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《The Study of Finance and Economics》 2003-05
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PCA & Multivariate Discriminant Model and Prediction of Corporate Distress

LIANG Qi(Department of Finance, School of Economics, Nankai University,Tianjin 300071,China)  
Based on principle component analysis and canonical discriminant analysis,the paper presents a new approach named PCA discriminant model to empirically predict the corporate distress in China.The study on the prediction of the corporate distress of 142 companies in both the stock markets of Shanghai and Shenzhen between 2000 and 2002 shows that the profit barometer,business barometer, capital market baromenter as well as growth barometer are four principle components which can, to the greatest extent,explain the corporate distress of listed companies in China.Through PCA,the paper has identified four components that have notable potential in prognosis.The approaches and results of the model is highly applicable in internal risk control,credit evaluation and capital market investment guidelines.
【Fund】: 国家社科基金青年项目(00CJY026)。
【CateGory Index】: F224;F270
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