金融周期是否影响困境企业反转——基于中国上市公司数据的实证研究

Whether Financial Cycle Affect the Reversal of Distressed Companies——Empirical Study Based on the Data of Chinese Listed Companies

以沪深两市2006—2019年的A股上市公司为样本,采用CF带通滤波法提取金融周期的短、中期波动成分并构建金融周期综合指数,分析了中国金融周期的波动特征,同时利用JAVA软件以循环筛选的方式筛选出困境反转企业,实证检验了金融周期对困境企业反转的影响。研究发现,困境企业反转呈现逆周期变化,即在金融上行周期,困境企业更难实现反转,尤其是对于所处行业竞争程度高、管理者过度自信的企业来说,困境企业反转的逆周期变化更为显著。进一步的研究显示,金融上行周期主要是通过抑制困境企业的并购行为影响其反转。

Based on the samples of the A-share listed companies in Shanghai and Shenzhen from 2006 to 2019,this paper applied CF band pass filter method to extract the short-term and long-term fluctuation components of financial cycle,and then constructed the composite indexes of financila cycle to analyze the fluectuation characteristics of China’s financial cycle.Meanwhile,we applied JAVA to circularly select reversed distressed companies,and empirically tested the impact of financial cycle on the reversal of distressed companies.The study found that,there was a countercyclical change trend in the reversal of distressed companies.That is,distressed companies were too difficult to reverse in the period of financial upward cycle.Besides,the reversal of the companies with fiercer compitition and overconfident managers had more obvious countercyclical changes.Further research revealed that,financial up cycle mainly exerted the effect through the channel of mergers and acquisitions.