基于Cox比例风险模型的ST公司复发风险影响因素分析

Risk Factors of ST Recurrence Companies Based on Cox Proportional Risk Model

自证监会对财务状况异常的上市公司实施ST制度以来,一些公司屡次被实施ST,“戴帽-摘帽-又戴帽”现象频繁发生。上市公司的ST复发风险已成为我国资本市场上不可忽视的监管问题。为有效评估ST公司的复发风险,文章选取1999-2020年在沪深两市上市经历过“戴帽-摘帽”的A股公司为样本,运用生存分析方法构建Cox比例风险模型,提取影响上市公司ST复发风险的保护因素及危险因素,分别为现金比率、资本密集度、成本费用利润率、每股收益及成立年限;进一步,为验证模型的有效性,利用Harrell的C指数估算Cox比例模型预测能力,得出其预测精度达0.779,具有较高的预测能力。本研究结果可为证监会监管ST类公司提供精准监管指标,有利于防控系统风险,实施有效的监管措施并引导市场理性投资。

Since the CSRC implemented ST system for listed companies with abnormal financial conditions,some companies have been repeatedly implemented ST,and the phenomenon of“wearing hats-removing hats-rewearing hats”occurs frequently.ST recurrence risk of listed companies has become a regulatory issue that cannot be ignored in China’s capital market.In order to effectively evaluate the recurrence risk of ST companies,A-share companies listed in Shanghai and Shenzhen stock markets during 1999-2020 were selected as samples,and Cox proportional risk model was constructed by survival analysis method.Protective factors and risk factors affecting ST recurrence risk of listed companies were extracted as follows:cash ratio,capital intensity,cost-expense margin,earnings per share and establishment years.Furthermore,in order to verify the validity of the model,Harrell’s C-index is used to estimate the prediction ability of Cox proportional model,and the prediction accuracy is 0.779,which has high prediction ability.This study can provide precise regulatory indicators for the supervision of ST companies by the CSRC,which is conducive to the prevention and control of systemic risks,the implementation of effective regulatory measures and the guidance of rational market investment.