【作者】 钱娜；

【导师】 褚保金；

【作者基本信息】 南京农业大学 ， 金融学， 2009， 硕士

【摘要】 这些年我国证券市场发展比较快速,对国民经济的增长起着重要的作用,但在资本市场规模不断扩大、上市公司数量不断增加的同时,我国上市公司中因发生财务危机而被特别处理的公司也在不断增加。因此,不管是企业自身还是债权人都渐渐意识到有必要建立一套财务危机预警系统来规避风险。上市公司财务危机的发生是有过程的,并不会一下子爆发,这就使得我们完全可以建立一套预警系统来预测上市公司是否在未来会发生财务危机。本文以上市公司是否因特别处理而戴上ST帽子作为其发生财务危机的标志,利用样本公司的指标数据建立逻辑回归模型来找出具有预警作用的指标变量。行业不同,预警模型所要求的指标变量也应该有所不同,因为不同的行业如果采用相同的模型来研究的话,模型的预测准确度会降低。理论上讲,每个行业应该都建立一个适合于自己的预警模型,但这样有的行业的样本量就会由于过少的原因使模型的预测准确度也降低。因此,本文在样本期2005-2007年间,选取了制造业小类别下因“财务状况异常”而首次被ST的45家上市公司及45家相应的非ST公司进行实证研究及检验。检验结果表明加入非财务指标的模型与只包含财务指标的模型相比,模型预测的正确率有较大的提高,如果仅仅使用财务指标,其准确率仅为73.35%,但是当引入非财务指标后,其准确率上升到83.3%。这两个模型的预测精确度还都比较高,说明两个模型在实际工作中能有效地来预测财务危机的发生。更多还原

【Abstract】 With the quick development of stock market in our country,the number of listed company has increased,market scale also has been found enlarged.This has become major force which promotes growth in national economy and has monumental contributions to national economy.In spite of this.it is obvious that there remains a trend in the polarization of listed company’s performance and it shows a trend of further expansion.More and more companies have got into financial trouble,as a result,more and more investors and managers are aware that it is emergent to build a quick financial trouble forecast system to avoid investment risk.Listed company’s financial trouble forecast is a key concern to the investors,managers and supervision institutions.The financial trouble of listed company doesn’t occur suddenly,but a gradual process.So it is possible for us to take effective measures to avoid that.This test is based on the overall study of present situation of domestic and foreign listed company’ finantional trouble and existing achievements in this field.It marked by the symbol "out going warning" which means whether it or not has got into financial trouble.It uses financial trouble company’s variables and non-financial one’s variables and sets logistic regression analysis.Through such way,we will seek for accurate variable which can predict listed company’s financial trouble and thus set financia trouble forecast model to adapt to the situation of our country.Due to the nature of different industries, financial models, including the financial ratios and its parameters will also be different, if the neglect of the financial characteristics of different industries differences, the accuracy of the model will be affected, that is, different models should be used to study the different industries. Therefore, this article tests 45 financial trouble company and 45 non-financial ones under the category of manufacturing (Succompanies has been dealt with specially first time from 2005 to 2007). Test results show that compared with the model which contains only financial indicators.the model which contains non-financial indicators can do better in demonstration.and can be practical in practical application. the model can forecast the possible financial trouble in following three years. the accuracy rate is only 73.35 percent with the use of financial indicators only, but when the introduction of non-financial indicators, their accuracy rate rose to 83.3%. The test accuracy rate is more higher and the use of financial indicators has some practical value the use of financial indicators.更多还原