基于Pulic智力资本模型的上市公司财务危机预警研究被引量：5

Empirical Study of Finance Distress Prediction Based on Pulic's Intellectual Capital Model

导出

摘要智力资本在知识经济时代对企业的发展至关重要.本文考察Pulic智力资本评测模型是否能够用于企业财务危机预警.首先基于2003年至2007年中国A股市场新增ST公司样本及配对样本的前三年数据对Pulic模型综合指标进行单变量分析证实了该模型的预警可行性,然后根据三项因素驱动指标分别运用多元判别、逻辑回归、神经网络和最小二乘支持向量机方法建立预警模型进行回判和外推.结果表明,Pulic模型在ST前两年具有较高的判断准确性,可以通过对智力资本的考察而预知企业未来的财务状况. Intellectual Capital is crucial for the development of enterprise in the knowledge economy era. This paper studies whether Pulic＇s intellectual capital model can be used for early warning of financial distress. After verifying the feasibility of the model based on univariate analysis, this paper uses four dominating methods of multivariate discrimination, logistic regression, neural network and least squares support vector machine to carry out empirical study according to three driving indexes deduced by Pulic＇s model. Result shows these four methods have good classification abilities before two years, and it is possible for Pulic＇s model to predict financial states of enterprise in the future.

作者王智宁吴应宇叶新凤

机构地区东南大学经济管理学院中国矿业大学管理学院

出处《数理统计与管理》 CSSCI 北大核心 2009年第2期309-317,共9页 Journal of Applied Statistics and Management

基金教育部博士学科点专项科研基金“动态竞争环境下基于核心能力战略的企业集团危机预警系统研究”资助(N0.20050286038)

关键词智力资本模型单变量分析多元判别分析逻辑回归神经网络最小二乘支持向量机 intellectual capital model, univariate analysis, multivariate discrimination, logistic regression, neural network, least squares support vector machine

分类号 O212 [理学—概率论与数理统计]

引文网络
相关文献

参考文献19

1Beaver W H. Financial ratios as predictors of failure [J]. Journal of Accounting Research, 1966, 4: 71-111.
2Edward I Altman. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy [J]. Journal of Finance, 1968, 23(4): 109-131.
3Ravi Kumar P, Ravi V. Bankruptcy prediction in banks and firms via statistical and intelligent techniques - A review [J]. European Journal of Operational Research, 2007, 180:1 28.
4Balcaen S, Ooghe H. 35 years of studies on business failure: an overview of the classic statistical methodologies and their related problems [J]. The British Accounting Review, 2006, 38(1): 63-93.
5Foster G. Financial Statement Analysis [M]. New York: Prentice-Hall, 1986.
6LeClere M J. Bankruptcy studies and ad hoc variable selection [J]. Review of Accounting and Finance, 2006, 5(4): 410-422.
7魏世振,薛跃,陈传明.财务困境预测模型变量选择方法的改进[J].统计与决策,2005,21(04X):17-19. 被引量：8
8Bontis N. Assessing knowledge assets: A review of the models used to measure intellectual capital [J]. International Journal of Management Reviews, 2001, 3: 41-60.
9Stewart T. Intellectual Capital: The Wealth of New Organizations [M]. London: Nicholas Brealey Publishing, 1997.
10Andriessen D. Valuation and Measurement: Classifying The State of The Art [J]. Journal of Intellectual Capital, 2004, 5(2): 230-242.