Stock Market Factors and Risk of Financial Distress: An Empirical Analysis Using Cox proportional Hazard Model

This paper applies Cox proportional hazard model to empirically explore market identification of financial distress risk for Chinese listed companies. The results show that relative size of market value, annual abnormal returns and turnover rate are significantly related to financial distress risk The hazard model including market indicators together with financial variables exhibits higher explanatory abilities than the one that contains the financial variables alone. The hazard function curve can help us to estimate "risky time of distress occurrence" of the sample.