使用数据分析识别表现不佳的上市公司

Derrick W. H. Fung
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摘要

本文通过一个教学案例,分析了Z-Score破产预测模型在香港上市制造业企业中的适用性。虽然对Z-Score模型进行了广泛的研究,但在香港股票市场背景下的研究却很少。鉴于香港股市的散户投资者参与度高、流动性低,Z-Score模型是否与香港投资者相关是一个重要但尚未回答的问题。Z-Score模型通过考虑涉及企业流动性、偿付能力、盈利能力、杠杆率和活动的财务比率来预测企业的破产。为了检验Z-Score模型在香港的适用性,我们从汤森路透数据流中收集了1981年至2020年在香港联交所上市的制造业企业的财务和股票收益数据。然后根据公司的z分数将其分为破产或非破产组。对两组分类后的次年年度股票收益进行分析。当Z-Score阈值设为0时,投资未破产组并做空破产组后一年的年回报率为11.99%。结果对Z-Score的替代周期和滞后值具有鲁棒性。这表明股票价格不能反映所有的会计数据,投资者可以使用Z-Score模型来增加他们的回报。由于散户投资者的资源有限,他们可能很难对由数千只股票组成的投资组合完全实施Z-Score模型。然而,他们仍然可以通过不投资低z分数的公司来避免重大损失。
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Identifying poorly performing listed firms using data analytics
This study presents a teaching case that analyzes the applicability of the Z-Score bankruptcy prediction model to manufacturing firms listed in Hong Kong. Although the Z-Score model has been studied extensively, there are very few studies in the context of the Hong Kong stock market. Given that the Hong Kong stock market has high retail investor participation and low liquidity, whether the Z-Score model is relevant to Hong Kong investors is an important but unanswered question. The Z-Score model predicts the bankruptcy of firms by considering financial ratios involving firm liquidity, solvency, profitability, leverage, and activity. Financial and stock return data on the manufacturing firms listed in the Hong Kong Stock Exchange from 1981 to 2020 are collected from Thomson Reuters Datastream to examine the applicability of the Z-Score model in Hong Kong. Firms are then classified into bankrupt or non-bankrupt groups based on their Z-Scores. The annual stock returns in the subsequent year are analyzed for the two groups after classification. When the Z-Score threshold is set at 0, investing in the non-bankrupt group and short-selling the bankrupt group earns an annual return of 11.99% in the subsequent year. The results are robust to alternative periods and lagged values of the Z-Score. This suggests that stock prices do not reflect all the accounting data and that investors can increase their returns using the Z-Score model. As retail investors have limited resources, it may be difficult for them to fully implement the Z-Score model for a portfolio that consists of thousands of stocks. However, they can still avoid substantial losses by not investing in firms with low Z-Scores.
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来源期刊
CiteScore
7.50
自引率
6.10%
发文量
17
审稿时长
15 weeks
期刊介绍: The International Journal of Engineering Business Management (IJEBM) is an international, peer-reviewed, open access scientific journal that aims to promote an integrated and multidisciplinary approach to engineering, business and management. The journal focuses on issues related to the design, development and implementation of new methodologies and technologies that contribute to strategic and operational improvements of organizations within the contemporary global business environment. IJEBM encourages a systematic and holistic view in order to ensure an integrated and economically, socially and environmentally friendly approach to management of new technologies in business. It aims to be a world-class research platform for academics, managers, and professionals to publish scholarly research in the global arena. All submitted articles considered suitable for the International Journal of Engineering Business Management are subjected to rigorous peer review to ensure the highest levels of quality. The review process is carried out as quickly as possible to minimize any delays in the online publication of articles. Topics of interest include, but are not limited to: -Competitive product design and innovation -Operations and manufacturing strategy -Knowledge management and knowledge innovation -Information and decision support systems -Radio Frequency Identification -Wireless Sensor Networks -Industrial engineering for business improvement -Logistics engineering and transportation -Modeling and simulation of industrial and business systems -Quality management and Six Sigma -Automation of industrial processes and systems -Manufacturing performance and productivity measurement -Supply Chain Management and the virtual enterprise network -Environmental, legal and social aspects -Technology Capital and Financial Modelling -Engineering Economics and Investment Theory -Behavioural, Social and Political factors in Engineering
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