A ST Early Warning Model Based on Discrete-time Hazard Model

摘要

In this paper we devises a discrete-time hazard model which is proposed by Shumway(2001) for predicting Special Treatment Company in China. This model is based on data collected from Chinese listed firms except for the financial Company. We use the market variables besides the financial variables. The results show that the market variables make a difference for predicting whether a company will be Special Treated. But if we put the financial variables into the model, the market variables are no longer significant. On some level, Chinese stock market is still in the growth stage, the major indicator of deciding a ST company is net income. So the accuracy of ST prediction which only uses the market variables is lower than the financial variables. At the same time, it is inferred that the longer the company is listed, the more impossible it will be special treated.