07 我国上市公司财务困境预警研究

中国人民大学硕士学位论文我国上市公司财务困境预警研究——基于经营活动现金流量的分析姓名：刘洋申请学位级别：硕士专业：会计学指导教师：王平20070425ST279952001200356.7383.652003SPSSMDAAbstractEnterprise'sfinancialdistressisageneralexistingproblem,andthefinancialdistresspredictionisalsoaworldwidedifficultproblem.Thegeneralexistingoffinancialriskmakespeoplehopetocarryoneffectivepredictiontothefinancialsituationofenterprisescloselylinkedwiththembysometoolandmethod,inordertotakeactionaheadoftime,andevadetheriskandreducelosses.Inthepastdomesticandinternationalacademicresearch,enterprise'sfinancialdistressisdefinedasserioussituations:bankruptcy,hugeloss,insolvency,failuretopayexpireddebt,stock’sbeingspeciallytreated(ST)andetc.Thepaperthinksenterprise'sfinancialdistressisnotonlyakindofstate,butalsoaseriesofdevelopment.Thedeteriorationofthestateofcashflowfromenterprise'sbusinessactivitiesisanearlystageofenterprise'sfinancialdistress,anditisacommoncoursetobegonethroughthatanenterprisedevelopsintomoreseriousfinancialdistress,andfewenterprisessuddenlygobankruptinasituationthatthecashflowstateishealthy,especiallytheoperatingcashflowisrobust.So,thispaperdefinesthefinancialdistressintermsofcashflowfromenterprise’sbusinessactivities,andattemptstosetupapracticalmodelthroughcollectingthefinancialdatathatthelistedcompanyrevealspubliclyinordertopredictsuchfinancialdistressthatenterprisesmayface.Thispaperstudiesthealarmingoffinancialdistresspredicamentwiththreekindsofmethodsthroughthequalitativeandquantitativeanalysis:Firstofall,thepapermakesqualitativestudyonthe27financialindexesthatarechosen,andtheresultindicatesthereare9indexesthathavestrongerdifferentiationabilitybeforeenterprise'sfinancialdistresscomes.Among9financialindexes,5indexes’predictionabilityisthestrongest.Secondly,thepapermakesquantitativestudyonthe5indexes’predictionabilitythroughUnivariateDiscriminantAnalysis.Researchshowsthatthesefiveindexeshavedefiniteresultofpredictingduring2001-2003,andtherateofaccuracyofpredictionisbetween56.73%and83.65%.intermsofcorrectionrateofthejudgementofeachindexovertheyears,itrisesgraduallyastheyearcloses,andthecorrectionrateofpredictionin2003isthehighest.Finally,onthebasisoftwoabove-mentionedanalyticalmethods,thepaperadoptsMDAofSPSStomakevarioustestsandselectsthediscriminationfunctionwithsupremeabilitypredictsasthefinancialdistresspredicament.KeywordsFinancialdistress,Prediction,Operatingcashflow11.............................................................................512.............................................................................................731...........................................................................1632.......................................................................1941...................................................2442.......................................2543...............................................2544.........................................................2645%...........................................................2731.......................................................1432...................................................................................1833.......................................................................................204127Z.........................................2242.......................................................................28431-3.......................29441-3...............29451-3.......................30461-3...............................304726..................................................................3212003.....................4022002.....................4132001.....................421.160BeaverAltmanZ1998ST2006827200761200012602001-1-STAltman1968Beaver19662000ST1.21.2.1ST199820011H.A.SchaefferJr.EssentialsofCashFlow2004-2-1.2.2123-3-4561.3Altman1968Ohlson1971Zmijewski1984PlattandPlatt1990and1994Beaver1966Carmichael1972RossoperatingcashflowFoster1986ST2000200011StephenA.Ross,RandolphW.WesterfieldCorporatefinancethe6thedition2005854-4-23-11143211.4-5-1.5-6--7-1-22.1193270Beaver1966Altman1968FitzpatrickFitzpatrick193219//Fitzpatrick301966Beaver7963015//90%88%BeaverBeaverBeaverAltman1968TheJournalofFinanceFinanceRatiosAsPredictorsofFailure33332215533316.06%255625245652LogitProbitOhlson1980197019761052085-8-OhlsonScott1981REBIT+SREBITSAltman1997ZETATMModelScottZETATMModelZETATMModelZETATMModelLaitinenandLaitinen1998BaumolTobin1956Simpleinventorycashmanagementmodel1996FZZetaCompustatPCPlus1977-199062313151/2/3/4/5/1999199827ST27ST19951997/6ST3ST2000120606042000ST-9-1260//ROE5%73.68%ST78.24%20017070Profileanalysis5216FisherLogistic121162428%3Logistic16.47%2.2123Altman1968GilbertMenonandSchwartz1990Platt&PlattandPedersen1994Altman1968Seaman&YoungandBaldwin1990PlattandPlatt1990BaldwinandGlezen1992LaitinenandLaitinen1998Ohlson1980Altman1968-10-Zmijewski19842.3AltmannumerouscomputerrunsZscoremodel20001260Ohlson1980OENEGINTWO10010PlattandPlatt1990Industry-RelativeRatioScottBaummolTobin2.412-11-1212Fisher33-12-3.11Profileanalysis273273Z212UnivariateDiscriminantAnalysis13MulitivariateDi