中国A股上市公司财务困境分析和预警模型的实证研究

华中科技大学硕士学位论文中国A股上市公司财务困境分析和预警模型的实证研究姓名：李潜申请学位级别：硕士专业：金融学指导教师：张宗成20090518IA2007112009415A808050Cox7LogisticCoxLogisticIIAbstractWiththeefficientearlywarninganalysisoffinancialdistress,managersoflistedcompaniescantakeprecautionsintheembryostageoffinancialdistresstoavoidthebusinessfailure;Investorscandealwiththeexistingassetsintimetoavoidfurtherloss;Commercialbanksandotherlendinginstitutionscanmakeaneffectivedecision-makingandcontrolofloans.Forthisreason,thepapermakesthefollowingresearchonChina'sA-sharelistedcompanies:Inthispaper,80specialtreatmentlistedcompaniesand80financialnormallistedcompaniestopairinChineseA-sharemarketfrom1January,2007toApril15,2009areselectedasthestudysamplesandtwoyearsandthreeyearsbeforespecialtreatmentdateareselectedasthestudyrange.Meanwhile,thepaperpriorselects50analyticalindicatorsincludingfinancialindicators(reflectingthesolvency,operatingcapabilities,profitability,returnoninvestment,developmentcapacityofthelistedcompanies),macroeconomicindicatorsandcorporategovernanceindicatorsasexplanatoryvariables.Thencorrelationtest,significancetestandfactoranalysisaretakenturnstobeusedforscreeningtheseindicatorsinordertoobtaintheprincipalcomponentfactorswiththestrongestexplanatoryabilityastheexplanatoryvariablesforlatermodeling.Accordingtotheseexplanatoryvariables,thepaperestablishestwofinancialdistressanalyticalmodelsoflistedcompaniesintwostudyrangesbasedonCoxregressionmodeltoanalyzetheprimaryandsecondaryreasonsoflistedcompaniesgettingintofinancialdistress,aswellasthespecificimpactofthesereasons.Afterwards,alsointwostudyranges,sevenfinancialdistressearlywarningmodelsbasedonLogisticmodelareestablishedinturnthroughstepwiseregressiontocomparablyanalyzethepredictivevalidityamongsevenearlywarningmodelscontainingfinancialindicators,corporategovernanceindicatorsandmacroeconomicindicatorsinturnandrespectivelyexploretheoptimalearlywarningmodeloftwostudyranges.Finally,thepaperdrawstheconclusionsofthewholeanalysisandresearch,andpresentstheinadequaciesandprospectsofthefollow-upstudy.KeywordsFinancialDistress;FinancialIndicator;MacroeconomicIndicator;CorporateGovernanceIndicator;FactorAnalysis;CoxRegressionModel;LogisticModel________111.12007ABearstearnsLehmanBrothersHoldingsMerrillLynchFreddieMacFannieMaeNewCenturyFinancialCorporationAmericanInternationalGroupAIGGoldmanSachsMorganStanleytoobigtofailSTSpecialTradedST21.21ASTAABHBAHAA1200720072007..2007.A.2007..2007.31.3Beaver1966Altman1968Blum1974Ohlson1980Zmijewski1984Logit1.3.120072005126ST512DEALogistic2006A137920072003-2004ACoxLogistic20072007Cox2007-2009Logistic20082001—2004A65ST75EconomicsValueAddicatedEVAEVAEVA200842006ProfileAnalysis55ST52008CreditMonitorModelMatlabAVAσ5614Logistic2008CHAIDLogisticLogistic2008MannWhieney—42002—200516PanelData2008GeneticAlgorithm1995—2004A2007RBFBP20082007SVMLogistic52008GeneticNeuralNetworksLogistic200720072008200820082006BayesLogistic200620081.3.2JonesHensher200419962000MixedLogitModelLogisticWangLi2007RoughSetModelRSST6ChenMarshallZhangGanesh2006SmithGraves20053.800.41ln()0.262.72/3.41/ZSalesZchangePBTTAQACL=−++++UgurluAksoy2006ChenMarshallZhangGanesh2006EBIT1996—19992000—2002LeClere2005Time-InvariantCovariatesTime-DependentCovariatesProportionalHazardsModelDistinguinRousTarazi2006AccountingEarly-WarningIndicatorsRatingDowngradesSafetyNetRobustness{}11Prob1JLijjillijlYCMαβγ====Φ++∑∑7jiCliMjl()Φg(),,jlαβγLaitinen2005CoxLogisticCoxLogisticCoxGruszczynski2004DengWang2006ConvergenceEffectEntrenchmentEffectKaneVeluryRuf2005EmployeeRelationsGhoul2004TaxFunctionConvexityBrownCiochettiRiddiough2006—FranksSussman20058HuiJing-jing2008OwnershipBalancingLeeYeh2004Muranda20061.42007112009415STST200720082009YY-2200520062007Y-3200420052006430Y-1YST2007200720082Y-2Y-3Y80ST80110STST1-122007ST2007ST2008ST..2007..2007..200819-18.91-1STSTST0004982007-04-20*ST0006812007-05-08ST0007282007-03-28SS*ST0007832007-03-21SS*ST0009812007-04-30SSST6000942007-05-08*ST6004012008-04-29*ST6008542007-04-30*ST0020752008-09-02ST20056005912009-03-26*ST20081ST31AST1065544321STSTST1-250101-2501X/2X—/3X/4X/5X/6X/7X/8X/9X/10X/11X/12X/13X/14X/15X/16XQ/17X/18X/19X/20X/21X—/22X/23X/24X/25X/26X/111-227XCPI28XPPI29XGDP30X31XM132X33X34X35X36X37X/38X/339X/40X41X42X/43X44X45X443046X47X48XCR_101049XZ50XHerfindahl_1010342007.A.2007.12PearsontCoxY-2Y-3LogisticY-2Y-37LogisticLogistic1.515Q27LogisticLogisticLogistic32006200711200941580ST160520082005200720072007..2008.160-180..2005.38-64..2007.A.2007..2007.1322.1CCER50SPSS16.0160Pearson2-1X1X2X3X4Pearson1.946**-.641**-.310**X1p.000.000.000Pearson.946**1-.642**-.410**X2p.000.000.000Pearson-.641**-.642**1.460**X3p.000.000.000Pearson-.310**-.410**.460**1X4p.000.000.000**1%2-190%142-2X5X6X7X8Pearson1.037.488**-.150X5p.504.000.007Pearson.0371.043.019X6p.504.446.730Pearson.488**.0431-.299**X7p.000.446.000Pearson-.150.019-.299**1X8p.007.730.000**1%2-22-3X9X10X11X12Pearson1.008.675**.580**X9p.893.000.000Pearson.0081.009.005X10p.893.878.931Pearson.675**.0091.783**X11p.000.878.000Pearson.580**.005.783**1X12p.000.931.000**