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华中科技大学硕士学位论文上市公司财务预警系统的研究和实证分析姓名：吴涛申请学位级别：硕士专业：企业管理指导教师：陈君宁20060429I:8643;;IIAbstractDuringthedevelopmentofmoderncompany,itisinevitabletofacefinancialrisk.Oncethesecompaniescannottakeeffectivemeasurestosolvetheseproblems,theycouldbedeeplystuckinfinancialcrisis,especiallyforpubliccompanies.Howtoforecastandcontrolfinancialriskisthekeyissueofthedevelopmentofthepubliccompany.Weshouldpaymoreattentiontosetupearlywarningsystemofthepubliccompany’sfinancialrisk.Thispapersummarizestherecentresearchresultsinthetopic,makesabriefdescriptionofthefinancialrisks,thenresearchesonthemechanismtocausethem,introduceswaystoassesstheleveloffinancialrisk.Basedonit,thispaperfindsoutthemainfinancialratiostoinfluenceriskthroughsurveying,andbuildthefinancial-risk-levelforecastingmodel.Intheresearch,86publiccompaniesareselectedasourstatisticalanalysissamplesandcatalogedintotwogroups,oneiscompanywhichisnotspeciallytreated(NonST),theotherisonthecontrary(ST).Toevaluatetheforecastingmodel,weselectother43companiesastestsamples.Weprovetheeffectivenessoftheearlywarningsystem.Keywords:financialrisk;earlywarningsystem;warningmodel_____111.1STPTSTWTO2001420PT1.21.2.12[1][2]Carmichael1972[3]Ross19992000Beaver19967959163Beaver[4]Altman1968[5]Deakin1972[6]1)Altman1968Altman,HaldemanNarayan1977Collins1980Platt1991Harmer1983[7]Z1968ZETA19772)3GentryNewboldWhitford1985a1985bAzizEmanuclLawson1988[8]5AzizEmanuelLawson1989ZZETA3Beaver(1968)AltmanBrenner198126%AharonyJonesSwary1980[9]4[10]Logistic1.2.2[11][12]19861999199827ST27ST1995-1997[13]4/6ST3ST200012060604[14]1.31.3.1:SPSS1.3.2522.12.1.1Risk(J.Haynes)WillettKnight[15]0-101R=fPCRPC62.1.2[16][17]1[18]722.22.2.1118:():;29:3104;;;21134;2.2.21:11223[19]:2()();131[20]232.2.3[21]114232.3:1()10%23:()152.4:1:EBITEPSEBITEPSEPS()EBIT()EBITEBITEBITEBITEPSEPSEPS()EPS();;;()()2:()()();16;3[22]:17()()1833.1[23]3.1.11;2191[24]2:;;20[25]::ERPERP;:::::;;213.1.2.:.:;;;:1.BSC(BalanceScorecard)[26]BSCBSCBSC2.EVA(EconomicValueAdd)EVASteward1990EVA::EVA=NOPATKw×CE(Kw)22Kw=×+××(1)(CAPM)EVAEVA3.1.3:;;231[27]:(1)(2)(3)(4):X1X2...XnX*X*X≥X*;≤X*Q+Q-an,a1:Q+-Q-(αan-a1)3-10α1()Delphi24Delphi2:;;U=u1u2…umRR=R1R2…RmTuii=12…mVA=a1a2…amUaiuiBB=AR3[28](Econometrics)2512[29]3426.3.1.4[30]::271:;();;;;;228()343.23.2.112[31]2933.2.21234[32]3.2.3:3019994[33]199927STST100%85%2000120606047070216FisherLogistic3.2.3.1STSTSTST1998316[1998]6(SpecialTreatment,ST)31;;:STSTT3T3TST3.2.3.2[34]123STTTSPSS1,ST0SPSSTTST323.2.3.31[35](1999)9827STST/6STST0ST2Z=V1X1+V2X2+….VNXNZV1V2X1X220001206030ST306021ST39STZ=0.517-0.45X1-0.388X2+9.32X3+1.158X4X1X2X3X4331Z0.52Z0.5-0.93Z0.930ST5100%87%70%60%22%ST423LOGITP[P/1-P[P/1-P=a+bx=Z,Z(2000)19997138STSTROE5%ST170ST38ST132[36]//STROE5%73.68%ST78.24%[37]:13423)()3544.19020012004430ST,20054.24.22005649575004.14.120000.04713.97050.2761-0.206420010.04681.72290.39740.22862002-0.06351.53160.4986-0.17762003-0.04761.36810.4819-0.010620002002200320022003364.2186ST26ST6011Zmijewski1984[37]114.24.286600869000063600691ST000065600892ST000153600735ST000155600077000158900941000401600876000406600776000413600681ST000420600240000425000816000429000587ST000498900951000504600852*ST000510600203000515200020*STB000519000950ST000520000931000523000020*STA000526600700*ST000530000769*ST000533000691*ST000541000832*ST00054837000799600055000552*ST600058900921*STB6000616008646000640000096000670000106000700000116000720000126000740000146000770000166000800000376000820000386000870000396000930000456000970000486001020000586001060000596001090000606001130000616001160000626001192)5[38]5T3)865SPSSDiscriminatW=0.013824X1+0.001645X2+0.003524X3-0.002536X4-0.011245X5?38[39]:39:4);[40]434.34.343%000719ST0.3040.750962.03840.28070.8359600816*ST-13.740.676776.41980.03130.8678000596*STA-32.70.508540.31850.41351.0211200596*STB-32.70.508540.31850.41351.0211000631*ST-456.260.382892.84860.28540.8480600181*ST-451.60.858787.37370.14790.9353600286*ST-7390.466995.28060.31940.6124600369*ST-27.9841.186461.76710.06140.6725600515ST-419.850.282890.26860.24061.2056600772ST-25.421.620847.16850.02910.7013000863ST-131.511.031887.7760.71310.7278600092*ST-266.090.963870.17720.01930.6712000791*ST-57.390.809856.41380.18380.9238000908*ST-20.031.013961.84050.27620.6905000880*ST-76.80.545371.43290.83630.947640000862*ST-277.10.574385.35680.35380.9132600213*ST-16.850.692565.83120.64520.9485600767ST-26.460.559771.45840.03873.067600001115.950.301275.37370.55961.26570000180.280.764635.27580.5751.144800002228.920.312740.03620.41562.86220000324.51.059649.53151.3021.06630000361.520.991428.2340.26140.82100000457.9960.85535.790.6511.16530000623.41170.861147.74760.96891.093200006621.151.22629.9270.87431.00920001515.920.980159.71710.40120.79820005760.310.692350.18830.35371.12190005892.410.596368.04720.77871.0537000732-25.931.032263.160.67210.80296001385.832.114624.32650.98461.03136001453.720.949143.57860.4121.034960016712.220.620546.78330.38592.57106001897.370.792527.79650.58641.12346002079.361.035839.53260.72541.10386002293.50.545453.87150.63861.1212600248-42.56380.490764.09610.43420.84096002634.