基于ST预测的财务困境测度与股票横截面收益

doi:10.16381/j.cnki.issn1003-207x.2020.1532

Abstract

Abstract: Financial distress may lead to company bankruptcy in severe conditions. In fact, financial distress is a gradual process and it is predictable. Predicting financial distress is of great significance. On one hand, effective prediction of financial distress is beneficial to the protection of investors’ rights and interests. On the other hand, financial distressed companies are facing greater business risks, and it’s important to study whether the financial distress risk is effectively priced by the stock market. In China’s stock market, to better remind investors of market risks and guide investors to invest rationally, the China Securities Regulatory Commission requires stock exchanges to implement special treatment (ST) for listed company stock transactions in abnormal conditions. This is a policy unique to China’s stock market.

Key words: special treatment; financial distress; machine learning; the cross-section of stock returns

CLC Number:

F830.91

LIANG Mo, LI Hong-xiang, ZHANG Shun-ming. A Measure for Financial Distress based on ST Predictive Model and the Cross-section of Stock Returns[J]. Chinese Journal of Management Science, 2023, 31(2): 138-149.

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A Measure for Financial Distress based on ST Predictive Model and the Cross-section of Stock Returns

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