A Multidimensional Early-Warning Model for Corporate Bankruptcy
Description
To evaluate the proposed framework empirically, we calculate firm specific impact scores, namely F-values, and assess bankruptcy risk for all nonfinancial A share listed firms in Shanghai and Shenzhen from 2010 to 2024. The sample is constructed through the following procedures. First, financial and insurance firms are excluded because their balance sheet structures differ substantially from those of industrial firms. Second, observations with missing values for the variables required to compute the F-value are removed to reduce measurement error. Third, firm year observations with a nonpositive value for the estimated corporate analogue of the cushioning distance d are excluded, because such values have no meaningful mechanical interpretation in Equation (4). Finally, all continuous variables are winsorized at the first and ninety ninth percentiles to mitigate the influence of extreme observations, especially given the squared terms involved in the calculation of F. After these procedures, the final dataset contains 12,279 firm year observations drawn from the CSMAR database.
Files
Institutions
- Shanghai UniversityShanghai, Shanghai