上市公司财务危机预警的实证研究

Empirical Research on Financial Distress Prediction of the Listed Companies

以是否被特别处理为财务危机标志,利用我国上市公司近几年的年报财务数据,选取了财务危机和健康企业各50家作为开发样本.首先研究了开发样本财务指标的数据特征和财务危机出现前3年内这两类企业的财务指标的显著性差异,其后利用因子分析法筛选了8个指标作为建立模型的自变量,运用Logistic模型构建了上市公司财务危机预测模型,并对估计样本的40家企业进行了检验.实证分析结果表明:其一,我国上市公司财务比率不服从正态分布;其二,尽管我国资本市场的会计数据质量不尽人意,但财务数据仍具有一定的信息含量;其三,利用开发样本构建的Logistic模型在财务危机发生前1年和前2年有比较高回判准确率,估计样本在财务危机发生前1年和前2年有比较高的预测准确率.

With the sign of whether the corporation is ＂special treated＂ or not, the thesis uses the financial data of China＇s listed companies in recent years and selects the initial samples which are composed of 100 enterprises with 50 firms in each of the two groups. This paper firstly discusses the data characteristics and the differences of predictor variables between the two groups for up to three years prior to the failure event. Then the study uses Factor Analysis to reduce data, and establishes Logistic Regression Model. Lastly, the research tests 40 firms of the holdout samples by Logistic Regression Model. The results are as the following： firstly, financial ratios aren＇t identical to the normal distribution. Secondly, the accounting data are not imprecise, but they show some information. Lastly, the model by Logistic Regression can yield an high overall correct classification accuracy for one and two years prior to failure to the initial samples. The model is validated by using the holdout samples, the overall correct classification of the model for the first year to two year prior to distress is also very high.