企业财务失败的预警分析及其实证研究
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摘要
在市场经济条件下，每个企业要绝对地防止财务失败是不现实的，在特定的条件下，总会有一些企业陷入财务失败的困境，然而人们面对这样的困境不是无能为力的，企业财务失败是可以提前预知的。本论文在总结国内外有关企业财务失败研究成果的基础上，阐述了企业财务失败与破产、企业财务失败与ST的关系。在对企业财务失败预警的含义、功能及特征等进行了必要的分析后，论文分析和评价了国外关于企业财务失败的预测模型，之后便进入实证研究部分。实证研究部分主要以我国深、沪两市124家上市公司为研究样本，采用上市公司1998年至2001年的实际财务数据，运用逐步判别分析方法对拟进入模型的13个变量（包括3个偿债能力指标、3个经营能力指标、4个获利能力指标及3个现金流量指标）进行筛选，并根据Fisher判别准则建立判别模型，在运用自身验证法与交互式验证法对模型的稳定性加以验证后，运用外部数据验证法对模型的预测能力进行了分析。结果表明：13个变量指标中，反映资产流动性的营运资金比率，反映资产经营能力的存货周转率、总资产周转率以及反映企业获利能力的资产报酬率、累计盈余对于企业的财务有着重要的影响，其预测的准确性在0年达到86.8％，－1年达到79.82％。论文的最后部分以1998年至1999年58家ST公司为原始研究样本（总样本116家），对模型的可行性和有效性进行了验证，结果表明：模型是可行的而且是有效的，其中运用模型对ST公司前一年数据的计算结果即正确的判别率达到了88.07%。
论文主要分为五个部分：第一部分介绍了论文的研究意义以及国内外关于企业财务失败研究的现状；第二部分首先介绍了国内外有关企业财务失败的含义及研究对象，分析了企业财务失败与破产、企业财务失败与ST的关系，并在此基础上提出了本论文关于企业财务失败的理解及特定的研究对象；第三部分在对财务失败预警的含义、功能及特征进行分析后，分析和评价了常见的财务预警模型；第四部分则运用实证的方法，分析了企业财务失败的可预测性以及最能表征企业财务失败的财务指标；第五部分则运用ST公司的数据对第四部分所建立的模型的可行性（实践性）和有效性进行了进一步的验证；第六部分为结论。
It is not reality for any enterprise to prevent financial failure completily in market economy. Under the special condition, some enterprises are always got into the mess of fianacial failure, which can be predicted in advance by people. Based on the summarization to the research fruits of financial failure abroad, this paper discusses the relationship between financial failure and bankrupt and discusses the relationship between financial failure and ST(special treasurement). This paper analyses and evaluates those familiar predition models about financial failure after introducing the definition, functions and characters about prior warning of financial failure. At the part of empirical study, this paper chooses 124 A-stock listed companies from Stock Exchange of Shanghai and Shenzhen as research samples, makes use of the Step Method to filter the 13 possible variables (including 3 debt-paying ability indexes, 3 operating ability indexes, 4 profitability indexes and 3 cash flow indexes) in analysis and finally sets up discrimimant models by Fisher discrimimant rules with the samples' financial data. Then this paper validates the stability of these models using the Self-validation and Cross-validation before analyzing the prediction ability of these models with Outside-validation. The results show: in 13 possible variables, operating fund ratio, stock turnover ratio, total assets turnover ratio, rate of return on total assets and rate of retained profit to total assets have an important influence on finance and the accurate rates of our models are 86.8% for -0-year data and 79.82% for -1-year data. Finally, this paper validates the feability and validity of these models with -1-year financial data of 58 ST listed companies and 58 non-ST listed companies between 1998 and 1999. The result proves these models are feasible and effective. The accurate rate calculated by these models is 88.07% for -1-year data from ST listed companies and non-ST listed companies.
This paper is divided into six parts. In the first part, it introduces the research purpose and the present situation abroad. In the second part, it firstly introduces the definitions and research subjects about financial failure. Based on the analysis of the relationship between financial failure and bankrupt and of the relationship between financial failure and ST, the understandability to financial failure and the special reseach subject in this paper are put forward. In the third part, it analyses and evaluates those familiar prediction models after introducing the definition, functions and characters
about precaution of financial failure. In the fourth part, it proves the predictability to enterprises' financial failure and screens out those financial ratios which reflect the situation that one enterprise' finance is defeated. In the fifth part, it ulteriorly tests the maneuverability and validity of those models with the data from ST listed companies and non-ST companies. The last part is conclusion.
论文主要分为五个部分：第一部分介绍了论文的研究意义以及国内外关于企业财务失败研究的现状；第二部分首先介绍了国内外有关企业财务失败的含义及研究对象，分析了企业财务失败与破产、企业财务失败与ST的关系，并在此基础上提出了本论文关于企业财务失败的理解及特定的研究对象；第三部分在对财务失败预警的含义、功能及特征进行分析后，分析和评价了常见的财务预警模型；第四部分则运用实证的方法，分析了企业财务失败的可预测性以及最能表征企业财务失败的财务指标；第五部分则运用ST公司的数据对第四部分所建立的模型的可行性（实践性）和有效性进行了进一步的验证；第六部分为结论。
It is not reality for any enterprise to prevent financial failure completily in market economy. Under the special condition, some enterprises are always got into the mess of fianacial failure, which can be predicted in advance by people. Based on the summarization to the research fruits of financial failure abroad, this paper discusses the relationship between financial failure and bankrupt and discusses the relationship between financial failure and ST(special treasurement). This paper analyses and evaluates those familiar predition models about financial failure after introducing the definition, functions and characters about prior warning of financial failure. At the part of empirical study, this paper chooses 124 A-stock listed companies from Stock Exchange of Shanghai and Shenzhen as research samples, makes use of the Step Method to filter the 13 possible variables (including 3 debt-paying ability indexes, 3 operating ability indexes, 4 profitability indexes and 3 cash flow indexes) in analysis and finally sets up discrimimant models by Fisher discrimimant rules with the samples' financial data. Then this paper validates the stability of these models using the Self-validation and Cross-validation before analyzing the prediction ability of these models with Outside-validation. The results show: in 13 possible variables, operating fund ratio, stock turnover ratio, total assets turnover ratio, rate of return on total assets and rate of retained profit to total assets have an important influence on finance and the accurate rates of our models are 86.8% for -0-year data and 79.82% for -1-year data. Finally, this paper validates the feability and validity of these models with -1-year financial data of 58 ST listed companies and 58 non-ST listed companies between 1998 and 1999. The result proves these models are feasible and effective. The accurate rate calculated by these models is 88.07% for -1-year data from ST listed companies and non-ST listed companies.
This paper is divided into six parts. In the first part, it introduces the research purpose and the present situation abroad. In the second part, it firstly introduces the definitions and research subjects about financial failure. Based on the analysis of the relationship between financial failure and bankrupt and of the relationship between financial failure and ST, the understandability to financial failure and the special reseach subject in this paper are put forward. In the third part, it analyses and evaluates those familiar prediction models after introducing the definition, functions and characters
about precaution of financial failure. In the fourth part, it proves the predictability to enterprises' financial failure and screens out those financial ratios which reflect the situation that one enterprise' finance is defeated. In the fifth part, it ulteriorly tests the maneuverability and validity of those models with the data from ST listed companies and non-ST companies. The last part is conclusion.
引文
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Supplement to Journal of Accounting Research．1966．4．PP71-111
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Prediction Models．Supplement to Journal of Accounting Research．1984．PP59-82
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[9] 张友棠、唐慧贤、黄辉．现代财务理论及其在财务预警中的应用研究．武汉理工大学学报．2001．2．PP78-80
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[15] 姜斌．谨防财务危机引发企业破产．财会研究．1999．4．PP19-20
[16] 聂亦慧．企业财务失败预警系统初探．西安石油学院学报．2002．2．PP50-52
[17] 阴留军．现代企业财务失败预警系统的建立．中国地质矿产经济．2001．2．PP42-43
[18] 戴新民、魏立江．关于企业财务失败预测模型的思考．华东冶金学院学报．2000．10．PP363-366
[19] 肖华、李建华．关于建立国有企业财务预警系统的探讨．厦门大学学报（哲学社会科学版）．1999．4．PP74-80
[20] 方光正、李竟成、刘惠琴．风险投资机构财务预警系统的构建．郑州纺织工学院学报．2000．2．PP21-24
[21] 王志坚、曹扬．非上市公司财务失败的预测模型．上海冶金高等专科学校学报．1998．1．PP58-61.64
[22] 谭虹．企业财务失败预测初探．财会月刊．1999．11．PP21-22
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[27] 赵爱玲．企业财务失败的识别与对策．财务理论与实践．2000．11．PP69-72
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