考虑在险价值的中小企业成长性评价研究--基于沪深中小上市公司的实证

A Study of SMEs Growth Evaluation Considering Value at Risk:Empirical Research of Listed SMEs

评价分析中小企业的成长性有助于中小企业的发展,越来越多的研究从各个角度来评价其成长能力。本文以中小上市公司为样本,在已有的较为成熟的指标体系中加入市场风险的在险价值因素,并通过实证研究对考虑市场风险因素与未考虑市场风险因素两个排名作有效性检验及比较分析,得出考虑市场风险因素的排名结果更为有效。以不同公司作为样本对成长性排名与市场风险做回归分析,发现对总体样本而言,成长性排名与市场风险呈显著负相关关系。

SMEs are playing a more important role in the national economy in China. More and more researchers are interested in studying SMEs, especially pay more attention on the evaluation of SMEs growth. It helps SMEs develop to evaluate SMEs＇ growth. More and more studies evaluate the growth ability of SMEs from different points of view. This article evaluates the growth of the Listed SMEs by adding market risk of value at risk into relatively mature index system. We adopt the catastrophe progression method to rank the growth of the Listed SMEs based on the index system considering the market risk of value at risk. Firstly We adopt Weierkekesen symbols rank test and Spearman rank correlation multiplier method to Validity test and comparatively analyze the two ranks, one of which consider market risk factor, while the other one does not consider market risk factor, we can conclude that the rank that takes the market risk into consideration is more effective. Then we do the statistics of the returns for the two ranks, one of which consider market risk factor, the other one does not consider market risk factor. We find that the evaluation based on the index system considering the market risk factor is more conservative and the index system considering the market risk factor forecast low-growth enterprises more exactly. Finally, making regression analysis of growth rank and market risk, we find that growth rank and market risk are obviously negative correlativity for the entire sample. We can make conclusion that the index system considering the market risk of value at risk is more efficient than the index system without considering the market risk factor.