Z-score模型对我国上市公司财务预警的适用性研究

毕业设计（论文）--I摘要企业破产是市场经济中的普遍现象。近年来，我国上市公司因财务危机导致经营陷入困境的例子屡见不鲜。事实上，上市公司的财务风险发生总是有一个过程的，由潜伏期到爆发期需要很长时间。及时准确地发现上市公司存在的财务风险,对其各利益相关者主体来说都具有极其重要的意义。建立预警系统对企业财务运营进行预测预报,是十分必要而重要的。本文回顾了有关财务风险预警的相关理论，在介绍Altman的Z计分模型的基础上，随机抽取了深市和沪市共60只A股股票对Z-score模型的适用性进行了实证研究：选取了30家ST公司和30家非ST公司2008年、2009年及2010年三年的相关财务数据，计算各个指标，最终得出Z值，根据Z值的大小确定Z-score模型并不能直接用于我国上市公司预警。但是，通过比较ST公司与非ST公司Z值，对Z值的波动性和各财务比率做分析，适当降低临界点的大小，可以有效的提高准确程度。关键词Z-score模型，财务预警，适用性，实证研究；毕业设计（论文）--IIAbstractTheenterprisebankruptcyisacommonphenomenoninthemarketeconomy.Inrecentyears,thelistedcompaniesinChinagotintotroublebecauseofthefinancialcrisiscommonoccurrence.Infact,thelistedcompany'sfinancialriskoccursalwayshavingaprocess,andtheincubationperiodoftheoutbreakwilltakealongtime.Timelyandaccuratelyfindingthelistedcompanies’financialriskhasveryimportantsignificanceforallthestakeholders’subjects.Itisverynecessaryandimportanttoestablishtheearlywarningsystemtopredictenterprisefinancialoperation.BasedontheintroductionofAltman’sZ-scoremodel,thispaperreviewsthefinancialriskpre-warningrelatedtheory,andrandomlyselects60onlyAsharesfromtheShanghaiandShenzhenstockmarketstodotheempiricalresearchabouttheapplicabilityofZ-scoremodel:weselecttherelevantfinancialdatesof30STcompaniesand30normalcompaniesin2008,2009and2010threeyears,thencalculateeachindex,eventuallygetZvalue,andgettheconclusionthatwecan’tdirectlyusedZ-scoremodelintheearlywarningofthelistedcompaniesinChinaaccordingtothevalueZ.However,bycomparingtheSTcompanies’valueZwiththenormal’,analyzingthevolatilityofthevalueZandthefinancialratios,reducingthesizeofthecriticalpointproperly,wecaneffectivelyimprovetheaccuracy.KeywordsZ-scoremodel,Financialwarning,applicability,empiricalresearch；毕业设计（论文）--I目录摘要.........................................................................................................................IAbstract................................................................................................................II第1章绪论...........................................................................................................11.1研究目的及意义..........................................................................................11.2国内外研究现状..........................................................................................21.2.1国外研究现状.......................................................................................21.2.2国内研究现状.......................................................................................5第2章财务风险预警理论...................................................................................92.1财务风险的相关概念..................................................................................92.1.1财务风险...............................................................................................92.1.2财务危机...............................................................................................92.1.3财务风险与财务危机的关系.............................................................102.2财务风险预警系统理论............................................................................102.2.1财务风险预警系统的涵义.................................................................102.2.2财务风险预警系统的功能.................................................................112.3阿特曼Z-score模型..................................................................................11第3章实证研究.................................................................................................133.1研究假设....................................................................................................133.2样本选取与研究设计................................................................................133.2.1样本的选择.........................................................................................133.2.2数据来源.............................................................................................133.2.3指标设定.............................................................................................133.3数据分析....................................................................................................153.3.1ST公司与非ST公司Z值比较.........................................................153.3.2Z值波动性比较分析...........................................................................163.3.3ST公司与非ST公司Z模型各财务比率的比较分析.....................173.3.4Z-score模型临界点调整.....................................................................183.4实证结果分析............................................................................................203.5建议............................................................................................................20目录--II结论.......................................................................................................................22参考文献...............................................................................................................23附录.......................................................................................................................25致谢............................................................................