Financial Early Warning Model Based Short Selling Product Design - Pharmaceutical Industry

Abstract

Due to the continued impact of the global new crown epidemic, the current investment in the pharmaceutical track is exceptionally hot, and the demand for high-yield fund products in the pharmaceutical industry has arisen, while its accompanying risks have further increased. In this paper, 18 financial indicators were initially selected from five dimensions, and the Mann-Whitney test was used to eliminate variables that were not significantly different between ST companies and financially normal companies. 7 variables were finally identified for inclusion in the model by combining the principles of indicator selection and stepwise regression method, and finally the financial warning model based on annual reports was obtained through logistic regression and its effect was back-tested. The P-values of all companies are calculated using the financial warning model, after which six companies in the top 10 and bottom 10 of the P-values that can finance and finance securities are selected and their returns during the investment period are t-tested, and it is found that significant positive returns can be obtained during the holding period by short selling stocks, and relevant financial products can be designed accordingly.