非财务视角下的财务困境预警——对中国上市公司的实证研究

Pre-warning of Financial Distress from the Non-financial Perspectives:An Empirical Study of Chinese Listed Companies

以2002年-2003年被认定为财务状况异常的98家ST公司为财务困境样本，另选取98家财务健康公司与其配对。对赢利性、财务杠杆、流动性和营运能力等方面的14个财务变量提取公因子．将所得因子作为控制变量，运用Logistic回归分别检验股权结构、公司治理、市场信息等方面的10个非财务变量对财务困境的解释力，并应用jackknife method检验模型的分类预测能力。结果显示，年度累积超额收益率与审计师意见的预警效果较好，其他非财务变量均不显著，纳入了非财务因素的模型预测力更强。最后对实证结果进行了讨论，并得出几点启示。

This paper collects a sample of 98 financial distressed companies which suffer financial situation abnormality in 2002 - 2003 and matches them with 98 healthy companies. Factor analysis is firstly used to extract common factors from 14 financial variables such as profitability, financial leverage, liquidity and operating activity. Then the logistic regressions, with the extracted common factors serving as the controllable variables, are employed to test respectively whether the 10 non-financial factors, such as ownership structure, corporate governance, market information and＂ audit opinions, affect the probability of financial distress. The jackknife method is used to test these model＇s prediction abilities. The results show that annual abnormal cumulative returns and audit opinions have good explanation and prediction abilities to the pre-warning financial distress and that the other non-financial variables turn out to be insignificant. Prediction model including non-financial factors perform better than the one that only includes financial factors. The paper discusses the results and accordingly educe some implications.