摘要
本文应用随机前沿生产函数和Merton期权模型对2001～2003年ST公司和相应配对公司危机发生之前的技术效率和违约距离进行了研究。技术效率和违约距离的logistic危机预警模型能更明显提高模型的危机判断正确率。危机发生前第3个年份,财务比率没有发生明显变化,而考虑技术效率和违约距离后,危机公司的区别正确率为76.8%,提高了37.8%。
Technical efficiency and distance to default are important factors in explaining financial distress except for financial ratios. The paper utilizes stochastic frontier functions and Merton model to calculate technical efficiency and distance to default of Chinese listed companies, both for special treatment companies and its match companies. It is found that technical efficiency and distance to default are good indicators to forecast financial distress than financial ratios.
出处
《经济管理》
CSSCI
北大核心
2007年第18期45-50,共6页
Business and Management Journal ( BMJ )
