上市公司财务失败预警系统实证分析（pdf32）

1142731445593451.2.11.2.2671.2.38910(1.1))G,d()G,d(G)G,d()G,d(G212211⎩⎨⎧∈≤∈xxxxxx2’’(1.2))(G)(G2⎩⎨⎧∈≥∈0W0W1xxxx’11-Σ’12-Σ11dxfR)(...12x∫∫dxfR)(...11x∫∫dxfR)(...21x∫∫dxfR)(...22x∫∫12⎭⎬⎫⎩⎨⎧•≥1221)1/2()2/1()()(ppCCxfxfx⎭⎬⎫⎩⎨⎧•1221)1/2()2/1()()(ppCCxfxfx1221)1/2()2/1()()(ppCCff•≥xx1221)1/2()2/1()()(ppCCff•xx…’’’’’’1321y’22y’222212211)(yyyyqqssmm+-lllΣ-')]([2)2()1('mm⎩⎨⎧∈∈≥21xxxxxxGKWGKW)()(’–21’141516171819l1’2’345672001Z8910111BeaverW.H.FinancialRatiosasPredictorsofFailuresJournalofAccountingResearch(September1967).2AltmanE.I.FinancialRatiosDiscriminantAnalysisandthePredictionofCorporateBankruptcyJournalofFinance(September1968).3AltmanE.I.R.Haldeman.andP.NarayananZETAAnalysis:ANewModeltoIdentifyBankruptcyRiskofCorporationsJournalofBankingandFinance(June1977).4EdmisterR.O.AnEmpiricalTestofFinancialRatioAnalysisforSmallBusiness12FailurePredictionJournalofFinancialandQuantitativeAnalysisMarch19725OhlsonJ.A.FinancialRatiosandtheProbabilisticPredictionofBankruptcyJournalofAccountingResearchSpring1980.6JamesO.HorriganAnEvaluationoftheUsageofRatiosinExternalFinancialStatementAnalysisTheUniversityofChicago1963.199019200161019994