上市公司财务危机预警模型研究

:2001207227:(A70072018),ST,85171%19981999,,19977,,(,200083):13,Logistic4:;,84152%,2000ST95145%:;Logistic;:F832151:A:100325192(2002)0320056206AForecastingModelofFinancialDistressforListedCompaniesJIANGXiu2hua,RENQiang,SUNZheng(ShanghaiUniversityofFinanceandEconomic,Shanghai200083,China)Abstract:Onthebasisoffactor2analyzing,weprovideadiscriminatingmodeloffinancialdistressforthelistedcompa2nies.Ourmodelincludesfourfactors:marginalratioratioofotheraccountsreceivabletototalassetsratioofshort2termliabilitiestototalassetsandownershipconcentrationcoefficient.Ownershipconcentrationcoefficientisadirectexpressionofcorporategovernanceandisalsothedominantdifferencefromotherforecastingmodelsforfinancialdis2tress.Theaccurateratesofourmodelare84.52%for-12yeardataand95.45%forthenew2addedSTcompaniesof2000.Keywords:financialdistress;Logisticregression;discriminatingmodel1,,,,Altman[1],Beaver[2],Ohlson[3],,[4,5],1999(2000430),,ST;,ST,;,ST,,ST,,,221120001120,ST(49)1997ST(7),42;,(ST),,4265Vol.21,No.3FORECASTING20023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(H),,,,[6]1TOV/MR/CR/QR/LQR(-)/ALR/AR/TA/OAR/TA/STL/TA/AP/TA/OAP/TA/LTL/TA/H,-1-2-1ST,-2ST,,4,ST,,1999422ST,-11998,,ST1998;-21997,ST1997,212tWilcoxon(1)-12-1:tWilcoxont-WilcoxonSTNon2STt2P2Z2P2TOV4.4035.641.3650.265-0.9820.330MR20.6630.37-3.0650.0033334.8150.0001333CR1.3062.067-3.0230.050332.1000.03133QR1.0991.657-2.0520.0523-2.0610.0653LQR2.1483.183-2.710.0103332.6530.0863ALR53.4636.614.830.004333-4.5360.0001333AR/TA0.120.14-0.840.4100.6250.356OAR/TA0.1880.0833.9640.0003333-3.3320.0009333STL/TA0.2410.1075.7520.000333-4.6480.0001333AP/TA0.0710.0610.9420.350-1.0230.564OAP/TA0.0620.073-0.5920.5600.9560.523LTL/TA0.0630.0421.3120.203-1.5620.183Ha0.1720.294-3.8940.00023333.6100.0003333:33333310%5%1%()a2,ST-1,,tWilcoxon,1%(2)-23-2:tWilcoxont-WilcoxonSTNon2STt2P2Z2P2TOV3.2805.752-1.1420.2610.9920.313MR22.7529.30-1.6420.1081.6030.121CR1.8122.278-1.0400.3121.2340.131QR1.3121.701-1.0230.3111.0610.265LQR2.2453.129-0.9240.3201.0530.268ALR50.5540.012.7020.008333-3.0210.006333AR/TA0.1100.152-1.4120.162-0.9250.332OAR/TA0.1390.0822.7480.009333-3.3320.0009333STL/TAa01241011075175201000333-41648010001333AP/TA0106201071-01432016541110101558OAP/TA0106101072-01914013710196601521LTL/TA0.0740.0521.2240.231-1.8620.163Ha0.1730.299-3.8000.00033333.6100.0003333:3331%()a75,:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:0-1-2ALRSTL/TA018001680160,,,ALR,4:(MR)(OAR/TA)(STL/TA)(H)3[7]311LogisticALR,(2001),Logistic,,LogisticSTi=+1MRi+2OAR/TAi+3STL/TAi+4Hi+iST,MR,OAR/TA,STL/TA,H,j(j=1234),i4Logistic-1MROAR/TASTL/TAH11111-0.1661-0.07303310.14813310.1148333-4.56693330.96700.02903.99463.22892.4348Wald20.02956.34626.45409.81298.1461Pr20.86360.01180.01110.00170.0029()AIC=75.645SC=87.779-2LOGL=65.645Score=38.258R2=0.4538-2MROAR/TASTL/TAH11111-0.2236-0.02134.139210.7154333-5.99853330.86410.01563.03902.87401.9870Wald20.06701.86841.855113.90129.1136Pr20.79580.17170.17320.00020.0025()AIC=861456SC=98.610-2LOGL=76.456Score=33.595R2=0.3788:333335%1%4,:(1)MR-1(0105);-2,MRST(2)OAR/TA-1,-2,OAR/TAST(3)STL/TA2,STL/TAST(4)-2,H1%,85Vol.21,No.320023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(5),,-14,-242R2(-2013788-1014538)(6)2:OAR/TASTL/TA,ST();H,ST312()015-1-2,-1-2;,-1,,-1,-1ln(p1-p)=-0.1661-0.0730MR+10.1481OAR/TA+10.1148STL/TA-4.5669H,,:()(),,,[8],iSTp,p,iSTq,,q=qf1(p/i=st)qf1(p/i=st)+(1-q)f2(p/i=non-st)qiST,f1(p/i=st)piST,f2(p/i=non-st)piST[8],ST,ST,0,,STST,18,STSTf1(p)f2(p),55STSTSTSTf1(p)f2(p)0.000.050.02540.095238290.6904760.050.100.07510.0238150.1190480.100.150.12540.09523840.0952380.150.200.17540.09523820.0476190.200.250.22520.04761910.023810.250.300.27510.0238110.023810.300.350.32520.047619000.350.400.37520.047619000.400.450.42520.047619000.450.500.47500000.500.550.52500000.550.600.57510.02381000.600.650.62510.02381000.650.700.67510.02381000.700.750.72510.02381000.750.800.77530.071429000.800.850.82530.071429000.851.000.925100.23809500421.000421.00095,:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(p),f2(p)ST,STST,(0110),[9],313,,p0.10,ST,0.10,ST,-1,,2000ST6-1(%)STST-18811080195841527-12000STMARKMARK0007AY600109Y0033N600150Y0047AY600167Y0048Y60070328Y0416Y600734Y7MARKMARK0430Y600743Y0535AY600745Y0662Y600753Y0689STY600768Y0788Y600848Y0838Y600853Y:MARKY,N8-12000STST-121122()95145%4155%100%,,ST:(1),,ST2(2),ST3(3),,(freeriding),ST,ST(4)ST,ST,06Vol.21,No.320023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(,),,,,,,,,,,[6]:[1]AltmanEI.Financialratios,discriminantanalysisandpre2dictionofcorporatebankruptcy[J].JournalofFinance,1968,9:5892609.[2]BeaverWH.Financialratiosaspredictorsoffailure[J].JournalofAccountingResearch,1966,(Supplement):712111.[3]OhlsonJS.Financialratiosandtheprobabilisticpredictionofbankruptcy[J].