本文選題：財(cái)務(wù)困境　切入點(diǎn)：預(yù)測模型　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2012年碩士論文

【摘要】：企業(yè)陷入財(cái)務(wù)困境，不僅會給企業(yè)投資者、債權(quán)人以及其他企業(yè)相關(guān)利益者帶來經(jīng)濟(jì)損失，而且會影響社會穩(wěn)定。找到上市公司陷入財(cái)務(wù)困境的原因，構(gòu)造適合中國上市公司財(cái)務(wù)困境的預(yù)測模型，及時(shí)獲得上市公司財(cái)務(wù)狀況出現(xiàn)嚴(yán)重惡化的預(yù)警信號，不論對投資者、債權(quán)人、經(jīng)營者還是監(jiān)管者，，都具有重大意義。 在以往對于財(cái)務(wù)困境預(yù)測的研究中，Logistic回歸是主流的統(tǒng)計(jì)模型之一。然而，Logistic回歸中隱含的模型系數(shù)固定不變假設(shè)可能與事實(shí)相悖，有待于統(tǒng)計(jì)檢驗(yàn)。與此同時(shí)，企業(yè)所在行業(yè)屬性在財(cái)務(wù)困境預(yù)測模型中經(jīng)常被忽略或回避。因此，有必要將行業(yè)屬性納入預(yù)測模型，并驗(yàn)證企業(yè)行業(yè)屬性對回歸系數(shù)變動的解釋力。因此，本文選擇分層Logistic模型進(jìn)行預(yù)測模型的建立，該模型既能適用于離散型響應(yīng)變量，又能處理分層數(shù)據(jù)結(jié)構(gòu)的統(tǒng)計(jì)模型，能夠?qū)⒑暧^變量即行業(yè)信息引入模型，并對其效應(yīng)檢驗(yàn)。 本文首先對上市公司財(cái)務(wù)困境預(yù)測問題進(jìn)行理論研究，在此基礎(chǔ)上給出了基于流動比率的財(cái)務(wù)困境定義方法；之后進(jìn)行樣本選擇和指標(biāo)選取，選取2010年我國滬、深股市的A股上市公司作為研究總樣本，得到樣本公司1249家，其中財(cái)務(wù)困境公司272家，選擇財(cái)務(wù)指標(biāo)和非財(cái)務(wù)指標(biāo)作為預(yù)測變量；而后建立多層Logistic模型，并對回歸系數(shù)固定效應(yīng)和隨機(jī)效應(yīng)檢驗(yàn)。本研究的數(shù)據(jù)來自于國泰安CSMAR數(shù)據(jù)庫。 基于分層Logistic模型的財(cái)務(wù)困境預(yù)測模型顯示，微觀層次回歸系數(shù)的變動情況在組間（跨行業(yè)）存在，且該變動可分解為兩個(gè)方面，一部分可由宏觀層次解釋變量解釋，一部分由微觀層次變量回歸系數(shù)的隨機(jī)斜率解釋。同時(shí)，在財(cái)務(wù)管理意義上，模型在宏觀層次支持了行業(yè)前景水平（由行業(yè)平均營業(yè)收入增長率表示）對企業(yè)財(cái)務(wù)困境風(fēng)險(xiǎn)的影響，在微觀層次支持了流動比率、流動負(fù)債比率、資產(chǎn)報(bào)酬率、流動資產(chǎn)周轉(zhuǎn)率和審計(jì)意見對企業(yè)財(cái)務(wù)困境風(fēng)險(xiǎn)的影響。除資產(chǎn)報(bào)酬率為隨機(jī)效應(yīng)外，其余均為固定效應(yīng)�；谀Ｐ偷臄M合效果，多層Logistic模型對于數(shù)據(jù)擬合情況良好，適用于上市公司財(cái)務(wù)困境預(yù)測問題。
[Abstract]:Financial distress will not only bring economic losses to investors, creditors and other stakeholders of the enterprise, but also affect social stability. Find out why listed companies are in financial distress. It is of great significance for investors, creditors, managers and regulators to construct a forecasting model suitable for the financial distress of listed companies in China and to obtain early warning signals of serious deterioration of the financial situation of listed companies in time. Logistic regression is one of the mainstream statistical models in previous researches on financial distress prediction. However, the assumption of fixed coefficient of the model implied in logistic regression may be contrary to the facts and need to be tested by statistics. The industry attribute of the enterprise is often ignored or evaded in the forecasting model of financial distress. Therefore, it is necessary to incorporate the industry attribute into the forecasting model and verify the explanatory power of the enterprise industry attribute to the change of regression coefficient. In this paper, the hierarchical Logistic model is chosen to build the prediction model. The model can not only be applied to discrete response variables, but also can deal with the statistical model of hierarchical data structure. It can introduce macro variables (i.e. industry information) into the model and test its effects. This paper firstly studies the financial distress prediction of listed companies, and then gives the definition method of financial distress based on current ratio, then selects samples and indicators, and selects 2010 Shanghai, China. The A-share listed companies in Shenzhen stock market are taken as the total sample of 1249 companies, including 272companies with financial distress. The financial index and non-financial index are selected as the predictive variables, and then the multi-layer Logistic model is established. The data of this study are obtained from the Cathay Pacific CSMAR database. The prediction model of financial distress based on hierarchical Logistic model shows that the change of micro-level regression coefficient exists in inter-group (cross-industry), and the change can be decomposed into two aspects, some of which can be explained by macro-level explanatory variables. Part of it is explained by the random slope of regression coefficient of microcosmic variables. At the same time, in the sense of financial management, The model supports the influence of industry prospect level (expressed by the average growth rate of industry income) on the risk of financial distress at the macro level, and supports the current ratio, current debt ratio, asset return rate at the micro level. The influence of current assets turnover rate and audit opinion on the risk of financial distress of enterprises. Except for the stochastic effect of return on assets, the rest are fixed effects. Based on the fitting effect of the model, the multi-layer Logistic model can fit the data well. It is suitable for forecasting financial distress of listed companies.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F275;F832.51;F224

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