会计模型与市场模型对企业财务困境预测能力的对比研究

发布时间：2018-07-04 22:40

本文选题：会计模型 + 市场模型　；参考：《广东外语外贸大学》2017年硕士论文

【摘要】：我国上市公司的数量正在逐年增多,市场竞争日益加剧,公司一旦不注重防范风险、加强经营管理,就容易出现财务方面的问题、陷入财务困境当中,市场参与者会因为公司陷入财务困境而遭受严重的损失。鉴于此,有必要通过一些财务困境预测模型提前预测企业的财务状况,给投资者、债权人提供一定的警示作用,避免他们遭受严重的损失。国外从20世纪30年代就开始了财务困境预测的研究,在借鉴国外研究的基础上,我国学者从1987年开始研究财务困境预测,关于财务困境预测已经形成了丰富的研究成果。国内外对财务困境预测的模型有会计模型和市场模型,会计模型应用的比较广泛的是Z-score模型和Logistic模型,市场模型主要有Merton模型、KMV公司提出的KMV模型和Bharath和Shumway(2008)提出的Na?ve DD模型。国内目前关于财务困境预测的两种模型的优劣还没有定论。本文以2011-2016年的86家财务困境和86家财务健康的上市公司为研究样本,系统比较了两类模型的预测能力。首先将偿债能力,营运能力,盈利能力、发展能力和现金流等方面的十二个指标作为Logistic财务困境预测模型的初选指标,经过正态分布检验,显著性差异检验、单变量Logit回归以及逐步回归的方法,筛选出构成Logistic财务困境预测模型的四个指标:现金流量比率、资产负债率、总资产利润率和总资产增长率,接着将该模型与Altman(1968)的Z-score模型一起作为会计模型与作为市场模型的Bharath和Shumway(2008)的Na?ve DD模型以及改进后Na?ve DD模型(1)的财务困境预测能力进行对比,ROC曲线比较分析显示:Logistic财务困境预测模型的ROC曲线下的面积最大,其次是Zscore模型,再其次是改进的Na?ve DD模型以及Na?ve DD模型,表明会计模型要优于市场模型,给投资者、债权人在作决策时更多地应该参考会计方面的信息提供了一定的借鉴作用;实证结果还表明了Na?ve DD模型在不同的违约点下预测能力并没有显著性差异,启示学者们在研究市场模型时,应该把关注的焦点放在资产价值和其波动性上,而不是把研究的焦点放在违约点的改进上。
[Abstract]:The number of listed companies in our country is increasing year by year, and the market competition is intensifying day by day. Once the companies do not pay attention to preventing risks and strengthening their management, they are prone to financial problems and fall into financial difficulties. Market participants will suffer severe losses because the company is in financial distress. In view of this, it is necessary to forecast the financial situation of an enterprise in advance through some financial distress forecasting models, so as to provide a certain warning to investors and creditors to avoid their serious losses. The study of financial distress prediction began in foreign countries in 1930s. On the basis of foreign research, Chinese scholars began to study financial distress prediction in 1987, and rich research results have been formed on financial distress prediction. There are accounting models and market models for financial distress prediction at home and abroad. Z-score model and Logistic model are widely used in accounting model. The market models mainly include Merton model KMV model and Nave DD model put forward by Bharath and Shumway (2008). At present, the advantages and disadvantages of the two models of financial distress prediction are still uncertain. In this paper, 86 financial distress and 86 financial health listed companies in 2011-2016 are taken as the research samples, and the predictive ability of the two models is compared systematically. First of all, twelve indexes of solvency, operating ability, profitability, development ability and cash flow are taken as primary indexes of Logistic financial distress prediction model, which are tested by normal distribution and significant difference test. The single variable logit regression and stepwise regression are used to screen out the four indexes that constitute the Logistic financial distress prediction model: cash flow ratio, asset-liability ratio, total asset profit margin and total asset growth rate. Then the model is compared with Altman (1968) Z-score model as accounting model, Bharath and Shumway (2008) as market model and Nave DD model as well as improved Nave DD model (1). The area under the ROC curve is the largest in the forecasting model. The second is Zscore model, then the improved Nave DD model and Nave DD model, which shows that the accounting model is better than the market model, which provides some reference for investors and creditors to refer to accounting information when making decisions. The empirical results also show that there is no significant difference in the predictive ability of Nave DD model under different default points. When researchers study market models, they should focus on the value of assets and their volatility. Instead of focusing on improving the point of default.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275

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