企业财务困境混合模型预测基于上市公司财务数据的实证研究.doc

企业财务困境混合模型预测——基于上市公司财务数据的实证研究 摘要 I 摘要 公司陷入财务困境往往是一个逐步衰败的渐进过程如何在此过程中及时并 准确地对公司的财务状况进行预测是众多利益相关者所关注的问题近几年来 国内的财务困境预测领域虽然也涌现出了很多颇有价值的研究成果但这些文献 多以上市公司被ST为陷入困境标志并采用单一年份配对的方法进行样本选择 在预测的合理性和对干扰因素控制的有效性等问题上值得商榷 因而本文在回顾与评论国内外财务困境预测领域研究成果的基础上就如 何确认预测标志改进抽样技术和完善检验方法等方面提出了自己的见解本研 究根据上市公司连续两年的财务状况把首年发生亏损且于次年出现微利的情 况界定为陷入财务困境并以发生亏损的当年作为陷入财务困境的时点标志根 据制造业上市公司 2001-2003 年的年报数据抽取了 56 家困境公司样本并采 用逐年多次11配对的方法按照资产规模昀接近原则对每家困境公司在陷入 财务困境前的三个会计年度各抽取1家配对健康公司组成三组样本合共168 家次借助统计软件SPSS 110首先对财务困境出现前1-3年的32个传统财务 指标进行筛选构造出预测模型Z Z Z预测精度达到875807625 1 2 3 证明了修正后确定的预测标志的可行性然后在已有模型的基础上再增加5个现 金流量比率为备择变量构造出三个含现金流量变量的预测模型Z Z 和Z 1 2 3 发现其预测精度有了进一步的提高说明了现金流量变量有增量信息含量能够 完善财务困境预测的指标体系从模型的实际应用角度出发文章又分析了单个 模型预测和模型组混合模型预测各自的优劣得出混合预测优于单模型预测的结 论 关键词财务困境多期预测现金流量逐年多次配对混合模型预测 企业财务困境混合模型预测基于上市公司财务数据的实证研究 Abstract II Abstract A company usually experiences a gradual worsening process before running into financial distress FD Stakeholders paid much attention on how to detect the symptoms of distress dynamically and give a timely and accurate prediction about its financial prospects Although there were much new research findings about prediction of financial distress in the past few years in China its suspectable for the rationality in some aspects such as using special treatment ST as criterion event sampling with the approach of single-year paired and so onBased on the review of correlative researches home and broad this paper discussed several issues such as how to decide criterion event how to improve the technique of samples derivation and the approach of checking models Firstly we defined financial distress as a listed company loss in one year and earned small profits in the next year Further more we made the year when listed company earned small profits as the time point it ran into financial distress Based on the financial data of manufacturing industry companies between 2001-2003 56 ones were defined as FD companies And under the approach of year-to-year paired sam