Reconstruction of Z-score Model Based on Chinese Financial Data
DOI: 10.23977/ferm.2020.030108 | Downloads: 10 | Views: 328
Liang Hou 1
1 School of Management, Shanghai University, Shanghai, 200444, China
Corresponding AuthorLiang Hou
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.
KEYWORDSZ-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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