现金流量视角的集成财务预警研究

华侨大学硕士学位论文现金流量视角的集成财务预警研究姓名：夏能涛申请学位级别：硕士专业：管理科学与工程指导教师：吴新博200905012009-1-2009-1-AbstractEnterpriseisacomplexsystem,withmulti-stakeholders’participation.Oncetheenterprisesinvolvedinfinancialdistress,itwoulddamagetheinterestsofstakeholders,resultingintheimmeasurableloss.Howtotakepreventivemeasurestoidentifythebasiccausesoffinancialdistress,eliminatethedistressbeforethetimeoftheoutbreak,becometheprimaryproblemofthefinancialworkers.Thecausesoffinancialdistresscanbebroadlydividedintotwocategories:First,thevolatilityoftheexternaleconomicenvironment,andtheotherisoutofinternalcontrols.Throughanalysisofthemechanismoffinancialdistress,wefoundthattheoccurrenceanddevelopmentofanyfinancialdistress,willbearthebruntofthechangesofcashflow.Unusualfluctuationsincashflowistheprecursoroffinancialdistress.Soeffectivemonitoringonthecashflowbecomesaverygoodentrypointforearlywarning.Thisarticlesolvesthethreequestionsmainly:First,atpresent,theconceptoffinancialdistressisn’tdefinedclearly.Thisarticledefinesthefinancialdistress,fromtheenterprise’smanagementandtheideaofcashking.Andnowwecaneasilyidentifythefinancialdistressandeasilygraspthelevelofdistress.Second,theearlywarningofcashflowisdemonstratedfromthetheoryandempiric.ThestudyconfirmsthattheearlywarningofcashflowisAbstract-2-practicableandtheeffectisbetter.Third,thisarticleisdifferentfromthepreviousanalysisoffixed-style,andputsforwardthreekindsofearlywarningmethodsontheintegrationrespectively.Theanalysisofcashflowfromthreedifferentperspectivesandintegrationoftheresults,makethereliabilitygreatlyincrease.Keywords:cashflowfinancialearlywarningfinancialdistressintegrationoffinancialmodel2009111.174012.540-501993420007.0220027212002310706000100001999l112002198418.[M].,2008.121.21.2.111932FitzPatrick19//Winaker&Smith1935Merwin1942williambeaver1954-1964797930////87%79%77%76%78%21968Altman1946-196533Edward1.Altman.FinancialRatios,DiscriminantAnalysisandPredictionofCorporateBankruptcy[J].JournalofFinance,Vol,XX,September1968.200935/////ZZZ///94%1977AltmanHaldeman&Narayanan-ZETA////71969-19755358ZETA70%91%ZETA1968AltmanZ3Oh1Son198019701976105205896.12%TirapatNittayagasetwat199919974CharitouTrigeorgis20001983199439/5CoatsFant1993AltmanEHaldemanRHarayananPZETAAnalysis:ANewModeltoIdentifyBankruptcyRiskofCorporations[J]JournalofBankingandFinance1977.OhlsonJ.A.FinancialRatiosandtheProbabilisticPredictionofBankruptcy[J].JournalofAccountingReseareh.1980(4).Tirapat,S.andA.Nittayagasetwat.AnInvestigationofThaiListedFirmsFinancialDistressUsingMacroandMicroVariables,MultinationalFinanceJournal,1999,3(2).Charitou,A.andL.Trigeorgis.Option-BasedBankruptcyPrediction,Proc.ContemporaryIssuesinCapitalMarkets,Cyprus,2000.CoatsP,PantL.Recognizingfinancialdistresspatternsusinganeuralnetworktool[J].FinancialManagement,1993.144747100%91%9472%6Raman1982TakahashiKurokawa1984FerberHamilton19871.2.2209011999199837ST27ST1995-1997/ST2200170705211712Fisher16.47%32000FisherLogit.[J].,1999.,.[J].,20016:46-55.,.[J].,2000.20095ProbitFisherJacknifeLogit42001////1998237694519Fisherz-1.575z-1.57530.6534z0.653452002STLogLogTST86.8%62001BP15/1.2.31,.[J].,2001.,.[J].,2002..[J].,2001,5.16234011.2.41232009740-156STSTSTSTST1.2.5181AzizEmanuelLawson1989ZZETAAzizLawson1989lendercashflowWard1994MossmanBellSwartZTurtle199823200420042004234100%200991.31.3.1123a.b.TEI@[e-mail]41101.3.21-1:1.3.3123TEI@I1-120091122.1FinancialDistressDistress1acauseofgreatpainsorrowsufferingetcbsufferingcauseoflackofmoneyfoodetc2stateofbeingindangerordifficultyandrepairinghelp123.2.1.1130Beaver1966Altman1968Deakin1972Ross2000Edward1.Altman.FinancialRatios,DiscriminantAnalysisandPredictionofCorporateBankruptcy[J].JournalofFinance,Vol,XX,September1968.A..[M].:,2007.,,.[M].,2004.21221999200020002001ST2.1.22.1.3.[M].,2004.2009132-12-22.22-22-12142.32.3.12.3.22.3.3,,.[J].,2008.2009152.42.4.1122163452.4.280%20%12.[J].,2005,9.2009173420091833.13-1:,.[M].,2006.3-13193.23.2.1123,,.[J].,2003,12:34-36.,.[J].,2002,12:45-50.20092043.2.24/532112.[D].,2007.,.[M].,2006.20092234532363.3STSTST3.3.11332005ST33ST663.12009243.133600065S*ST000520000596STA000416600086600233000622S*ST600346600092S*ST600888000631S*ST600679600146600725000650S*ST000615600181S*ST600301000683000525600187S*ST600235000719SST000523600199ST600197000760600099600213S*ST600565000791ST000565A600286S*ST600783000813000045A600369ST600896000856S*ST600291600515S*ST000715000862ST600071600762S*ST600506000863S*ST600687600767SST600684000880S*ST600523600772S*ST600368000887S*ST000957000034S*ST600661000908S000595000035S*ST000938000993600310000156S*ST000407=0.3869PrChi-Square=0.5340/3.55401.3073Chi-Square=0.7056PrChi-Square=0.4009/0.36510.8224Chi-Square=7.3920PrChi-Square=0.0066/0.07860.0762Chi-Square=0.5629PrChi-Square=0.4531/0.08520.1276Chi-Square=4.3966PrChi-Square=0.0360/0.27640.2290Chi-Square=0.2699PrChi-Square=0.60343.22002//2002STST3.320032003STSTKruskal-WallisTest/-0.06700.0642C