李斌教授:Detecting Accounting Frauds in Publicly Traded U.S. Firms: New Perspective and New Method

发布时间:2019-10-28浏览次数:1216

  间:20191031(周四) 1400

  点:虹口校区1号楼102

主讲人: 武汉大学经济与管理学院教授

主持人:杨晓兰教授

  Detecting Accounting Frauds in Publicly Traded U.S. Firms: New Perspective and New Method

讲座摘要

We propose a new perspective and a new method to detect accounting frauds out of sample. We show that a logistic regression that directly uses raw accounting data items derived from expert-identified financial ratios as predictors outperforms the traditional logistic regression that uses the expert-identified financial ratios constructed from the same raw data items. Using the same raw data as inputs, ensemble learning, a state-of-the-art machine learning method, further outperforms the logistic regression model. The ensemble learning method also outperforms a support vector machine (SVM) with a financial kernel that maps the same raw accounting data into a broader set of ratios and changes in ratios. Using the performance evaluation metric commonly used for ranking problems, the performance of the ensemble learning model based on the raw data items and most conservative specification is at least seven times as large as the performance of the best ratios-based logistic regression model. Overall, our results suggest that the existing fraud prediction models haven’t fully utilized the information from publicly available financial statement data. In addition, we show that it is possible to extract such useful information by adopting better fraud prediction models that rely on raw accounting data rather than financial ratios as model inputs.

嘉宾简介:

李斌,武汉大学经济与管理学院教授,博士生导师。研究方向是金融科技、投资管理和机器学习等。他先后获得华中科技大学计算机学士和武汉大学经济学学士学位,南洋理工大学计算机博士学位,并在南洋商学院会计系从事博士后研究。2013年加入武汉大学金融系。他是湖北省楚天学子、武汉大学珞珈青年学者、武汉大学人文社科青年学术团队大数据驱动的投资管理研究团队负责人。他是特许金融分析师(CFA)持证人。主持国家自然科学基金、教育部人文社科基金等项目多项;曾在美国CRC Press出版英文学术专著一部;在Artificial IntelligenceJournal of Machine Learning ResearchICMLIJCAI 等计算机A类期刊和会议,及Journal of Futures MarketsQuantitative Finance、中国工业经济、管理科学学报、系统工程理论与实践等经管类期刊上发表论文多篇;担任Neurocomputing期刊副主编(Associate Editor),多个国内外期刊的评审人,多个国际会议的程序委员会委员。指导的学生获得武汉大学研究生学术创新奖一等奖等。

(承办:工商管理系、科研与师资发展办公室)


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