上市企业财务风险预警模型研究

上市企业财务风险预警模

型研究

The final revision was on November 23, 2020

分类号密级

U D C 编号10486

武汉大学

硕士学位论文

中国上市企业财务风险

预警模型研究

研究生姓名:吴为

学号:

指导教师姓名、职称:叶永刚教授

学科、专业名称:金融工程

研究方向:金融工程

二〇一五年五月

A Study on China’s Listed Enterprises Financial

Risk Warning Model

By

Wu Wei

May, 2015

论文原创性声明

本人郑重声明：所呈交的学位论文，是本人在导师指导下，独立进行研究工作所取得的研究成果。除文中已经标明引用的内容外，本论文不包括任何其他个人或集体已经发表或撰写过的研究成果。对本文的研究做出贡献的个人和集体，均已在文中以明确方式标明。本声明的法律结果由本人承担。

学位论文作者（签名）：

年月日

摘要

企业是市场运行的主要载体，也是国民经济中的重要组成部分，企业生产经营过程中所面临的风险不仅对企业部门本身造成冲击，还会通过部门间的传导渠道，对一国的政府、家户造成巨大影响，因此针对企业风险的研究对于一个国家的经济发展和稳定都具有重要的意义。财务风险是企业生产经营所面临的风险中范围最大、影响最深的风险之一。国外学者自上世纪30年代便开始了对于企业财务风险的研究，通过不断筛选更能反映企业财务风险的各类指标，构建拟合程度更好、预测准确性更高的预警模型，不断加深对于企业财务风险的识别和预测能力。随着我国企业上市由核准制向注册制转变，企业生产经营环境趋于复杂，其财务风险更具多样性和危害性，对于我国企业财务风险预警研究也提出了更高的要求。

为研究企业财务风险相关理论，解决企业在实际中对于财务风险的防范和管理问题，本文首先对国内外企业财务风险的相关文献进行了研究，在企业财务风险预警理论及宏观金融工程理论的基础上，引入或有权益资产负债表指标构建了我国上市企业的财务风险预警模型，并利用上市企业数据进行了实证研究，通过对引入或有资产负债表指标前后模型预测准确性的比较，探究或有资产负债表指标对于传统企业财务风险预警指标体系是否具有完善作用，以期对我国企业财务风险预警研究起到积极的意义。

本文选取了在2015年4月仍在我国证券市场上进行股票交易的20家ST 企业，通过同行业、相近资产规模的原则，选取了与之配对的20家非ST企业，以ST企业被ST时间的前八个季度共两年的数据为研究样本，以资产负债表等13个传统指标，及加入资产市值波动率等4个或有资产负债表指标后的

17个指标，分别进行了Logistic回归模型的实证研究，并对模型的结果进行了回判检验比较。实证结果表明，引入或有权益资产负债表指标后的Logistic回

归模型不仅具有更好的模型拟合度，同时在回判检验的比较中，模型的错判率比传统指标体系下的模型要降低个百分点，具有更高的预测准确性，因此将或有权益资产负债表指标引入到企业财务风险预警模型中具有积极的作用。

关键词：企业财务风险；或有权益资产负债表；Logistic回归模型

Abstract

Enterprise is the main carrier of market economy operation, and also an important part of national economy, the risks in the process of enterprise production and operation not only affect the corporate sector itself, but also have impact on the government and household through the transmission channels between the departments, so the study of enterprise risks has great significance on the development and the stability of economy. Enterprise financial risk is one of the largest and greatest risks through the enterprise’s production and operation. Since the 1930s, the foreign scholars began the study of the enterprise financial risk, through continuous screening the indexes which can reflect enterprise financial risk more and building early warning model which has better fitting degree and higher prediction accuracy, they

improved the capacity for enterprise financial risk identification and prediction.With the transformation from the approval system to register system in China, the financial risk becomes more diversity and harmful as the environment of enterprises’production and operation become more complex, higher requirements are put forward for enterprise financial risk research in China.

To explore the enterprise financial risk theory, prevent and manage the financial risk of enterprise in practice, this thesis studies related literature about the enterprise financial risk including domestic and international. Based on the enterprise financial risk early warning theory and the macro financial engineering theory, this thesis builds the financial risk early warning model of listed companies in our country through including contingent claim balance sheet indicators, and has carried on the empirical study using the data from listed companies in China. Through comparing the prediction accuracy between the two models that one introduced contingent claim balance sheet indexes while the another not, this thesis tries to figure out whether the indicators in contingent claim balance sheet can promote the perfection of traditional enterprise financial risk early warning index system.

This thesis selects 20 ST companies which are listed on the stock market in April 2015 and 20 non ST companies as control group under the principle of same industry and similar asset, and chooses the first eight quarters before the time that the 20 selected ST companies were ST as research time. Using 13 traditional indicators such as the balance sheet and 17 indicators after including the contingent claim balance sheet, this thesis tests the empirical research of the Logistic regression model respectively and compares prediction accuracy of the two models. The empirical results show that the Logistic regression model introduced contingent claim balance sheet not only has better fitting degree, but also a % lower mis-discrimination rate than traditional model at the same time, which proves that the model introduced contingent claim balance has higher forecast accuracy. In general, the introduction of contingent claim balance sheet has a positive significance to enterprise financial risk early warning model.

Keywords: Enterprise financial risk; Contingent claim balance sheet; Logistic regression mode

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