基于资本市场信息的上市公司财务危机动态预测模型研究  

An Research on Model of Dynamic Predicting Financial Distress in Chinese Listed Firms Based on Capital Market Information

作　　者：李秉祥[1] 

机构地区：[1]西安理工大学工商管理学院

出　　处：《管理工程学报》2005年第4期49-52,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70372053)(70371021)

摘　　要：预测上市公司财务危机是投资者、债权人及证券市场监管机构所广泛关注的课题。本文运用期权定价理论,以企业“资不抵债”作为上市公司陷入财务危机的标志,利用资本市场的信息指标———股价建立起上市公司动态财务危机预测模型,克服了统计预测方法利用财务报表信息预测的时期性和滞后性的缺陷。Financial distress （FD） predicting the corporations is a subject of wide concern to investors, creditors and securities supervisory organs. According to modern option pricing theory, applying the information index of the capital market “price of the stock”, the paper designs the dynamic predicting model by using the price of assets are less than debt received by listed firms as the indicator of FD. The model overcomes the weakness of statistics models.

关 键 词：上市公司 财务危机 预测 期望违约率 

分 类 号：F275[经济管理—企业管理]