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Prediction of Financial Fraud Based on Threshold Test—A Case Study of Listing Corporation in China(PDF)


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Prediction of Financial Fraud Based on Threshold Test—A Case Study of Listing Corporation in China
Zhao ZiyiZhao ZiqiangJi Xiaojing
Ginling College,Nanjing Normal University,Nanjing 210023,China
predictive modelthreshold testfinancial fraud
On the basis of referring to a large number of research about financial fraud prediction made by domestic and foreign scholars,this paper takes the listed and found to be fraudulent companies which are in Shanghai and Shenzhen Stock Exchange during 1993-2012 as a sample,selects 11 new indicators with Chinese listed companies development background according to the theory of GONE,and bases on M model by Benish as the base to construct the new model. We screen indexes by logistic regression and finally find that the four indexes had the higher significance. They are company size,Operating cash flow ratio,asset liability ratio and whether losses. With the help of threshold and ROC test tools,it can be known that the new model not only is stronger in the indexes,but also better to distinguish fake company than M and F model. The simulation test of many samples show that type I error rates are lower,that an overall accuracy has improved,and that it is more suitable for application in China’s capital market.


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Last Update: 2017-06-30