财务危机预警文献,仅供学习研究
φ(t, x; θ)=
e
(α+βg(t)+βx)
1
'2
1+e
'
α+β1g(t)+β2x
, θ=(α,β1,β2'), (9)
Where,g(t) represents the natural log of firm age, that is,g(t)=ln(t). This belongs to a type of accelerated failure-time models (Lancaster 1990). Parameter θ is estimated using maximum likelihood methods (MLE). x is set of bankruptcy (financial distress) predictors. employed in this study include financial ratios, auditors’ opinions, macroeconomic factors, and industry factors. Next we turn to discuss these variables. 3.2. Variables
Financial ratio variables consist of the nine financial ratios used in Ohlson (1980): firm size (Natural log of (Total Assets/ GNP Implicit Price Deflator Index); working capital divided by total asset; current liabilities divided by current asset; total liabilities divided by total asset; a dummy variable that equals to one if total liability exceeds total asset, 0 otherwise; return on assets; a dummy variable that equals one if net income was negative for the last two years, zero otherwise; change in net income ((net income in current year minus net income last year)/sum of absolute values of two years’ net income); funds (net income and depreciation expense) divided by total liabilities.
