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False Financial Statements: Characteristics of China's listed companies and CART detecting approach
Bai, Belinna1; Yen, Jerome2; Yang, Xiaoguang3
2008-06-01
发表期刊INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN0219-6220
卷号7期号:2页码:339-359
摘要False Financial Statements (FFS) have long been a serious problem in China and other Asian countries, which significantly dampen the confidence of the investors. Regardless of listed companies or non-listed companies, the percentage of financial statements that contained false information is quite high, which is one of the major reasons why China stock markets moved in the opposite direction towards its wonderful economic growth over the past few years. The objective of this research is to introduce one statistical technique - Classification and Regression Tree (CART), to identify and predict the impacts of FFS. We survey financial statements manipulation tricks, FFS indicators and FFS detection techniques from both China and international perspective, and further look into ten listed companies with known FFS history in China; combining these findings, we propose key indicators to work with CART. Our analysis includes 24 false financial reports, and 124 non-false financial reports. We use CART to develop two FFS detecting models: CART without industry benchmark and CART with industry benchmark. For supporting comparison, we also build a Logit regression which is a commonly used technique in FFS detecting. We find that CART is effective in distinguishing FFS from non-FFS. Both CART models achieve better accuracy in identifying fraud cases and making predictions than Logit regression does, and CART with industry benchmark is slightly better than CART without benchmark, but it does not always have superior performance. Our CART model also tries to capture the indicators and their combinations that could reflect firms with high possibility of FFS in China.
关键词false financial statements China's listed companies classification and regression tree industry benchmark
语种英语
WOS研究方向Computer Science ; Operations Research & Management Science
WOS类目Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号WOS:000257387900009
出版者WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型期刊论文
条目标识符http://ir.amss.ac.cn/handle/2S8OKBNM/5689
专题系统科学研究所
通讯作者Bai, Belinna
作者单位1.Agr Bank China, Credit Dept, HK Branch, Admiralty Ctr, Hong Kong, Hong Kong, Peoples R China
2.Hong Kong Univ Sci & Technol, Dept Finance, Kowloon, Hong Kong, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714
Bai, Belinna,Yen, Jerome,Yang, Xiaoguang. False Financial Statements: Characteristics of China's listed companies and CART detecting approach[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2008,7(2):339-359.
APA Bai, Belinna,Yen, Jerome,&Yang, Xiaoguang.(2008).False Financial Statements: Characteristics of China's listed companies and CART detecting approach.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,7(2),339-359.
MLA Bai, Belinna,et al."False Financial Statements: Characteristics of China's listed companies and CART detecting approach".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 7.2(2008):339-359.
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