在不同股票市场形态及不同预警年限下的上市公司财务预警指标研究

发布时间：2018-06-14 05:59

本文选题：财务困境 + 财务预警　；参考：《西南财经大学》2012年硕士论文

【摘要】：早在上世纪30年代就有美国的学者对财务困境和财务预警进行了相关的研究,他们对财务困境的研究主要以破产公司来作为财务困境公司,再以一定数量的健康公司进行对比,从而找出对公司陷入财务困境具有很好评判和预测的指标。而由于我国的特殊性及我国的证券市场还未健全比较成熟的体制,上市公司的破产的案例在我国并不多见,因此,关于上市公司破产的数据的采集以及经验的获得方面都比较困难,国内主要以上市公司被ST作为上市公司财务困境的标志。本文经过对学者文献的研究,认为财务困境应该是一系列的特征组成的一个整体：也就是是企业的经营困难、现金流短缺、偿付债务受阻、无力支付股东股利等等一系列的状态构成的一个整体。在国内的研究中,对上市公司财务困境的标志划分主要有三种：一种是直接将公司被ST定为财务困境公司。第二种是认为上市公司因为财务状况异常而被ST就是财务困境公司。第三种是通过流动资产支付流动负债的能力来定义财务困境。本文认为笼统的将上市公司被ST作为财务危机公司不是很准确,其中的一个因为“其他状况异常”被特别处理很难从财务的角度加以概述；而基于流动资产和流动负债的关系来阐述财务危机并不是很全面,企业的财务危机不仅反映在流动资产能否偿还流动负债上,企业有时虽然能够用流动资产偿还流动债务,但企业用来经营和发展的流动性不足同样可能导致财务困难。因此本文将上市公司由于“财务状况异常”被特别处理作为上市公司财务危机的标志。纵观国内外学者的研究文献,绝大多数的学者对财务预警的研究主要集中在对模型的选择上,以期找出一个预警最准确的模型。而对财务预警指标的选择则是大同小异,甚至直接用大部分学者研究的指标来进行预警分析。因此造成了在对不同的情形下的股票市场、不同的预警年限采用的都是相同的指标。而笔者考虑到：在不同的股票形态下(牛市、熊市),不同的预警区间(比如二年、四年)财务预警的指标是否会有不同的表现形式(也就是说其他情况相同时,上市公司处于熊市和处于牛市公司财务指标是否就一直相同?在两年和四年中,某个或者某些指标是否具有相同的预警能力)。如果有不同的表现形式,那么基于同一个指标来对所有的情形下的财务预警进行分析是否具有合理性。因此基于这个问题,本文着重分析不同的情形下的预警指标是否会具有差异性。并尝试找出合适的预警指标来进行预警分析。基于以上的的疑惑本文提出了两个在财务预警中尚未解决的问题： 1、股票市场处于牛市或熊市时,财务预警指标是否存在差异性,以及与多数研究成果所采用的上市公司财务预警指标是否存在着差异及形成差异的原因是什么。股票市场分为不同的阶段,如牛市和熊市,以往的文献没有对牛市和熊市公司财务预警进行差异性研究,本文试着去寻找是否存在差异性,探究差异性的成因。 2、在不同预警期限(两年、三年、或四年等)条件下,上市公司财务预警指标是否存在差异性,以及与多数研究成果所采用的财务预警指标是否存在差异性及差异性的成因是什么。同时,在牛市或熊市不同的持续期间,不同预警年限的财务预警指标之间是否存在差异。为了研究不同情形下的上市公司的预警指标是否具有差异性,本文的基本思路是选择了两个不同的股票形态：牛市和熊市。两个不同的预警年限：两年和四年。因此预警的指标体系就有了四个组合,即：牛市两年预警、熊市两年预警、牛市四年预警、熊市四年预警这四种情形。同时为了突出对比性,笔者将在以往学者研究中出现次数较多的指标组成一个专家指标集。接下来,对每个组合分别得出预警指标体系,比较牛市和熊市之间的差异性,两年和四年之间的差异性以及各组与专家指标集之间的差异性。并对四个指标集分别在各自的情形下进行预警分析,专家组的指标对每个情形进行预警。然后在各自的情形下比较分类研究出的指标在各自情形下与专家组指标在改情形下预警的优劣。为了达到研究的目的,本文需要在每个情形下都要选取一个相对准确的预警指标体系,因此需要一个指标的筛选过程。在方法的选择上面,笔者注意到：分类问题中的随机森林方法能够做到筛选变量的目的。而我们在财务预警中的实质就是根据一系列的指标将ST公司和非ST公司区分开来,也就是说预警问题实质就是个分类预测问题,因此可以用随机森林来进行财务预警问题的分类和预测研究。随机森林在筛选变量的中的优越性是他能够估计出每个变量在分类中的重要性程度,并给出重要性估计值,能让我们直观的了解到每个变量的重要性程度。同时能够建立模型进行预测,随机森林在预警中的做法是：将原始集合分为训练集和测试集,训练集合用来建立预警模型,测试集合是用来测试模型的效果。因此在我们对非ST公司和ST公司之间的分类选择出重要性程度靠前的变量,在用随机森林通过训练集进行建模,形成预警模型,再用测试集对模型的准确性进行评价。而主要的实证过程如下：在指标集的选择中,笔者根据前面提到的四类不同的情形下的预警：牛市两年预警、牛市四年预警、熊市两年预警、熊市四年预警。在每个情形下分别得出每个预警指标集比较了各个指标集之间的差异性以及和专家指标集之间的差异性。然后对四个指标集的评价：在每个情形下,分别用得到的指标集与专家指标集在分类和预测的精准度进行分析,同时对结果进行评述。通过对本文提到问题的实证研究,得到了以下结论：股票市场处于牛市或熊市时,财务预警指标在两种不同的股票形态下表现出了不同的形式,同时与多数研究成果所采用的财务预警指标存在着差异。在不同预警期限(两年、三年、或四年等)条件下,财务预警指标也表现出了不同的形式,及与多数研究成果所采用的财务预警指标体系也存在着差异性。通过对实证对比分析得出,考虑到不同期限和牛市熊市差异时的预警指标集合具有一定的优越性。在本文研究中,主要的创新点有： 1、本文研究了处于不同股票形态下的上市公司财务预警模型。通过牛市组合和熊市组合的分类,本文研究比较了牛市组合和熊市组合下的财务预警指标体系,并比较了其中的差异性。 2、本文还实证研究了基于不同预警年限下的财务预警指标,并对结果进行对比。通过选取二年和四年不同的预警期限的财务预警指标,并对比了在不进行期限分类的时候的财务预警指标。
[Abstract]:In the early 1930s , American scholars have studied financial distress and financial early warning . Their research on financial distress mainly takes bankruptcy companies as financial distress companies , and then compares them with a certain number of health companies , so as to find out the indicators of good judgment and forecast for the company ' s financial distress .

This paper argues that financial distress should be an integral part of a series of characteristics , such as the difficulty of business , the shortage of cash flow , the difficulty of paying debts , the inability to pay shareholder dividends and so on . In the domestic research , the financial distress is defined by the ability of the company to pay the current liabilities directly . The third is that the listed company is regarded as the financial crisis company by the current assets .
On the basis of the relationship between current assets and current liabilities , it is not comprehensive that the financial crisis of the enterprise reflects not only the ability to repay the current liabilities in the current assets , but also the insufficient liquidity of the enterprise to operate and develop . Therefore , the listed company is specially treated as the sign of the financial crisis of the listed company because of the " abnormal financial situation " .

Based on the research literature of scholars at home and abroad , most scholars focus on the choice of the model , with a view to finding out the most accurate model of early warning . If there are different expressions , it is reasonable to analyze the financial early - warning in all cases based on the same index . Therefore , based on this problem , this paper focuses on analyzing whether the early - warning indexes in different situations can be different . And try to find suitable early - warning indexes for early - warning analysis .

Based on the above questions , this paper presents two outstanding issues in financial early warning :

1 . Whether the stock market is in the bull market or the bear market , there is a difference between the financial early warning index and the financial early warning index of the listed company adopted by most research results . The stock market is divided into different stages , such as bull market and bear market .

2 . Whether the financial warning indexes of listed companies are different under the conditions of different pre - warning periods ( two years , three years , or four years , etc . ) , and whether there is a difference in the financial warning indexes adopted by most research results and the causes of the difference . At the same time , there is a difference between the financial early warning indexes of different early warning years in different duration of the bull market or the bear market .

In order to study whether the early warning indexes of listed companies in different situations are different , the basic idea of this paper is to choose two different stock forms : bull market and bear market . Two different warning years are two years and four years .

In order to achieve the aim of research , this paper needs to select a relatively accurate early warning index system in each case , so it needs a screening process of index . In the financial early warning , we can estimate the importance degree of each variable .

The main empirical process is as follows :

In the selection of the index set , the author gives an early warning according to the four different situations mentioned earlier : the two - year early warning of the bull market , the four - year early warning in the bull market , the two - year early warning of the bear market and the four - year early warning of the bear market . In each case , it is concluded that each early warning index set compares the difference between each index set and the difference between the expert index sets .

In the case of bull market or bear market , the following conclusions are obtained : the stock market is in the bull market or the bear market , the financial early warning index shows different forms in two different stock forms , and the financial early warning index is different from the financial early warning index adopted by most research results .

In this paper , the main innovations are :

1 . The financial early warning model of listed company under different stock forms is studied in this paper . Through the classification of the combination of bull market and bear market , this paper compares the index system of financial early warning in combination of bull market and bear market , and compares the difference .

2 . The article also empirically studies the financial early warning index based on different early warning years and compares the results . By selecting the financial early warning index of two years and four years , the financial early warning index is compared .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【参考文献】