應(yīng)用財(cái)務(wù)比率預(yù)警財(cái)務(wù)危機(jī)外文翻譯

1、中文 2192 字外文翻譯原文Title: Financial Ratios and the Probabilistic Prediction of BankruptcyMaterial Source: http://www.jstor.org/pss/2490395 Author:James Ohlson1 IntroductionThis paper presents some empirical results of a stud

2、y predicting corporate failure as evidenced by the event of bankruptcy. There have been a fair number of previous studies in this field of research; the more notable published contributions are Beaver (1966; 1968a; 1968b

3、), Altman (1968; 1973) and so on. Two unpublished papers by White and Turnbuli (1975a; 1975b) and a paper by Santomero and Vinso (1977) are of particular interest as they appear to be the first studies which logically an

4、d systematically develop probabilistic estimates of failure. The present study is similar to the latter studies, in that the methodology is one of maximum likelihood estimation of the so-called conditional logit model.Th

5、e data set used in this study is from the seventies (1970-76). I know of only three corporate failure research studies which have examined data from this period. One is a limited study by Altman and McGough (1974])in whi

6、ch only failed firms were drawn from the period 1970-73 and only one type of classification error (misclassification of failed firms) was analyzed. Moyer (1977) considered the period 1965-75, but the sample of bankrupt f

7、irms was unusually small (twenty-seven firms). The third study, by Altman, Haldeman, and Narayanan (1977), which “updates“ the original Altman (1968)study, basically considers data from the period 1969 to 1975. Their sam

8、ple was based on fifty-three failed firms and about the same number of nonfailed firms. In contrast, my study relies on observations from 105 bankrupt firms and 2,058 nonbankrupt firms. Although the other three studies d

9、iffer from the present one so far as methodology and objectives are concerned, it is, nevertheless, interesting and useful to compare their results with those presented in The final sample was made up of 105 bankrupt fir

10、ms. I noted that while eighteen of the 105 firms (17 percent) had accountants' reports which disclosed that the company had entered bankruptcy, the fiscal year-end was prior to the date of bankruptcy. These reports w

11、ere deleted and reports from the previous fiscal year were substituted.4 A Probabilistic Model of BankruptcyLet X, denote a vector of predictors for the i th observation; β be a vector of unknown parameters, and let P(X,

12、 p) denote the probability of bankruptcy for any given X, andβ. P is some probability function, 0≤P≤1. The logarithm of the likelihood of any specific outcomes, as reflected by the binary sample space of bankruptcy versu

13、s nonbankruptcy, L(β)=∑log(X,β)+∑log(1-P(X,β))is then given by: where S1, is the (index) set of bankrupt firms and S2 is the set of nonbankrupt firms. For any specified function P, the maximum likelihood estimates of β1，

14、β2…, are obtained by solving: max l(β)In the absence of a positive theory of bankruptcy, there is no easy solution to the problem of selecting an appropriate class of functions P.As a practical matter, all one can do is

15、to choose on the basis of computational and interpretative simplicity.5 Ratios and Basic ResultsFor purposes of the present report, no attempt was made to develop any new or exotic“ ratios. The criterion for choosing amo

16、ng different predictors was simplicity.(1).SIZE = log(total assets/GNP price-level index). The index assumes a base value of 100 for 1968. Total assets are as reported in dollars. The index year is as of the year prior t

17、o the year of thebalance sheet date. The procedure assures a real-time implementation of the model. The log transform has an important implication. Suppose two firms, A and B, have a balance sheet date inthe same year, t

18、hen the sign of PA — PB is independent of the price-level index. (This will not follow unless the log transform is applied.) The latter is, of course, a desirable property.(2).TLTA = Total liabilities divided by total as