我国中小上市公司财务失败预警研究——基于财务指标和公司治理指标的综合考察  

Modeling Financial Distress Risk for Listed SMEs in China——Based on both Financial and Corporate Governance Information

作　　者：梁琪[1] 过新伟[1] 石宁[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《经济管理》2012年第3期123-132,共10页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"基于公司治理的中小企业信用风险度量研究"(71072097)

摘　　要：本文以2005～2009年首次被实施ST的中小上市公司为研究对象,综合利用财务指标和公司治理指标并采用考虑极端值样本的稳健logistic回归构建了财务失败预警模型。研究结果显示,公司治理指标对中小上市公司的财务失败预警具有重要作用,在财务指标基础上加入公司治理指标可以提高财务失败的预测效果,而这种预测效果的提升在排除了含有财务指标极端值样本的情况下表现得更加显著。研究结论对开展中小企业信用风险评估问题具有一定的参考价值。In recent years, the problem that it＇s hard to financing for small-and-medium enterprises （SMEs） has been caused high attention. One of approaches to solve this problem is enable commercial banks to increase loans for SMEs. However, Chinese commercial banks have being short of a suitable credit risk measure model for SMEs for a long time, which constraint their willingness of providing loans for SMEs. Therefore, it is of great im- portance to develop a suitable credit risk measure model for SMEs for Chinese commercial banks. Although many domestic researchers had been modeling credit default risk prediction, their models mainly focus on big enterprises but rare models are focus on SMEs. However, some recent literatures show that there exists credit risk heterogeneity between big enterprises and SMEs. The models of credit default risk based on big enterprises are not adaptable to SMEs, it is necessary to model credit default risk models for SMEs separately. Currently, logistic model has become the most popular approach in modeling credit default risk, but logistic regression is easily susceptible for outliers sample and the parameters estimation will be caused a deviation, which will reduce its default prediction ability of out-of-sample. Moreover, this estimation deviation will be larger for SMEs because of SMEs＇ data are often far from prefect theoretically. To solve this problem, we introduce a robust logistic regression developed by Atkinson and Riani （2001,2006） to improve the estimation of parameters in logis- tic model. Besides, only financial ratios are considered in most current domestic literatures, while non-financial information such as corporate governance factors are ignored. However, some researchers argue that corporate governance factors may affect the quality of financial information of companies, and thus the effectiveness of measuring credit default risk. So, it is necessary to take the corporate governance information into account when modeling credit default risk. Inspired by ex

关 键 词：中小上市公司 财务失败 公司治理 稳健Logistic回归 

分 类 号：F224[经济管理—国民经济]