Predicting financial distress using machine learning approaches: Evidence China

IF 2.9 3区 管理学 Q2 BUSINESS, FINANCE
Md Jahidur Rahman , Hongtao Zhu
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引用次数: 0

Abstract

This study uses machine learning techniques to construct financial distress prediction (FDP) models for Chinese A-listed construction companies and compares their classification performance with conventional Z-Score models. Three machine learning algorithms (Classification and Regression Tree, AdaBoost, and CUSBoost) are used to generate machine-learning-based classifiers, and four Z-Score models (Altman Z-Score, Sorins/Voronova Z-Score, Springate, and Z-Score of Ng et al.) are selected for comparison. The sample comprises 1782 firm-year observations from Chinese A-listed construction companies on the Shenzhen and Shanghai Stock Exchanges from 2012 to 2021. The out-of-sample predicting performance of the classifiers are measured using the areas under the receiver operating characteristic curve (AUC) and under the precision-recall curve (AUPR). In additional tests, Pearson's correlation coefficients and the variance inflation factor are utilized to identify correlations among the raw financial predictors, while principal component analysis is used to address high-correlation issues among the features. Results confirm that machine learning classifiers can effectively predict financial distress for Chinese A-listed construction companies and are more accurate than Z-Score models. Furthermore, the CUSBoost classifier is identified as the most precise model based on the AUC and AUPR metrics in both primary and additional tests. This study addresses the gap concerning the application of machine learning in FDP for Chinese-listed construction companies. Additionally, the CUSBoost Algorithm is introduced into the field of FDP research for the first time. Through the comparison of machine learning and Z-Score models, this study also contributes to the literature related to the contrast between machine learning and statistical modeling techniques.

利用机器学习方法预测金融困境:中国证据
本研究利用机器学习技术为中国 A 股上市建筑公司构建财务困境预测(FDP)模型,并比较其与传统 Z-Score 模型的分类性能。本研究使用三种机器学习算法(分类回归树、AdaBoost 和 CUSBoost)生成基于机器学习的分类器,并选择四种 Z-Score 模型(Altman Z-Score、Sorins/Voronova Z-Score、Springate 和 Ng 等人的 Z-Score)进行比较。样本包括 2012 年至 2021 年在深圳和上海证券交易所上市的中国 A 股建筑公司的 1782 个公司年度观测值。分类器的样本外预测性能使用接收者操作特征曲线下面积(AUC)和精度-召回曲线下面积(AUPR)进行测量。在其他测试中,利用皮尔逊相关系数和方差膨胀因子来确定原始金融预测因子之间的相关性,同时利用主成分分析来解决特征之间的高相关性问题。结果证实,机器学习分类器可以有效地预测中国 A 股上市建筑公司的财务困境,而且比 Z-Score 模型更准确。此外,根据初测和附加测试的 AUC 和 AUPR 指标,CUSBoost 分类器被认为是最精确的模型。这项研究填补了机器学习在中国上市建筑公司 FDP 中应用的空白。此外,还首次将 CUSBoost 算法引入 FDP 研究领域。通过对机器学习和 Z-Score 模型的比较,本研究也为机器学习和统计建模技术对比的相关文献做出了贡献。
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来源期刊
CiteScore
6.00
自引率
3.00%
发文量
24
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