| 变量 | 将公因子和ESG指标聚类后的模型Ⅰ | ||||||||
| 系数 | Z值 | P值 |
| 预测值 | 准确率 | AUC | |||
| 常数 | −1.904 | −1.258 | 0.208 |
| 0 | 1 |
|
| |
| 因子1 | 0.662 | 0.594 | 0.552 | 真实值 | 0 | 99 | 8 | 92.52% | 0.837 |
| 因子3 | −0.576 | −0.563 | 0.574 | 1 | 20 | 20 | 50.00% | ||
| 因子5 | 0.859 | 3.427 | 0.001** | 合计 | 80.95% | ||||
| ESG | −0.69 | −3.137 | 0.002** | ||||||
| Fin1 | 2.968 | 1.572 | 0.116 | ||||||
| Fin2 | 0.953 | 1.357 | 0.175 | ||||||