非财务信息与财务危机预警——来自我国上市公司的证据

Non-Financial Information and Financial Distress Prediction——Evidence from Chinese Listed Companies

本文从我国上市公司中,选取30家财务危机公司,与30家财务健康公司作为样本。首先对两组公司的13个财务变量,进行均值的t检验和Wilcoxon秩检验。选择合适的财务变量集,再将此财务变量集分别与董事会高管人员持股比例、股权集中度、股票价格变动趋势,及是否更换会计师事务所等,四个非财务变量一起作为解释变量,建立Logistic回归模型。实证研究结果表明,股票价格变动趋势与财务危机风险显著相关,加入非财务变量的预测模型效果更优。

We choose 30 failed companies and 30 non-failed companies from listed companies as sample for research. By doing t test for mean difference and Wilcoxon Signed ranks test on 13 financial variables for the two groups of companies, we select the appropriate set of financial variables. Then in combination with this financial variables set, board holding ratio, ownership concentration, stock price trend and a dummy variable which measures if the company changes its external auditor are respectively introduced as explanatory variable to set up four Logistic regression models. Empirical results show that stock price trend is positively related with the risk of financial distress at the 10% level, and the prediction model with both financial variables and aon-financial information is better than the one only including financial information.