基于随机效应logistic模型的中小企业财务失败预警研究  

Modeling Financial Distress Risks for SMEs Based on Random Effects Logistic Model

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：《管理工程学报》2014年第3期126-134,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71072097;71172066);教育部人文社科重点研究基地重点资助项目(2009JJD630002)

摘　　要：logistic模型是研究企业财务失败和信用违约的主流方法,但它不能很好地控制模型之外的因素对违约事件的影响。针对这一问题,本文引入截面数据的随机效应logistic模型,并对2005-2010年我国沪深两市中小上市企业的财务失败风险进行实证检验。结果表明,随机效应logistic模型相比logistic模型具有更高的样本内判别效果和样本外预测效果,而且在财务指标基础上加入公司治理指标能进一步提升模型的预警能力。研究结论对中小企业信用风险评估等具有一定的参考价值。Small-and-Medium Enterprises （SMEs） play an indispensable role in increasing employment,encouraging innovation,and promoting economic prosperity.However,appropriate models of measuring credit default risks for SMEs are not available to commercial banks,thus leading to restricting loans for SMEs.Although many domestic researchers have been modeling default prediction,their models mainly focus on large enterprises and are ineffective when applied to SMEs.Logisic model is currently the most popular method in modeling credit default risk.However,its ability to predict out-of-sample default events is limited because of its poor performance in controlling those factors in the model.To solve this problem,we employ a random effects logistic model to improve the estimation accuracy of parameters in logistic model.Besides,most domestic researches consider only financial ratios,but ignore non-financial factors such as corporate governance factors.Some researchers argue that corporate governance may affect the quality of financial information and the effectiveness of measuring credit default risk.In this study,we use financial distress events （Special Treatment events） as proxy indictors for credit default,and employ both financial ratios and corporate governance factors to model a random effects logistic model of credit default for SMEs.In Section I,we introduce the principle and estimation procedure of random effects logistic based on cross sectional data.Under the assumption that the default probability follows Beta distribution,a likelihood function of random effects logistic is derived and the maximum likelihood estimation （MLE） is employed to obtain parameters.In Section Ⅱ,we discuss data source and variables application.In Section Ⅲ,we establish an empirical work under the model specification of random effects logistic model,and compare its prediction power with logistic model.The results show that regardless whether corporate governance indictors are included the random effects logistic model performs

关 键 词：中小企业 财务失败 随机效应logistic模型 公司治理 

分 类 号：F201[经济管理—国民经济]