MathematicalComputation

December2012,Volume1,Issue1,PP.114

A ST Early Warning Model Based on

Discrete-time Hazard Model
Tianguang Yang 1, Hong Wang 1, Muzi Chen 2, Huan Wang 3, Xiaoguang Yang 1#
1. Academy of Mathematics and Systems Science, Chinese Academy of Science, Beijing 100190, China
2. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081, China
3. School of Mathematics and Computer Science, Changsha University of Science and Technology, Changsha 410004, China
#Email: xgyang@iss.ac.cn

Abstract
In this paper we devise 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.
Keywords: The Firm's Age; Market Variables; Discrete-time Hazard Model; Special Treatment

ST*
1 1 2 3 1
1. 100190
2. 100081
3. 410004

19982012AShumway(2001)

ST

ST

No.71203247)No.11YJC790015

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 1998
Shumway[1]
ST

ST

1990 12 19

1998

ST

ST

ST
ST
ST

ST
ST

1998 Shumway[1]

ST ST

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ST
ST

Logit

ST
ST

ST

Dichev[2]

Ohlson[3]Altman[4]Zmijewski[5]

Altman[4]

5Z-score
Altman[6]Z-scoreZeta

Logit
Ohlson[7]
Madalla[8]
P>0.551P<0.551
Logit
[9]
[10]

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Shumway[1](discrete time hazard model)

ST
LogitShumway[1]

ST

3
3.1

Logit

3.1.1 Logit
STLogitST
STST
LogitSTLogisticST Pi xi

Pi = E (Yi )=F( 'xi )=

1
e 'xi
=
- 'xi
1+ e
1+ e 'xi

(1)

Yi =1 i ST
Yi =0 i
(1)01(2)
ln (

(2) Pi

1-Pi

Pi

1-Pi

)= 'xi

(2)

ST 'xi

ST
3.1.2
Shumway[1](survival model)
(survival function)
(hazard function)(hazard rate)
(hazard model)
STST t =1,2,3.Shumway

[1]

T={1,2,3,..., t }ST
f (t ,x; ) x (hazard model)
(3)(4)
S ( t ,x ; )=1- f ( j , x ; )
j <t

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(3)

(3) t ST
( t , x ; )=

f (t ,x ; )
S ( t ,x ; )

(4)

(4) t ST(3)(4)

L = ( t i , x i ; ) yi S ( t , x ; )

(5)

i =1

yi i t ST yi =1 yi =0Shumway(2001)
Logit(firm-year) xi

(t ,x; )

e + 1g(t)+ 2 'x
, =( ,1 , 2 ')
1+ e + 1g(t)+ 2 'x
g (t ) g (t )=ln(t )

( t , x ; )=

(6)

(MLE)Shumway[1]
(unbiased)(consistent)(static model)

3.2

ST

ST

8
1

WC TA
RE TA
EBIT TA
TM TL
S TA
NI TA
TL TA
CA CL
Ri Rm
Sigma
Rlsize
Mage

/
/
/
/
/
/
/
/
-

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A
t Sigma t -1 t -1 A
Sigma
RlsizeA
Shumway[1]
12

3.3

ROC
STST

(Youden index)1
ST
ST
IIII
STIIST

logisticST

ST

1998
(Special Treatment)STST
logistic
45 t -1 t
t -1 t
Ohlson[3]
t -2 t ST
1996 t -2
2010
STST
ST

WIND199820126420ST
8ST311ST1270
19982010ST1998ST
11356logistic1581

SAS6.0SPSS19.0Matlab7.0Logistic
-6http://www.ivypub.org/mc

5.1

5.2

WC TA

0.1559

0.1419

-0.5577

0.9717

RE_TA

0.1154

0.1075

-0.9979

0.7922

EBIT_TA

0.0593

0.0570

-0.7412

0.5012

S_TA

0.6481

0.5299

-0.1283

9.0726

NI_TA

0.0375

0.0358

-0.8173

0.3839

NI_S

0.0882

0.0610

-9.1585

92.5571

TL_TA

0.4540

0.4646

0.0081

1.2176

CA_CL

1.9330

1.3602

0.0605

88.7268

ROAEBIT

0.0665

0.0621

-0.5627

0.5863

TCM_TL

3.0448

1.4550

0.0308

320.3360

TM_TL

7.3170

3.5322

0.0565

515.0151

sigma

0.0847

0.0757

0.0116

0.8154

ri_rm

0.0520

-0.0248

-1.9285

10.0603

rlsize

-7.5853

-7.5374

-10.7648

-3.1400

mage_cox_

74.7468

66.0000

6.0000

240.0000

xln

4.0424

4.1897

1.7918

5.4806

Zmijewski[5]logitNI_TATL_TACA_CL

3
logit

-90.4353

-25.5993

(191.3829)***

(627.3368 )***

-0.5502

-0.0680

(5.0277) **

0.6378

-1.0577

2.2901

(0.8413 )

(19.4229) ***

-0.4959

-4.7042

(0.3091 )

(162.7097)

NI_TA

CA_CL

TL_TA
Constant

*** 1 %** 5 % * 10 %
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2TL_TA

(firm-year)NI_TA

Logit
ST

5.3

logit
Logit

Logit

NI_TA

TL_TA

TCM_TL

TM_TL

relativesize

mage

Constant

-96.2709

-4.4413

-0.6234

0.0760

1.1282

-0.0116

11.9641

(150.1036)***

(9.5833)***

(48.5933)***

(42.2500)***

(32.0129)***

(9.2318)***

(34.2180)***

-26.0224

2.5207

-0.0687

0.0145

0.0810

-0.0037

-3.9453

(1.4811)

(0.7200)

(1.0119)

(4.7468)**

(32.7456)

(616.0646) *** (21.9240)***

*** 1 %** 5 %* 10 %

Logit

LogitShumway[1]

(1)
(2) 1
(3) 2
(4) NI_TA3
(5) (3)NI_TA4
(6) 5
5

WC_TA
RE_TA
EBIT_TA
S_TA
NI_TA
NI_S

-2.9815
(108.5294)***
-10.7373
(502.4931)***
-24.8325
(682.7666)***
-1.8293
(69.6563)***
-26.3765
(704.0576)***
-1.4186
(67.7330)***

-9.3771
(4.1764)**
0.2300
(40.6480)***
-15.5294
(10.3996)***

-26.3765
(704.0576) ***

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-26.3125
(676.2636) ***

-10.0872
(4.6337)*
-1.4230
(38.2103) ***
-14.9497
(9.2831) ***

TL_TA
CA_CL
ROAEBIT
TCM_TL
TM_TL
sigma
ri_rm
rlsize
mage
xln

4.9770
(170.6147)***
-0.6900
(52.9441)***
-26.6780
(718.4832) ***
-0.1465
(21.8828) ***
-0.0590
(21.3367) ***
2.1566
(3.4328)*
-0.6406
(28.5490) ***
-0.1382
(5.7095)**
-0.0536
(2500.7551)***
-0.8912
(3661.6137) ***

3.1531
(49.2336)***

Constant

5
3.3529
(52.7433) ***

3.4974
(7.6610) ***
-0.6774
(34.8297) ***
-0.1044
(3.1717)*
0.0026
(5.6921)**

-4.3381
(275.1236)***
1731.740

-2 Log likelihood

-4.9018
(110.8460) ***
2779.915

-3.5769
(2298.3912) ***
1825.9818

2.3851
(2.3444)
-0.2708
(3.1348)*
0.1005
(1.6032)
-0.0017
(1.2128)

-0.0033
(3.9616)*

-2.8797
(21.4893) ***
1819.634

-4.1874
(236.9609) ***
1727.6763

*** 1 %** 5 %* 10 %

NI_TAST
TL_TAST
ST2mage
45

5.4

0.5

1
2

II

II

0.5000

0.0270

0.7846

0.0057

0.5000

0.5000

0.3951

0.0373

0.0787

0.0579

0.0793

0.5000

0.5000

0.0686

0.5000

0.0274

1.0000

0.0000

0.5000

0.5000

0.5000

0.0235

0.5333

0.1897

0.5430

0.5000

0.5000

0.3663

0.5000

0.0288

0.8135

0.0067

0.5000

0.5000

0.4101

0.0275

0.0419

0.0000

0.0431

0.5000

0.5000

0.0215

0.5000

0.0290

0.8135

0.0069

0.5000

0.5000

0.4102

0.0278

0.0516

0.0225

0.0524

0.5000

0.5000

0.0375

0.5000

0.0266

0.7749

0.0055

0.5000

0.5000

0.3902

0.0379

0.0752

0.0579

0.0757

0.5000

0.5000

0.0668

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STNI_TA
ST
15155
1-2Loglikelihood5
III
II10
15
7

0.9357

0.9389

0.0322

0.0289

0.0225

0.0161

0.0032

0.0096

0.0000

0.0000

6-10

0.0064

0.0064

ST193.57%593.89%
50%99%STI
51

5.5

STNI_TA
STST
5
(1) NI_TAST

(2) TL_TAST

ST

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(3) S_TAST

ST
(4) STST
EBITEBIT

ST
(5) Shumway[9]
ST

ST
ST
ST

5.6

ST

2011ST
ST
STST

60

0.05
0.045

50

0.04
0.035

40

0.03
30

20

0.025

0.02

0.015
0.01

10

0.005
0

0
2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

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1 ST

ST6
25
22

20
17
15
14

15

13

13

10
9

10

6
5
4

5
2

0
1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2 ST

1996-20011992
2000
19931995

19962000

5.7

199641ST8
5I87.5%
- 12 http://www.ivypub.org/mc


TL_TA20%~55%70%

1998Shumway[1]

Shumway[1]
Logit

ST
STNI_TANI_TA

S_TAEBIT_TA
TL/TA

TL_TA20%~55%70%

REFERENCES
[1]

Shumway, T. Forecasting bankruptcy more accurately: A simple hazard model. The Journal of Business, 2001, 74 (1): 101-124

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[3]

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[4]

Altman, E.I. Financial ratios, discriminant analysis, and the prediction of corporate bankruptcy. Journal of Finance, 1968, 23 (4):
589-609
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[5]

Zmijewski, M. E. Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting
Research, 1984, 22 (Supplement): 59-82

[6]

Altman, Haldeman, Narayanan. ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations[J]. Journal of
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[7]

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[8]

Madalla. Limited-Dependent and Qualitative Variables in Econometrics[M]. Cambridge: Cambridge University Press, 1983

[9]

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Credit-Score Model[J]. Management Review, 2012, 24(2): 111-120

[10] Feng Jian, Starzyk Janusz. A classification approach of neural networks based on entropy for financial data[J]. Control and
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1989-

1979-2010

2010

Email: daodaow@126.com

Email: ytg471987315@126.com

1983- 2010

Email: zizizhuzhu0320@163.com

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