创业板财务危机预警模型的研究

发布时间：2018-05-24 18:26

本文选题：创业板 + 财务危机　；参考：《湘潭大学》2013年硕士论文

【摘要】：1999年1月我国首次提出建立创业板，2009年10月30日创业板历经十年在深圳问世，然而十年的漫长等待与准备并未给创业板带来长足的平稳发展，，围绕创业板出现了种种不合理现象，如创业板出现频繁套现现象，高管们出现频繁辞职现象，创业板公司市盈率过高等。这一系列的问题无疑给创业板上市公司本身以及各方投资者带来极大的隐患。为了使创业板上市公司能健康发展，使企业规避必要的风险，创业板上市公司有必要建立有效的财务预警机制，加强对企业的有效监控，防范企业财务危机的出现，及早诊断企业状况，发现问题及时采取措施，将财务危机消灭于萌芽阶段。首先本文利用2012年5月1日实施的创业板退市制度作为界定创业板财务危机公司与健康公司的标准，筛选出23家财务危机公司和23家财务健康公司，解决了创业板对两类公司无界定标准的问题。文中纳入了70个财务指标和16个公司治理指标，本文期望从这86个指标中选出真正适合创业板上市公司财务预警的财务指标和公司治理指标。但是大量指标的选入使得模型构建时存在严重的多重共线性问题，本文通过使用逐步回归模型解决了多重共线性问题并构建出两个logistic模型。随后第一个模型由财务指标逐步回归得出，模型中只包括流动资产净利润率这一盈利能力指标，模型自变量对财务危机的解释能力为19.5%，两类公司分类正确率为61.9%。第二个模型在第一个模型的基础上加入了公司治理变量，随着公司治理变量的加入，第二个模型变得更加合理与完善，它由盈利能力、现金流量、薪酬激励三方面的指标构成，模型自变量对公司财务危机的解释能力达到90.5%，两类公司的平均分类正确率也达到85.7%。最后对两个模型在指标构成、判断正确率、模型拟合度三个方面作了比较，发现第二个模型在这三个方面均比第一个模型更有优势。同时发现两个模型都有盈利能力指标，说明对于创业板上市公司而言，公司盈利能力非常重要。同时将4个未放入模型的样本公司代入第二个模型，以检测模型的实际应用能力，结果表示模型正确区分了4个样本公司的种类，模型的实用性较强，因此第二个模型为创业板公司提供了一个有效的财务危机预警模型，此模型能及时准确的预测本企业财务危机。
[Abstract]:In January 1999, China first proposed the establishment of the gem. On October 30, 2009, the gem came out in Shenzhen after 10 years. However, the long wait and preparation of the decade did not bring about a steady development of the gem. There are various unreasonable phenomena around the gem, such as frequent cash phenomenon in gem, frequent resignation of executives, high price-earnings ratio of gem companies and so on. This series of problems undoubtedly brings great hidden trouble to gem listed companies and investors. In order to make the gem listed companies develop healthily and avoid the necessary risks, it is necessary for the gem listed companies to establish an effective financial early-warning mechanism, strengthen the effective monitoring of the enterprises, and prevent the emergence of the financial crisis of the enterprises. Early diagnosis of the situation of enterprises, timely measures to identify problems, the financial crisis will be nipped in the bud stage. First of all, using the gem delisting system implemented on May 1, 2012 as the criterion to define the gem financial crisis companies and health companies, 23 financial crisis companies and 23 financial health companies are selected. It solves the problem that the gem has no defined standard for the two kinds of companies. This paper introduces 70 financial indicators and 16 corporate governance indicators. This paper expects to select financial indicators and corporate governance indicators that are suitable for financial early warning of listed companies in the gem from these 86 indicators. However, the selection of a large number of indicators makes the model have a serious problem of multiple collinearity. In this paper, we use stepwise regression model to solve the multiple collinearity problem and construct two logistic models. Then the first model is derived from the gradual regression of financial indicators. The model only includes the net profit margin of current assets, the explanatory ability of the independent variables to financial crisis is 19.5, and the correct classification rate of the two types of companies is 61.9%. The second model adds corporate governance variables on the basis of the first model. With the addition of corporate governance variables, the second model becomes more reasonable and perfect. It consists of three indicators: profitability, cash flow, and salary incentive. The independent variables of the model can explain the financial crisis of the company up to 90.5%, and the average classification accuracy of the two types of companies is 85.775%. Finally, the two models are compared in terms of index composition, judgment accuracy and model fit degree. It is found that the second model has more advantages than the first model in these three aspects. At the same time, we find that both models have profitability index, which shows that the profitability of listed companies is very important. At the same time, four sample companies that are not in the model are substituted into the second model to test the practical application ability of the model. The results show that the model correctly distinguishes the categories of the four sample companies, and the model is more practical. Therefore, the second model provides an effective financial crisis early warning model for gem, which can predict the financial crisis of the enterprise in time and accurately.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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