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Financial distress prediction based on SVM and MDA methods: the case of Chinese listed companies

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  • Chi Xie

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  • Changqing Luo
  • Xiang Yu
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    File URL: http://hdl.handle.net/10.1007/s11135-010-9376-y
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    Bibliographic Info

    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 45 (2011)
    Issue (Month): 3 (April)
    Pages: 671-686

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    Handle: RePEc:spr:qualqt:v:45:y:2011:i:3:p:671-686

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    Web page: http://www.springer.com/economics/journal/11135

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    Related research

    Keywords: Financial distress prediction; Support vector machine; Multivariate discriminant analysis; Financial variables; Non-financial variables;

    References

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    1. Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
    2. Sohnke M. Bartram, 2002. "Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations," Finance, EconWPA 0207001, EconWPA.
    3. Bartram, Söhnke M., 2008. "What lies beneath: Foreign exchange rate exposure, hedging and cash flows," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1508-1521, August.
    4. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
    5. Pompe, Paul P.M. & Bilderbeek, Jan, 2005. "The prediction of bankruptcy of small- and medium-sized industrial firms," Journal of Business Venturing, Elsevier, vol. 20(6), pages 847-868, November.
    6. Tay, Francis E. H. & Shen, Lixiang, 2002. "Economic and financial prediction using rough sets model," European Journal of Operational Research, Elsevier, Elsevier, vol. 141(3), pages 641-659, September.
    7. Cielen, Anja & Peeters, Ludo & Vanhoof, Koen, 2004. "Bankruptcy prediction using a data envelopment analysis," European Journal of Operational Research, Elsevier, Elsevier, vol. 154(2), pages 526-532, April.
    8. Vickery, James, 2008. "How and why do small firms manage interest rate risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 446-470, February.
    9. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-24, January.
    10. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
    11. Nguyen, Pascal, 2007. "Macroeconomic factors and Japan's industry risk," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(2), pages 173-185, April.
    12. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
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    Cited by:
    1. Ming-Fu Hsu & Ping-Feng Pai, 2013. "Incorporating support vector machines with multiple criteria decision making for financial crisis analysis," Quality & Quantity: International Journal of Methodology, Springer, Springer, vol. 47(6), pages 3481-3492, October.

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