| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 94 === Abstract
At first, this paper uses logit regression to construct a financial distress prediction model in the stock market of China. The research samples are the companies of the A-share in the stock market of Shanghai and Shenzhen at 2003. The empirical result finding that there are five explanatory variables significantly, and uses special treatment companies of 2004 and 2005 to test predictable ability of model. By the model, the correct classified rates of 2004 and 2005 are 84.38% and 96.29% respectively. The secondly, using the distress probability of logit regression model estimated to analyze expected stay time of ST companies that before to rescind special treatment or to drop out from the stock market. The thirdly, the research duration is from 1998 to 2004. The portfolios of using risk, market value, B/M of the companies rank and also discuss the relationship between the portfolios and return of the companies. The result finding that the portfolios of high risk and small market value have high returns in bull market and have low returns in bear market. By this research, let investors find out about the risk of the China stock market, and let investors to control risk even more.
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