中国企业财务危机预警模型研究

Modeling of Corporate Financial Distress Alarm in China

摘要: 财务危机预警模型是诊断企业财务状况、发出财务风险信号的量化模型。及早发现财务风险，有利于调整企业的经营策略，防范企业发生债务违约、破产倒闭等财务危机。本研究选择2015年至2019年中国上市公司中258个ST企业，和另外258个对比企业(包括上市和部分非上市企业)为样本，分析两组企业的相关财务数据，采用Logistic逻辑回归模型，构建中国企业财务危机预警模型。模型对样本企业被特别处理(ST)前两年的预测(回测)准确率，以及扩大样本检验后的预测准确率，均达到80%以上，因此，模型可以用于对中国企业财务危机进行预警。进而，本文利用该模型，对新冠疫情下中国全部上市公司的财务风险做了预警分析。

Abstract: Financial distress alarm modeling is to diagnose the financial stress of enterprises and to release financial risk alarming signals. Early detection of corporate financial risk is conducive to the pre-vention of debt default or even enterprise fail. This paper takes 258 Special Treatment (ST) listed companies on China Stock Exchanges, for the period of 2015 to 2019, and another 258 non-ST Chi-nese enterprises in the same period as samples, analyzes the relevant financial data of the two company groups, and use Logistic regression model to build the financial distress alarm model for Chinese companies. The results showed that, the prediction accuracy of the model for the two years before the occurrence of ST in the sample, and the prediction accuracy of the expanded test sample are both above 80% level which indicates that the model is applicable for alarming the financial distress of Chinese companies. Furthermore, this paper used the model to analyze the financial risk status of Chinese listed companies under COVID-19.