硕士论文-新兴指标在财务预警中的应用研究

华中科技大学硕士学位论文新兴指标在财务预警中的应用研究姓名：刘露申请学位级别：硕士专业：企业管理指导教师：陈君宁20061001I:IIAbstractTheclueofFinancialEarly-warningresearchisusuallythedevelopmentofwarningmodel,sopeoplealwaysclassFinancialEarly-warningonthedifferencesofthewarningmodels.InthispaperweclassFinancialEarly-warningbytheresourcesofindexesinanewway.TheFEWCIFinancialEarly-warningCompositeIndexcouldbedividedtimelyintothreeparts:traditionalfinancialindexbaseduponAccrualBasis,indexofoperatingcashflowbaseduponCashBasisandthreekindsofindexes,suchasFCF,EVA,CVAwhichappearedjustrecently.MostoftheresearchpaperisusingthetraditionalfinancialindexbaseduponAccrualBasis.TherearemanydisadvantagesoftheAccrualBasisaccounting,sopeopleneedtofindnewindexesbywhichwecanimprovethefunctionofwarningmodelsintheoreticalandpracticalway.TheapplicabilityofoperatingcashflowindexeswhicharebaseduponCashBasishasbeenprovedtoeliminatethesedisadvantagesinaway.AfterthatsomeresearchsaidFCF,EVA,CVAcouldalsohavegoodperformanceinfinancialwarning,buttheydonotgivetheexactandfurtheranalysisandalsohavenotgiventhedemonstration.Inthispaper,wetrytodifferthesethreefinancialearly-warningindexesinbothprinciplesandfoundations.WeinvestigatetheiradvantagesanddisadvantagesandusethedataanalysistogivetheevidenceofusingtheFCFinthefinancialwarningmodel.Atlastwegiveoursuggestionsforthefutureresearchinfinancialearly-warningcompositeindexandhopethispapercouldgivesomehelptootherresearcher.Keywords:Financialearly-warningcompositeindexAccrualBasisCashBasisFCFEVACVA£R111.1,UnivariateMultipleDiscriminantAnalysisMDALogitProbitANN,2“”“”,.31.2EXCEL8030st30stt1.330ST30ST6020002005200220056STST6t41234522.1Fitzpatrick1932119Fitzpatrick//Altman19682,3333,,5/////5Z19993199827STST200041206030ST,30ST,6021ST39ST,//200051617982140746615/////62000619997138“”STSTROE5ST170ST38ST132Logit1260//200171998199942ST42STSTST5//4Logit//ST2001852116/FisherLogit2001927//200110ST7/2.2Beaver1966111954-1964797930////87%,79%,77%,76%78%Altman196812ZFF/////FZ//Gentry,NewboldWhitford198513AzizEmanuelLawson1988145Aziz,EmanuelLawson198915ZZETAAzizLawson198916lendercashflowChenLee199317survivalanalysis80819801988175Ward199418Ward19881989385MossmanBellSwartzTurtle19981919801991232000202001///2002219200222/Y=0.35X1+0.67X20.57X3+0.29X4+0.55X5///Y11.52004232003ST106200524ST“/”“/”ST15%“/”ST18.33%126///10/2.3200225“EVA”200326“”CEVCashEarningValueCAVCashAddedValue200527“”/200528“”8565%/////1133.13.1.1Jensen,198629HypothesisofFreeCashFlowFreeCashFlowFCF“”FCFFCF30“”123.1.2“‘’”31“”133.1.3TomCopeland199032“NetOperatingProfitLessAdjustedTaxNOPAT”33+=EBITDA14,,3.1.411215321162333.23.2.1“”1734EBIT×1353.2.2EVAeconomicvalueadded3619891×18EVA3.3CVA37+EBITDA×CVA3819CVA3.43.4.112EVAEVA3EVAEVA1ttBVBV--PtDt,()1ttttBVBVDP--+=()13-t()1ttttBVBVPD---=()23-20tt1tttkBVPRI--=()33-kk0E0()∑∞=+=1ttt0k1DE()43-3-23-3()t1tttBVBVk1RID-++=-()53-Dt3-4()()()()()()⋅⋅⋅⋅⋅⋅⋅++-++++-++++-++=3323221211010k1BVBVk1RIk1BVBVk1RIk1BVBVk1RIE()()()()()()()()⋅⋅⋅⋅⋅⋅+⎟⎟⎠⎞⎜⎜⎝⎛+++-++⎟⎟⎠⎞⎜⎜⎝⎛+++-++⎟⎟⎠⎞⎜⎜⎝⎛+-++=223333122211100k1BVk1BVk1RIk1BVk1BVk1RIk1BVk1RIBVE()()()()⋅⋅⋅⋅⋅⋅+⎟⎟⎠⎞⎜⎜⎝⎛+-++++++=3333221100k1BVk1RIk1RIk1RIBVE∞=t()0k1BV→+∞∞()∑∞=++=1ttt00k1RIBVE21=EVA3931“”EVAEVAEVAEVA2232EVA3.4.2123FCFFCFFCFFCF233.4.3FCFEVA×CVA×,312444.1FCF,EVA,CVA314.1.1404.1.2254.1.3CAPMß4.1.44.24.2.1264.2.2FCFEVACVA4127412005421///2//28/3/////11429530ST30STSTSTSTSTST30STSTSTSTSTSTSTSTEXCELspsst51t050403/2.423+++5.99+++4.72+++/1.553++-0.1++2.11++/2.908+++3.414+++4.121+++/1.7996++2.06+++1.937++/0.2011.69+0.7140.246-2.21+++-1.61+stst050403tT30+++0.01++0.05+0.1stst//0.005////t///0.05//t31STST20058565326433334[1]Fitzpatrick,P.J.,AComparisonofRatiosofSuccessfulIndustrialEnterpriseswithThoseofFailedFirms.CertifiedPublicAccountant,1932:589-605,656-662:727-731[2]EdwardI.Altman.,FinancialRatiosDiscriminatedAnalysisandThePredictionofCorporateBankruptcy.[J].JournalofFinance,1968.23:589-609[3]..,1999(4)[4]..,2000(3)[5],..,2000(10)[6],.,,2000.9,2(3):.55-72[7].:.,2001(5)[8],..,2001(6)[9]..,2001(10):58-64[10]..,2001[11]BeaverW.MarketRationsPredictorsofFailure:EmpiricalResearchinAccounting.SupplementtoJournalofAccountingResearch,1966.Apr.:81~98[12]EdwardI.Altman.,FinancialRatiosDiscriminatedAnalysisandThePredictionofCorporateBankruptcy.[J].JournalofFinance,1968.23:589-609[13]J.A.Gentry,P.NewboldandD.T.Whitford,ClassifyingBankruptFirmswithFundsFlowComponents.JournalofAccountingResearch,198523:146–160[14]Aziz,D.C.EmanuelandG.H.Lawson,BankruptcyPrediction-AnInvestigationofCashFlowBasedModels.JournalofManagementStudies,Septemer1988,Vol.25:419-437[15]AzizA.,D.EmanuelandG..Lawson,CashFlowReportingandFinancialdistress35Models:TestofHypotheses.FinancialManagementSpring,1989:55-63[16]AzizA.,G.Lawson,BankPrediction:AnInvestigationofCashFlowBasedModels.JournalofManagementStudies,1989:419-437[17]Chen,KevinC.W.Lee,Chi-WenJevons.FinancialRatiosandCorporateEndurance:ACaseoftheOilandGasIndustryAccountingResearch,Spring1993,9(2):667-694,28[18]Ward,TerryJ.CashFlowInformationAndThePredictionOfFinanciallyDistressedMining,OilAndGasFirms:AComparativeStudy.JournalofApplied