D 1
2001 1 1999 2 3 2
1 2 3
1 2 21 22 3 31 32 33 4 41 42 logistic 5 51 52 logistic 6 7 4
1, 1932 Fitzpatrick Fitpatrick 1998 ST 1999 2001 5
2 21 AltmanZ Zeta Beaver1966 80 Peel & Peel1987 ST ST ST ST ST 2000 P/E EPS EVA 1999 6
1999 19.64%2000 14.48%2001 13.38%2002 12.1% 63.04%52.17%48.28% 27.38% ST n 12 1 22 7
2000 2 8
1 2 1 20 1999 pp1635 9
1 A1= 0 1 A2= 0 1 A3= 1 0 A4 = / A5= + / A6= 1 0 A7= 1 0 A8= / A9= 1 0 A10= / A11= / A12= 1 0 A13= 1 0 B1= / B2= / B6= / B7= / B9= / B10= / B11= / 10
B12= * - >0 0 1 B13= B14= B15= 1 0 C1 / C2= / C4 / C5= / C7= / C8= C9= C11= / C12 3 31 logistic Logistic logistic 2000 2001 2003 11
Zmifewski1984 32 І Theofanis1987 І Anderson1962 2 2 1 1 ln c q c q CS = CS 1,q 2 q 1,c 2 c І multivariate discriminant model logistic Anderson1962 12
P = q q 2 1 c c 2 1 1 * 2 c c 2 1 q P c1,c 2 q,q 1 2 1,q 2 І Altman etal.1977 [1/21/38] 1/21/20 1/38 2 1999-2002 q 2 /q 1 1999 50 1082 0.0462 0.9538 20.64 2000 46 1157 0.0398 0.9602 24.1522 2001 88 1166 0.0755 0.9245 12.25 2002 89 1209 0.0736 0.9264 12.5842 273 4614 0.0592 0.9408 15.9011 3 q 2 / q 1 c 2 / c p 1 1/2 3.98 13
15.9011 1/20 0.40 1/38 0.21 1 1 0.5 1/2 1 c 2 / c 1 33-2 1 t t-1 1 t-1 t-2 2 20002001 2 1999 2001 / 5 3 2001 ROE 2 1999 2001 14
2 1 t tn t 1t t-1 2 199920002001 n 12 3 2 t tn t-1 tn 1999 2000 2001 n 12 3 2002 4 2000 46 190 2001 87 216 133 406 5 1 2 1 2 1999 46 26 35 20 11 2000 46 28 30 18 16 3 1999 1999 15
2001 88 41 50 47 38 180 95 115 85 65 1999 2000 2001 2001 2002 2003 4 4 41 6 t Mann-Whitney t p z p 0.22 0.35-2.629 0.0090-2.796 0.0050 0.45 0.63-3.711 0.0000-3.617 0.0000 0.14 0.29-3.475 0.0010-3.914 0.0000 / 0.1010 0.2493-8.12 0.0000-8.889 0.0000 /0.2996 0.4840-8.604 0.0000-8.205 0.0000 0.17 0.6-9.215 0.0000-9.574 0.0000 0.2 0.18 0.49 0.6250-0.481 0.6300 4 16
0.2452 0.2993-3.058 0.0030-2.862 0.0040 0.05 0.83-23.17 0.0000-18.414 0.0000 0.6174 0.6319-0.666 0.5060-0.777 0.4370 0.0074 0.0010 2.763 0.0060-2.047 0.0410 0.06 0.14-2.382 0.0180-2.844 0.0040 0.24 0.33-1.993 0.0480-2.091 0.0370 133 406t t p 7 t Mann-Whitney t p z p /0.1164 0.0363 19.9900 0.0000-14.87 0.0000 /0.0950 0.0181 20.9450 0.0000-15.022 0.0000 0.0080-0.001 1.1250 0.2630-6.95 0.0000 0.0175 0.0962-2.1240 0.0360-8.61 0.0000 1.0585 1.0992-0.6010 0.5490-1.916 0.0550 1.1670-1.187 1.0910 0.2770-1.324 0.1850 0.3142 0.2326 5.5300 0.0000-6.606 0.0000 0.69 0.45 4.9170 0.0000-4.999 0.0000 0.9020 0.4286 0.8330 0.4050-7.625 0.0000 0.15 0.51-7.8030 0.0000-8.623 0.0000 17
0.5227 0.0271 3.1600 0.0020-8.593 0.0000 0.17 0.65-10.597 0.0000-10.602 0.0000 133 406t t p 8 t Mann-Whitney t p z p / / 0.3764 0.0275 10.2470 0.0000-10.17 0.0000 0.3158 0.0221 9.2460 0.0000-9.883 0.0000 19.8736 18.6047 0.1530 0.8780-6.388 0.0000 1.4566 0.8561 7.7600 0.0000-7.867 0.0000 2.2131 1.5671 6.5690 0.0000-4.674 0.0000 1.1780 0.4789 9.6480 0.0000-7.26 0.0000 /0.2407 0.1597 4.1170 0.0000-3.453 0.001 0.3672 0.4822-7.183 0.0000-6.728 0.0000 1.9218 1.5641 3.4970 0.0010-2.021 0.043 133 406t t p 18
42 logistic Altman19681977 1999 2000 2001 1 Altman1993Edmister1972 1999 2003 2003 1 19
9 logistic Wald Wald 1.228 3.679 0.055-5.321 12.572 0.0000 1.982 1.657 0.198 1.627 9.174 0.0020 /1.991 10.72 0.001 2.006 2.135 0.1440 5.179 58.557 0.000 2.103 16.976 0.0000 3.176 5.153 0.023 5.108 78.886 0.0000 1.229 2.472 0.116 3.476 8.317 0.0040-30.187 9.852 0.002 1.017 2.234 0.1350 / -3.918 0.065 0.799-26.489 12.662 0.0000-3.173 1.716 0.19-0.04 0.02 0.8860 2.611 16.991 0.000-3.787 3.244 0.0720-2.027 4.754 0.029 2.499 23.106 0.0000 / 0.107 0.057 0.811-1.871 5.04 0.0250-0.028 0.004 0.949-0.08 0.04 0.8410-0.075 0.063 0.801 0.178 0.267 0.6050-5.13 8.492 0.004-0.057 0.046 0.8290-2 Log likelihood 111.556 152.648 20
Cox & Snell R 2 0.597 0.597 Nagelkerke R 2 0.887 0.872-2 Log likelihood R 2 logistic logistic 650 539 Scott1995 10 ІІ 54.31% 44.29% 34.29% 0.7858 0.5 46.55% 7.14% 70% 1 1 0.7714 60.34% 44.29% 41.43% 9.2723 0.40 50% 7.14% 75.71% 20 1 2.1851 58.62% 38.57% 51.43% 15.1709 0.21 54.31% 7.14% 82.86% 38 1 3.5418 logistic logistic 21
logun = 5.321+ 1.627 * owner + 2.006 * orec / asset + 2.103* contin + 5.108* appra + 3.476 * renume + 1.017 * contcha 26.489 * return 0.04* persist 3.787 * margin + 2.499 * trend 1.871* liquid 0.08* turn + 0.178* acid 0.057match 5 51 11 1999-2001 t Mann-Whitney t p Z p 0.34 0.42-1.1 0.273-1.097 0.273 0.64 0.67-0.538 0.591-0.54 0.589 0.31 0.36-0.738 0.462-0.737 0.461 /0.3367 0.4608-2.397 0.018-1.838 0.066 /0.5748 0.7280-2.847 0.005-2.953 0.003 0.73 0.65 1.113 0.267-1.108 0.268 0.26 0.15 1.852 0.066-1.861 0.063 0.2833 0.2632 0.792 0.429-1.048 0.295 0.78 0.91-2.36 0.02-2.373 0.018 0.5844 0.6200-0.983 0.327-0.866 0.386 0.0008 0.0009-0.554 0.581-0.722 0.47 22
0.21 0.2 0.194 0.847-0.194 0.846 0.45 0.54-1.199 0.232-1.198 0.231 /-0.0869-0.0982 0.784 0.434-0.09 0.928 / 0.0422 0.0394 0.385 0.701-0.115 0.909-0.2772-0.4017 0.897 0.371-0.486 0.627 0.2066 0.5243-1.034 0.303-0.702 0.483 1.1429 1.1032 0.562 0.575-1.862 0.063 1.3954 1.7461-0.142 0.887-2.514 0.012 0.1296 0.1218 0.269 0.788-0.621 0.535 0.62 0.49 1.744 0.083-1.731 0.083 0.0345-0.1728 1.102 0.273-2.093 0.036 0.66 0.78-1.789 0.075-1.791 0.073-33.814-13.496-1.861 0.066-0.15 0.88 0 1 t t p 52 logistic 12 logistic Wald Wald -1.42 4.556 0.033-1.309 8.314 0.004 23
0.275 0.59 0.443 0.581 4.577 0.032 0.071 0.037 0.848-0.168 0.372 0.542 / 1.289 4.028 0.045 1.036 3.907 0.048-0.876 4.561 0.033-0.713 5.24 0.022 1.223 6.588 0.01 1.143 10.377 0.001 /2.177 0.941 0.332 1.513 0.78 0.377-0.019 0.009 0.923-0.034 0.035 0.852-0.275 0.701 0.402-0.273 1.863 0.172 0.728 3.794 0.051 0.766 8.106 0.004-2 Log 223.886 392.286 likelihood Cox & Snell R 2 0.118 0.116 Nagelkerke R 2 0.157 0.155 13 І І 36.52% 40.48% 54.76% 26.19% 0.8095 0.5 35.05% 39.29% 54.76% 23.81% 1 1 0.7857 N/A 36.90% 38.10% 35.71% 7.9771 24
0.40 N/A 40.48% 38.10% 42.86% 20 1 8.0486 N/A 38.10% 14.29% 61.90% 6.0492 0.21 N/A 44.05% 11.90% 76.19% 38 1 5.2839-2 Log likelihood R 2 logistic logistic 2002 log Ex = 1.42 + 0.275* state + 0.071* owner + 1.289 * orec / asset 0.876 * dual + 1.223* appra + 2.177 * return 0.019 * persist 0.275* cash + 0.728* trend 6 1 25
2 3 26
1Altman,E.I.1968Financial ratios, discriminant analysis and prediction of corporate bankruptcy. Journal of Finance19689pp589609 2Altman,E.I.1993Corporate financial distress and bankruptcya complete guide to predicting & avoiding distress and profiting from bankruptcysecond edition. John Wiley & SonsInc. New York 3Anderson, T.W.1962An Introduction to Multivariate Statistical Analysis. New York:Wiley 4Beaver,W.H.1966Financial ratios as predictors of failure. Journal of Accounting Researchsupplement1966pp71111 5Deakin,E.B.1977Business failure predictionan empirical analysis. In E. Altman & A. SametzedsFinancial CrisesInstitutions and Markets in a Fragile Environment. John WileyNew York 6Edmister, R.O.1972An empirical test of financial ratio analysis for small business failure prediction. Journal of Financial and Quantitative Analysis March 7Larry George Gru1973Financial RatiosMultiple Discriminant Analysis and the Prediction of Small Corporate Failure. Ph.D. dissertation of the University of Minnesota. University Microfilms Internationals. 8MensahY.M.1984An examination of the stationary of multivariate bankruptcy 9Peel M.J. & D.A. Peel 1987 Some further empirical evidences on predicting private company failure. Accounting and Business Research. Winter,pp57-66 10 Scott Menard1995Applied Logistic Regression Analysis. UK:Sage Publications; 11 Theodossiou Panayiotis Theofanis1987Corporate Failure Prediction Models for the U.S. Manufacturing and Retailing Sectors. Ph.D. dissertation 27
of University of New York. University Microfilms Internationals. 12 Zmijewski,Mark Eugene 1984 Essays on Corporate Bankruptcy. Doctoral dissertation of State University of New York at Buffalo. University Microfilms International. 13 1999 4pp3138 14 2000 20009pp5572 15 1999 19997pp15 22 16 2002 17 2003 20034 18 2003 19 1999 19999pp2535 20 2003 21 2001 20016pp4655 28