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C11..................................................511........................................513........................................92.................................1421...............1422...................................1723Logistic...............................2024Jackknifemethod...........................223...................2331.......................................233.2.....................2433.......................................2534...........................254...............................2941.......................................2942.........................315.................................................3251.......................................3225.2.......................3453...............................37312logistic3Jackknifemethod4471.3%123−t3−t3545111RamserFoster(1931),Fitzpatrick(1932),WinakorSmith(1935),Merwin(1942)12nt−),5,4,3,2,1(LL=n63LogisticNNAltman1−t5,2−−ttLAltmanAltman1968Ohlson19809Altman7Westerfield(1970)Aharony(1980)12312Warner,1977820011999200020019STPTSTPT2002131311011932FitzpatrickAComparisonofRatiosofSuccessfulIndustrialEnterpriseswithThoseofFailedFirms1960Beaver1966FinancialRatiosasPredictorsofFailure1968EdwardI.AltmanFinancialRatios,DiscriminantAnalysis,andThePredictionofCorporateBankruptcymultivariateapproach2LogisticOhlson1980FinancialRatiosandtheProbabilisticPredictionofBankruptcyLOGIT1980Logistic31990Barbro11Back1996AmirF.Atiya2001NNAndreasTrigeorgis2000LogisticLogistic1968Altman1980Ohlson1232000AltmanLogisticMDALogistic1213211980NNCoatsFant1991474791%72%Back1994MDALogisticGeneticalgorithmsBackLaitinen19962CharitouTrigeorgis2000B-S19831994139Logistic131331994199920002000200120012002200220022001731STPT19981999STPTA1998-2000Fish’s200181%2002LogisticAA1A1A214B01B10B2C1C1C2C370%221Logistic1ab1FishFish1519992002119992002IPO2LogisticLogistic16LogisticLogistic1−t1722LogisticLogistic1pxxx,,,21L1u2u()pmuuum,,,21Lpm218K},,2,1,{TtRXKpntL=∈=×TtXt,,2,1,L=,neee,,,21Lpxxx,,,21Lpxxx,,,21LttXneee,,,21Ltntteee,,,21LttIN},,2,1,{nieNtitIL==UTttItINN1==tINX()pTntijTxXXXX×==M2119()′=pxxxg,,,21L∑∑===Ttnititiepg11tiptie111=∑∑==TtnitipTpniti11=∑=ppRV×∈1jix()TnTnjTnjjnjjiRxxxxxx∈='21111,,,,,,,LLL2ix()()∑∑−=−==TtnijtijtijjxxpxVarS11223jxkx()kj≠()()()ktikTtnijtijtikjjkxxxxpxxCovS−−==∑∑−=112,()ppijsV×=tXj()'1,,tnjtjtjxxxL=t()()∑=−==nitjtijtitjtjxxTpxVars12()()∑=−−=nitktiktjtijtijkxxxxpTs1tTtRVppt,,2,1,L=∈×1()()∑∑==−−=TttitinitigegepV1'12MVMm20mλλλ≥≥≥L21muuu,,,21LM3muuu,,,21L()()htinMugeitF',−=()()()()()TnhhhhhRnTFTFnFFF∈=',,1,,,1,,1,1LLLhFhINhu4()tiLgtiePe+=ˆtieg+L()∑=+=mhhhtiuitFge1,ˆpTnX×pTnX×hF12323LogisticLogistic21Logistic1iy23iyKkixk=12K4LogisticLogisticLogistic∑=+∂=−KkkikiixppLn21βkiiixxx,,,21L()kiiiiixxxyPp,,,|121L==kiiixxx,,,21Lαkβαkβ1+++=∑∑==KkkikKkkikxxp22exp1expβαβααkβ2224JackknifemethodPredictionsampleValidationsampleJackknifemethodLogisticnnJackknifemethodn123233311993STPT1234STPT10206103103WIND243.24,3,2,1−−−−ttttt8076%3−t1−t1−t2−t3−t2t-23t-34t-4Wilcoxon2Wilcoxont-4t-3t-2Z-0.735-1.990-2.546Asymp.Sig.(2-tailed)0.4620.0470.011t-446.2%5%t-4t-3t-2254.7%1.1%5%3t-38061t-33380LogisticJackknifemethodLogistic343418026liquidityratiosoperatingefficiencyratiosprofitabilityratioscapitalratios342190%21Logistic3218090%3%%1Z113.5116.7716.772Z212.4415.4432.213Z37.649.4941.704Z46.648.2449.945Z55.226.4856.436Z64.165.1761.607Z73.564.4266.028Z82.623.2569.279Z92.032.5271.7910Z101.902.3674.5111Z111.802.2376.3812Z121.632.0278.4013Z131.521.8880.2814Z141.501.8682.151SAS8.012715Z151.261.5783.7116Z161.151.4285.1417Z170.981.2286.3518Z180.971.287.5619Z190.931.1688.7120Z200.871.0889.8021Z210.851.0690.85343logistic21LogisticSoreP0.05WaldP0.0544HL2χJackknifemethod0.571.3%•−•−•−•−•+−+•−•−•−•−•+−=2051947322110211.0exp12051947322110211.0expZZZZZZZZZZpααααααααααp0.528P0.5p0.5Z1Z2Z7Z19Z201271920Z1Z2Z7Z19Z20521,,,αααL4logisticP(%)-0.0211HLZ10.3168(0.000)7.7412(p=0.4592)Z2-0.1462(0.0002)Z7-0.2053(0.0076)Z19-0.5172(0.0049)2χZ20-0.3475(0.0285)81.2520p=0.00000.571.3=/HLHomser-Lemeshow2χ02χ2944120197210211.0154321ZZZZZppLn•+•+•+•+•+−=−αααααP)1(P−521,,,αααL0.3168,-0.1462,-0.2053,-0.5172,-0.347511Z0.340422Z/30-0.076137Z0.2562/0.2505/(0.2506)2Z419Z/(0.2651)/(-0.4337)(0.3381)31520Z//42LogisticLogistic2−tJackknifemethod2−tLogistic532Logistic3−tAltmanOhlson52−tFish’s71.9%Logistic67.9%Logistic71.3%55113323−t4−t3−t35Logistic545345.25.2.11logisticLogistic235logistic3Jackknifemethod41−t1−t2−t522361logistic2Altman803732−t3−t5%53LogisticRossL.Watts,JeroldL.Zimmerman,3819991AndreasCharitou,LenosTrigeorgis,2000,“Option-BasedBankruptcyPrediction”,UniversityofCyprusWorkingPaper,SocialScienceResearchNetworkElectronicPaperCollection.Altman,E.I.,FinancialRatios,DiscriminantAnalysis,andThePredictionofCorporateBankruptcy,JournalofFinance23(September1968),pp.589-609.Altman,E.I.,PredictingFinancialDistressofCompanys:RevisitingTheZ-ScoreandZETA®Models,unpublishedworkingpaper,July2000.Westerfield,R.,Pre-BankruptcyStockPricePerformance,unpublishedworkingpaper.Philadelphi