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Reconstruction of Z-score Model Based on Chinese Financial Data

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DOI: 10.23977/ferm.2020.030108 | Downloads: 10 | Views: 328

Author(s)

Liang Hou 1

Affiliation(s)

1 School of Management, Shanghai University, Shanghai, 200444, China

Corresponding Author

Liang Hou

ABSTRACT

The Z-score model is widely used. However, due to the short development period of China's capital market and its great difference with western countries, the traditional Z-score model needs to be adjusted according to the actual situation of China's capital market. This paper reconstructs the model by using Chinese financial data of listed companies in 2017, and tests the identification and prediction abilities of the reconstruction model. This paper finds that the accuracy of the re-construction model has been greatly improved, but the abilities to identify and predict enterprises with financial failure are weaken than the original model.

KEYWORDS

Z-score model, Reconstruction, Logistic, Chinese capital market

CITE THIS PAPER

Liang Hou. Reconstruction of Z-score Model Based on Chinese Financial Data. Financial Engineering and Risk Management (2020) 3: 60-65. DOI: http://dx.doi.org/10.23977/ferm.2020.030108.

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