非财务信息与上市公司财务预警的实证研究
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摘要
随着世界经济联系的日益紧密,我国企业面临的竞争态势日益严峻,而我国经济体制改革深入和资本市场迅猛发展的现状也带来了更多的不确定因素,在这样的背景下,企业经营过程中稍有不慎就可能陷入财务危机的困境,因此,建立财务危机预警模型,预测企业财务状况,防范财务危机成为了一项迫在眉睫的任务。
传统的财务分析方法与财务预警模型通常以财务指标为基础预测企业财务状况。然而安然事件的发生对传统财务危机预警方法提出了挑战,人们发现仅仅基于财务数据的危机预警分析已很难应对复杂多变的经济环境。鉴于此,本文试图将部分非财务信息引入到财务危机预测体系中。在前人研究成果的基础上,本文采用实证分析的方法对我国上市公司财务危机进行预警研究,希望能为后续研究提供一定的参考价值。
本文选取了2007至2009年的80家ST公司为财务危机公司的样本,另根据行业相同、规模相近的原则选取了160家正常公司作为配对样本,进而选取了17个财务指标、7个非财务指标分别对财务信息与非财务信息进行量化,运用T检验、相关性分析等对初选指标进行处理,剔除部分指标,最终确定危机发生前预警模型的自变量指标。随后文章分别应用Fisher判别分析模型与Logistic回归模型,比较分析两种模型在引入非财务信息前后的判别准确度,检验了非财务信息对于财务危机预警的贡献。
研究结果表明,财务信息在财务危机预警中有着不可忽视的贡献,然而非财务信息的引入也可以大大提高模型的预警能力,可见非财务信息对于企业财务危机预警同样有着积极的意义。这说明,引入非财务信息是提高一种模型财务危机预警能力的有效方法。
As the economic relation of the world becomes closer, China’s enterprises are facing increasingly tough competitive situation, the deep reform of the market economy system and the rapid development of the capital market in China has also brought more uncertainty, in such a context, the least bit of carelessness could leads to the financial distress. So it is so necessary that to set up a prediction model to forecast the future financial condition of corporations and prevent the financial crisis.
The traditional financial analysis and financial prediction model is usually based on financial indicators. However the occurrence of Enron financial crisis demonstrates the traditional prediction model basing solely on the financial indicators has been difficult to deal with the complex and volatile economic environment. In view of this, this article attempts to introduce some non-financial information to the financial crisis forecast system. Drawing on the results of previous studies, this paper adopts the method of empirical to predict the financial condition of listed companies in China, hoping that it will provide some reference value for the follow-up study.
This article selected 80 ST companies as a sample of financially distressed firms from 2007 to 2009, in accordance with the principle of same industry and similar size, this article selected 160 normal companies as paired samples. Then it selected 17 financial determinants,7 non-financial determinants to quantify the financial information and non-financial informantion. Then it used T-test and the correlation analysis to eliminate some variables and confirm the model variables. At last the paper adopted Fisher’s and logistic regression analysis models, compare the accuracy of models before and after the introduction of non-financial information. Then the article inspect the contribution of the non-financial information for the financial crisis early warning
The results show that the contribution of financial information can not be ignored, however, the introduction of non-financial information can greatly improve the model's early warning capability, so the non-financial information also has a positive meaning to prevent financial crisis. It means that the introduction of non-financial information will improve the ability and efficiency of financial distress prediction.
传统的财务分析方法与财务预警模型通常以财务指标为基础预测企业财务状况。然而安然事件的发生对传统财务危机预警方法提出了挑战,人们发现仅仅基于财务数据的危机预警分析已很难应对复杂多变的经济环境。鉴于此,本文试图将部分非财务信息引入到财务危机预测体系中。在前人研究成果的基础上,本文采用实证分析的方法对我国上市公司财务危机进行预警研究,希望能为后续研究提供一定的参考价值。
本文选取了2007至2009年的80家ST公司为财务危机公司的样本,另根据行业相同、规模相近的原则选取了160家正常公司作为配对样本,进而选取了17个财务指标、7个非财务指标分别对财务信息与非财务信息进行量化,运用T检验、相关性分析等对初选指标进行处理,剔除部分指标,最终确定危机发生前预警模型的自变量指标。随后文章分别应用Fisher判别分析模型与Logistic回归模型,比较分析两种模型在引入非财务信息前后的判别准确度,检验了非财务信息对于财务危机预警的贡献。
研究结果表明,财务信息在财务危机预警中有着不可忽视的贡献,然而非财务信息的引入也可以大大提高模型的预警能力,可见非财务信息对于企业财务危机预警同样有着积极的意义。这说明,引入非财务信息是提高一种模型财务危机预警能力的有效方法。
As the economic relation of the world becomes closer, China’s enterprises are facing increasingly tough competitive situation, the deep reform of the market economy system and the rapid development of the capital market in China has also brought more uncertainty, in such a context, the least bit of carelessness could leads to the financial distress. So it is so necessary that to set up a prediction model to forecast the future financial condition of corporations and prevent the financial crisis.
The traditional financial analysis and financial prediction model is usually based on financial indicators. However the occurrence of Enron financial crisis demonstrates the traditional prediction model basing solely on the financial indicators has been difficult to deal with the complex and volatile economic environment. In view of this, this article attempts to introduce some non-financial information to the financial crisis forecast system. Drawing on the results of previous studies, this paper adopts the method of empirical to predict the financial condition of listed companies in China, hoping that it will provide some reference value for the follow-up study.
This article selected 80 ST companies as a sample of financially distressed firms from 2007 to 2009, in accordance with the principle of same industry and similar size, this article selected 160 normal companies as paired samples. Then it selected 17 financial determinants,7 non-financial determinants to quantify the financial information and non-financial informantion. Then it used T-test and the correlation analysis to eliminate some variables and confirm the model variables. At last the paper adopted Fisher’s and logistic regression analysis models, compare the accuracy of models before and after the introduction of non-financial information. Then the article inspect the contribution of the non-financial information for the financial crisis early warning
The results show that the contribution of financial information can not be ignored, however, the introduction of non-financial information can greatly improve the model's early warning capability, so the non-financial information also has a positive meaning to prevent financial crisis. It means that the introduction of non-financial information will improve the ability and efficiency of financial distress prediction.
引文
①谷褀,刘淑莲.财务危机企业投资行为分析与对策[J].会计研究,1999(10):28-31 仝玲.上市公司财务危机预警体系研究[J].投资研究,2002(11):33-34
[1] Fitzpatrick P J. A Comparison of Ratio of Successful Industrial Enterprises with Those of Failed Firms[J]. Certified Public Accountant, 1932,(2): 589-605
[2] Beaver W N. Financial Ratios as Predictors of Failure, Empirical Research in Accounting: Selected Study[J]. Journal of Accounting Research(Supplement), 1966, (4):71-111
[3] Altman E I. Financial Ratios Discriminated Analysis and the Prediction of Corporate Bankruptcy[J]. Journal of Finance, 1968,23,(9): 589-609
[4] Altman E I, Hardeman R G, Narayanan P. ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations[J]. Journal of Banking and Finance, 1977,(1): 29-54
[5] Ohlson J T. Financial Ratios and the Probabilistic Prediction of Bankruptcy[J]. Journal of Accounting Research, 1980,18,(1): 109-131
[6] Jensen. Agency Costs of Free Cash Flow. Corporate Finance, and Takeovers[J]. American Economic Review, 1986: 323-339
[7] Daily C M, Dalton D R. CEO and Director Turnover in Failing Firms: An Illusion of Change[J]. Strategic Management Journal, 1995,16,(5):393-400
[8] Elloumi, Gueyie. Financial Distress and Corporate Govenance: An Empirical Analysis[J]. Corporate Governance, 2001,(1): 15-27
[9]陈静.上市公司财务恶化预测的实证分析[J].会计研究, 1999,(4): 31-38
[10]陈晓,陈治鸿.中国上市公司的财务困境预测[J].中国会计与财务研究,2000,(3):55-72
[11]陈碧滋.我国上市公司股价行为与董监因素关联性之探讨[D].台湾:台湾大学会计研究所. 2001
[12]姜秀华,任强.上市公司财务危机预警模型研究[J].预测,2002,(3): 56-61
[13]李秉祥,扈文秀.基于期权理论的上市公司财务危机动态预测方法研究[J].管理评论,2004,(16):54-58
[14]陈良华,孙健.公司治理与财务困境,来自上海股票市场的证据[J].东南大学学报:哲学社会科学版,2005,(5):28-31
[15]王克敏,姬美光.基于财务与非财务指标的亏损公司财务预警研究——以ST公司为例[J].财经研究,2006,(7):63-72
[16]邓晓岚,王宗军,李红侠等.非财务视角下的财务困境预警——对中国上市公司的实证研究[J].管理科学.2006,(3):72-80
[17]杨华.财务危机预警模型中的非财务指标应用研究[J].财会通讯.2007,(7):31-32
[18] Carmichael D R. The Auditos’s Reporting Obligation[J]. Auditing Research Monograph,1972 ,(1):94
[19] Alves J K. The Pridiction of Small Business Failure Utilizing Financial and Non Financial Data, PH.D.Dissertation[M]. University of Massachusetts, 1978
[20] Foster G. Financial Statement Analysis[M]. New Jersey: Prentice Hall(2nd), 1986
[21] Karen Wruck. Financial Distress: Reorganization and Organizational Efficiency[J]. Journal of Financial Economics, 1990,(27): 425
[22] Deakin E. A Discriminated Analysis of Predictors of Business Failure[J]. Journal of Accounting Research, Spring 1972
[23] Coats P, Fant L. Recognizing Financial Distress Patens Using a Neural Network Tool[J]. Financial Management, 1993,(22): 142-155
[24]谷褀,刘淑莲.财务危机企业投资行为分析与对策[J].会计研究,1999,(10): 28-31
[25]仝玲.上市公司财务危机预警体系研究[J].投资研究,2002,(11): 33-34
[26]赵爱玲.企业财务危机的识别与分析[J].财经理论与实践,2000,(6): 69-72
[27]王炫.预测上市公司失败(被列为ST、PT)的财务模型[D].北京:国泰君安研究所. 2001
[28]张后奇.上市公司财务危机预警系统:理论研究与实证分析[R].长城证券课题组,2002
[29]张玲.财务危机预警分析判别模型及其应用[J].预测,2000,(6): 13-31
[30]吴世农,卢贤义.我国上市公司财务困境的预测模型研究[J].经济研究,2001,(6): 46-55
[31] Amir, B.Lev. Value relevance of non financial imformation: The wireless communication industry[J]. Journal of Accounting and Economics,1996,22(August-December): 3-30
[32] James, A.Ohlson. Financial Ratios and the Probabilistic prediction of Bankruptcy[J]. Journal of Accounting Research, Sping 1980: 109-131
[33]桂梦吟,伍硕频.非财务视角下财务困境预警模型研究[J].金融经济.2007,(3):132-133
[34]杨华.非财务指标在财务危机预警模型中的应用研究——以*ST公司为例[J].山东经济.2007,(6):119-122
[35]吕峻.基于非财务指标的财务困境预测及征兆分析——来自于制造业上市公司的实证研究[J].中国社会科学院研究生院学报.2006,(3):52-58
[36]万息宁,王艳.基于非财务指标的企业财务危机模糊预警模型研究[J].管理学报. 2007,(3):195-200
[37]张川,潘飞,John Robison.非财务指标采用的业绩后果实证研究——代理理论Vs.权变理论[J].会计研究.2008,(3):39-46
[38]宋建兰.浅谈上市公司财务危机的界定[J].财经视线.2008,(4):78-79
[39]白重恩,刘俏,陆洲等.中国上市公司治理结构的实证研究[J].经济研究.2005,(2):1-13
[40]于东智.董事会、公司治理与绩效[J].中国社会科学.2005,(3):35-39
[41]陆建桥.中国亏损上市公司盈余管理实证研究[J].会计研究.1999,(9):31-36
[42]杨兵,柯佑鹏.非财务指标影响上市公司财务危机预测能力的实证研究[J].财会通讯(学术版).2005,(11):56-59
[43]沈翠清.引入非财务指标的上市公司财务危机预警研究[D].厦门:厦门大学.2007
[44]戴红军.引入非财务信息的的上市公司财务危机预警模型实证研究[D].大连:大连理工大学.2007
[45]邓晓岚.非财务视角下中国上市公司经营困境评价模型及实证研究[D].武汉:华中科技大学.2006
[46]王大伟.我国上市公司财务困境预测及实证研究[D].镇江:江苏大学.2005
[47]裘益政.失败的教训——中国上市公司财务失败案例[M].北京:中国人民大学出版社.2006
[1] Fitzpatrick P J. A Comparison of Ratio of Successful Industrial Enterprises with Those of Failed Firms[J]. Certified Public Accountant, 1932,(2): 589-605
[2] Beaver W N. Financial Ratios as Predictors of Failure, Empirical Research in Accounting: Selected Study[J]. Journal of Accounting Research(Supplement), 1966, (4):71-111
[3] Altman E I. Financial Ratios Discriminated Analysis and the Prediction of Corporate Bankruptcy[J]. Journal of Finance, 1968,23,(9): 589-609
[4] Altman E I, Hardeman R G, Narayanan P. ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations[J]. Journal of Banking and Finance, 1977,(1): 29-54
[5] Ohlson J T. Financial Ratios and the Probabilistic Prediction of Bankruptcy[J]. Journal of Accounting Research, 1980,18,(1): 109-131
[6] Jensen. Agency Costs of Free Cash Flow. Corporate Finance, and Takeovers[J]. American Economic Review, 1986: 323-339
[7] Daily C M, Dalton D R. CEO and Director Turnover in Failing Firms: An Illusion of Change[J]. Strategic Management Journal, 1995,16,(5):393-400
[8] Elloumi, Gueyie. Financial Distress and Corporate Govenance: An Empirical Analysis[J]. Corporate Governance, 2001,(1): 15-27
[9]陈静.上市公司财务恶化预测的实证分析[J].会计研究, 1999,(4): 31-38
[10]陈晓,陈治鸿.中国上市公司的财务困境预测[J].中国会计与财务研究,2000,(3):55-72
[11]陈碧滋.我国上市公司股价行为与董监因素关联性之探讨[D].台湾:台湾大学会计研究所. 2001
[12]姜秀华,任强.上市公司财务危机预警模型研究[J].预测,2002,(3): 56-61
[13]李秉祥,扈文秀.基于期权理论的上市公司财务危机动态预测方法研究[J].管理评论,2004,(16):54-58
[14]陈良华,孙健.公司治理与财务困境,来自上海股票市场的证据[J].东南大学学报:哲学社会科学版,2005,(5):28-31
[15]王克敏,姬美光.基于财务与非财务指标的亏损公司财务预警研究——以ST公司为例[J].财经研究,2006,(7):63-72
[16]邓晓岚,王宗军,李红侠等.非财务视角下的财务困境预警——对中国上市公司的实证研究[J].管理科学.2006,(3):72-80
[17]杨华.财务危机预警模型中的非财务指标应用研究[J].财会通讯.2007,(7):31-32
[18] Carmichael D R. The Auditos’s Reporting Obligation[J]. Auditing Research Monograph,1972 ,(1):94
[19] Alves J K. The Pridiction of Small Business Failure Utilizing Financial and Non Financial Data, PH.D.Dissertation[M]. University of Massachusetts, 1978
[20] Foster G. Financial Statement Analysis[M]. New Jersey: Prentice Hall(2nd), 1986
[21] Karen Wruck. Financial Distress: Reorganization and Organizational Efficiency[J]. Journal of Financial Economics, 1990,(27): 425
[22] Deakin E. A Discriminated Analysis of Predictors of Business Failure[J]. Journal of Accounting Research, Spring 1972
[23] Coats P, Fant L. Recognizing Financial Distress Patens Using a Neural Network Tool[J]. Financial Management, 1993,(22): 142-155
[24]谷褀,刘淑莲.财务危机企业投资行为分析与对策[J].会计研究,1999,(10): 28-31
[25]仝玲.上市公司财务危机预警体系研究[J].投资研究,2002,(11): 33-34
[26]赵爱玲.企业财务危机的识别与分析[J].财经理论与实践,2000,(6): 69-72
[27]王炫.预测上市公司失败(被列为ST、PT)的财务模型[D].北京:国泰君安研究所. 2001
[28]张后奇.上市公司财务危机预警系统:理论研究与实证分析[R].长城证券课题组,2002
[29]张玲.财务危机预警分析判别模型及其应用[J].预测,2000,(6): 13-31
[30]吴世农,卢贤义.我国上市公司财务困境的预测模型研究[J].经济研究,2001,(6): 46-55
[31] Amir, B.Lev. Value relevance of non financial imformation: The wireless communication industry[J]. Journal of Accounting and Economics,1996,22(August-December): 3-30
[32] James, A.Ohlson. Financial Ratios and the Probabilistic prediction of Bankruptcy[J]. Journal of Accounting Research, Sping 1980: 109-131
[33]桂梦吟,伍硕频.非财务视角下财务困境预警模型研究[J].金融经济.2007,(3):132-133
[34]杨华.非财务指标在财务危机预警模型中的应用研究——以*ST公司为例[J].山东经济.2007,(6):119-122
[35]吕峻.基于非财务指标的财务困境预测及征兆分析——来自于制造业上市公司的实证研究[J].中国社会科学院研究生院学报.2006,(3):52-58
[36]万息宁,王艳.基于非财务指标的企业财务危机模糊预警模型研究[J].管理学报. 2007,(3):195-200
[37]张川,潘飞,John Robison.非财务指标采用的业绩后果实证研究——代理理论Vs.权变理论[J].会计研究.2008,(3):39-46
[38]宋建兰.浅谈上市公司财务危机的界定[J].财经视线.2008,(4):78-79
[39]白重恩,刘俏,陆洲等.中国上市公司治理结构的实证研究[J].经济研究.2005,(2):1-13
[40]于东智.董事会、公司治理与绩效[J].中国社会科学.2005,(3):35-39
[41]陆建桥.中国亏损上市公司盈余管理实证研究[J].会计研究.1999,(9):31-36
[42]杨兵,柯佑鹏.非财务指标影响上市公司财务危机预测能力的实证研究[J].财会通讯(学术版).2005,(11):56-59
[43]沈翠清.引入非财务指标的上市公司财务危机预警研究[D].厦门:厦门大学.2007
[44]戴红军.引入非财务信息的的上市公司财务危机预警模型实证研究[D].大连:大连理工大学.2007
[45]邓晓岚.非财务视角下中国上市公司经营困境评价模型及实证研究[D].武汉:华中科技大学.2006
[46]王大伟.我国上市公司财务困境预测及实证研究[D].镇江:江苏大学.2005
[47]裘益政.失败的教训——中国上市公司财务失败案例[M].北京:中国人民大学出版社.2006