \l _bookmark2 Introduction 1 HYPERLINK \l _bookmark3 Literature Review 3 HYPERLINK \l _bookmark4 Literature regarding to financial distress prediction outside China 3 HYPERLINK \l _bookmark5 Literatures regarding financial distress prediction in China 7 HYPERLINK \l _bookmark6 Problems remain in the former research 8 HYPERLINK \l _bookmark7 Term Defining and Methodology 10 HYPERLINK \l _bookmark8 Financial Distress Defining 10 HYPERLINK \l _bookmark9 Bankruptcy 10 HYPERLINK \l _bookmark10 Financial Distress 10 HYPERLINK \l _bookmark11 Special Treated 11 HYPERLINK \l _bookmark12 The choice of proxy for financially distressed firms 12 HYPERLINK \l _bookmark13 Methodology 13 HYPERLINK \l _bookmark14 Model Introduction 13 HYPERLINK \l _bookmark15 Reasons behind financial distress for China’s listed companies 16 HYPERLINK \l _bookmark16 Hypotheses 16 HYPERLINK \l _bookmark17 Predictive Factors (variable) Selection 18 HYPERLINK \l _bookmark18 Factor selection for Model a, b, c part 18 HYPERLINK \l _bookmark19 Theoretical arguments for factor selection 18 HYPERLINK \l _bookmark20 Tests for factor selection of Model d part 19 HYPERLINK \l _bookmark21 Model Testing 22 HYPERLINK \l _bookmark22 Classification Statistics 22 HYPERLINK \l _bookmark23 ROC curve- Receiver Operator Characteristic curve 23 HYPERLINK \l _bookmark24 Goodness-of-fit test - Hosmer-Lemeshow test 24 HYPERLINK \l _bookmark25 Empirical Study of Financial Distress Prediction 25 HYPERLINK \l _bookmark26 Data 25 HYPERLINK \l _bookmark27 Source of data 25 HYPERLINK \l