To establish a financial early-warning model with high accuracy of discrimination and achieve the aim of long-term prediction, principal component analysis (PCA), Fisher discriminant, together with grey forecasting mo...To establish a financial early-warning model with high accuracy of discrimination and achieve the aim of long-term prediction, principal component analysis (PCA), Fisher discriminant, together with grey forecasting models are used at the same time. 110 A-share companies listed on the Shanghai and Shenzhen stock exchange are selected as research samples. And 10 extractive factors with 89.746% of all the original information are determined by applying PCA, which obtains the goal of dimension reduction without information loss. Based on the index system, the early-warning model is constructed according to the Fisher rules. And then the GM(1,1) is adopted to predict financial ratios in 2004, according to 40 testing samples from 2000 to 2003. Finally, two different methods, a self-validated and a forecasting-validated, are used to test the validity of the financial crisis warning model. The empirical results show that the model has better predictability and feasibility, and GM(1,1) contributes to the ability to make long-term predictions.展开更多
文摘To establish a financial early-warning model with high accuracy of discrimination and achieve the aim of long-term prediction, principal component analysis (PCA), Fisher discriminant, together with grey forecasting models are used at the same time. 110 A-share companies listed on the Shanghai and Shenzhen stock exchange are selected as research samples. And 10 extractive factors with 89.746% of all the original information are determined by applying PCA, which obtains the goal of dimension reduction without information loss. Based on the index system, the early-warning model is constructed according to the Fisher rules. And then the GM(1,1) is adopted to predict financial ratios in 2004, according to 40 testing samples from 2000 to 2003. Finally, two different methods, a self-validated and a forecasting-validated, are used to test the validity of the financial crisis warning model. The empirical results show that the model has better predictability and feasibility, and GM(1,1) contributes to the ability to make long-term predictions.
