企业资金链断裂风险度量方法研究

Study on Warning Firm's Capital Chain Rupture Risk

企业出现资金链断裂的根本原因是存在资金缺口。静态来看,资金缺口包括现金缺口、经营资金缺口和长期资金缺口;动态来看,资金缺口可以从经营活动受到影响、经营活动停止、长短期负债全部需要立即偿还三个层次来度量。基于这些理论分析结论,本文将这些静态指标和动态指标转化为可以进行实证检验的替代指标,从动态和静态相结合的角度构建了资金链断裂风险的识别和度量指标体系,并以2001—2007年间退市的38家我国A股上市公司及同一时期的38家配对公司数据作为分析样本,对这些度量指标的有效性和渐进性进行了检验,表明使用这些指标能够明显改善对资金链断裂风险的预警能力。

Abstract：Capital chain rupture driving to a firm into Bankruptcy is a big problem of which Chinese scholar pay more attention than foreigner scholar. The paper call back that the capital chain rupture can be detected by three capital gap indicators in three business circles such as cash gap in cash reception and payment circle, operat- ing gap in operating activities circle and long - term capital gap in financing and investment circle, （ Zhang and Fan,2012）. From a static point of view,these capital gap indicators can be calculated easily by the data of firm＇s financial statement. The difference of capital gap of two financial statements can demonstrate the risk trend of capital chain rupture. But in the case that the firm＇ s capital chain rupture had been realized and verified by the media, the firm＇ s capital gap will be enlarged rapidly as a result of financing difficulty from exterior,in plus the firm＇ s debts existed in long and short term will be asked to repay immediately. How to measure the risk of capital chain rupture in this difficult situation is a key topic of this literature. When the capital gap are enlarging in a process of capital chain break, we find that there are three financial in- dicators being used as risk measure tools： the capital gap in the case of business activities affected, the capital gap in the case of business stopped and the capital gap in the case of total debt repayable immediately, （ as firm liquidi- ty）. Used these three indicators as dynamical independent variables and used above three capital gap produced in activities circles as static independent variable, plus stock turnover ratio and accounts receivable turnover ratio, the paper had verified its validity of risk warning capacity by empirical test. The samples of capital chain ruptured com- panies selected are 38 delisted companies in Chinese stock market before 2008 and 38 paired companies in the same period and the same industries of delisted company. The financial data used as empirical test are five years of delisted companies and three years data are before ST, （ Special Treaded when a listed company had two years loss） and two years data are after ST. The empirical tests show that in three years ago , （ T - 3 ） of capital chain rupture exposure, the risk early warning ability of indicators is no significant differences between capital chain rupture firms and robust firms, only undistributed profits, （ retained earnings） ratio has accounted for a capacity of risk early warning. In two years ago , （T -2）, the risk warning ability of indicators are increased significantly, the monetary liabilities repayment rate of which represents cash gap indicator, accounts receivable turnover,income growth rate and total liability ratio have the ability of early warning risk of capital chain rupture ; one year ago of capital chain fracture risk exposure , （ T - 1 ）, long - term debts repayment guarantee ratio of which represents long - term capital gap, inventory turnover also has obvious warning ability. After capital chain rupture risk exposure when a company listed had been named Special Tread company, all ofeight indicators such as three staUc cap,tin gap l.u,~,~,,.o ; j ~ ment satisfaction rate and long- term investment guarantee rate; three dynamic capital gap indicators： income growth, undistributed profit ratio, total liability ratio and other two index ： accounts receivable turnover, and inventory turnover, have the ability of identification and early warning of capital chain rupture risk. The result shows that the firm capital chain fracture really is a dynamic strengthening process and also a continuous diffusion process. The theoretical value of this study is to construct the index system to identify firm capital chain rupture risk from two aspects of static state and dynamic state, to verify the effectiveness of these indicators by the empirical test and to find the effective indicators for easily detecting, measuring and controlling the risk size of capital chain rupture. Future research can complement the study by using all of company listed in Chinese stock market or using all ST listed company as capital chain rupture sample. Specifically research could further explore whether firm scale, firm life stage and firm sector should been considered as early warning index of capital chain rupture risk.