引入非财务指标的上市公司财务危机预警研究

【作者】 彭彤；

【导师】 丁绍芳；

【作者基本信息】 北方工业大学 ， 数量经济学， 2011， 硕士

【摘要】 随着市场竞争的日益激烈,企业随时都有可能面临着陷入财务危机的危险。因此,无论是对证券市场中的各种投资者,还是对公司管理层而言,构建一个完善而精确的财务危机预警指标体系以及一个预警能力比较强的财务危机预警模型,都具有非常重要的意义。在以往很多的研究中都更倾向于用单纯的财务指标建立模型,但是很多非财务的因素也对企业财务危机的发生有重大影响,在财务危机预警模型的构建中完全可以将非财务指标变量引入。因此,本文将在指标体系中引入股权结构、公司治理、重大事项以及其他一些非财务指标,与财务指标体系一起构建综合预警模型,使预警指标体系更加完整。本文首先介绍了财务危机的定义、国内外对财务危机预警的研究,以及国内外将非财务指标变量应用于财务危机预警中的一些相关研究。然后通过本文设定的预警指标、样本及配对样本的选取准则,选取了财务指标16个,非财务指标15个,并分别从财务层面定性的分析了各个财务和非财务指标对企业财务危机可能的影响,又选取88家ST公司作为样本,88家非ST公司作为配对样本。最后,先后使用Logistic回归和Fisher判别分析的方法,分别建立了基于纯财务指标的预警模型和引入非财务指标后的综合预警模型,并引入组合预警思想建立模型,进行比较分析,然后对所建模型进行检验。研究表明,引入非财务指标后,确实可以提高模型的预警能力。更多还原

【Abstract】 With the increasingly fierce market competition, the companies may face the risk of financial crisis at any time. Therefore, to build a complete and accurate early warning indicator system of financial crisis and a strong financial crisis prediction model has very important significance for whether the various investors in the stock market or the company’s management.In the past, many studies are more inclined to build a simple model of financial indicators, but many non-financial factors also have significant impacts to financial crises, it can completely introduce the variable of non-financial indicators to the construction of the financial crisis prediction model. Therefore, this indicator system will be introduced in the ownership structure, corporate governance, major issues, and other non-financial indicators, with the financial indicators to build the integrated early warning system model, so that the early warning indicator system will be more completely.This article firstly introduces the definition of financial crisis, domestic and international research on the financial crisis early warning, and the researches of non-financial indicators used in financial crisis at home and abroad. Then through the selection criteria of early warning indicators, sample and matched sample, we select 16 financial indicators and 15 non-financial indicators, and analysis the impossible influence of the various indicators from the financial aspects, and then we select 88 ST companies as samples and 88 non-ST companies as matching samples. Finally, we establish the early warning model of pure financial indicators and comprehensive early warning model of introducing the non-financial indicators based on Logistic regression method and Fisher discriminant analysis method respectively, then introduce the combination warning thought to build the model, compare and analysis the models of financial crisis and test the models at last. The results show that after introducing the non-financial indicators, the capability of the early warning model have indeed improved.更多还原