A Five-State Financial Distress Prediction Model
该模型将企业财务健康状态从传统的二分法扩展为五种状态，并估计企业进入每种状态的概率，从而更细致地预测财务困境，对风险管理和投资决策有参考价值。
The model presented here extends previous corporate failure prediction models (e.g., Beaver [1966], Altman [1968], Altman, Haldeman, and Narayanan [1977], Ohlson [1980], Zavgren [1985], etc.) in two ways: (1) instead of the conventional failing/nonfailing dichotomy, five financial states are used to approximate the continuum of corporate financial health; and (2) instead of classifying a firm into a certain financial state, the new model will estimate the probabilities that a firm will enter each of the five financial states. The ranked probability scoring rule is then used to evaluate the quality of such probabilistic predictions. The first extension enables the prediction of prefailure distress in addition to ultimate failure. The second extension conforms with more recent advances in prediction methodologies (see, e.g., Epstein [1969] and Murphy and Winkler [1970]). Together, the two extensions provide a better approximation to the continuum of alternative financial judgment and actions in reality. Sections 2 and 3 explain the structure of the model and the data; section 4 explains the statistical methodology (multivariate logit analysis) and presents the constructed models. These models are evaluated in section 5.