考虑金融网络指标的信息技术类上市公司财务危机预测研究  

Research on Financial Distress Prediction with Financial Network Indicators for Listed Companies of Information Technology

作　　者：吴冲[1] 陈晓芳 苗博威 WU Chong;CHEN Xiaofang;MIAO Bowei(School of Economics and Management,Harbin Institute of Technology,Harbin 150001,China)

机构地区：[1]哈尔滨工业大学经济与管理学院,黑龙江哈尔滨150001

出　　处：《运筹与管理》2023年第8期159-165,共7页Operations Research and Management Science

基　　金：国家自然科学基金面上项目(71771066,72131005)。

摘　　要：信息技术类上市公司市场变化趋势难以捕捉,而这部分信息能有效显示企业的运营状况。股票收益信息能够及时反映市场变化,为了监督企业运营状况,避免财务危机发生,本文采用股票信息构建金融网络,将股票信息以网络指标的形式引入模型。为了充分发挥集成算法在财务危机预测模型中的作用,提高模型的泛化能力,同时解决单一分类器不能充分使用数据的问题,本文采用lightGBM集成算法构建信息技术类上市公司财务危机预测模型,并提出了基于lightGBM算法的调参集成策略,利用模型之间的信息互补提高算法的预测性能。以沪深两市信息技术类上市公司为研究对象进行实证研究,结果表明,经过调参集成的lightGBM算法具有更高的预测性能。同时引入金融网络指标的模型总体表现优于传统模型,说明股票信息的引入有利于财务危机预测。本文研究为财务危机预测模型构建提供了新思路。With the advent of the era of big data in recent years,the concepts of 5G,Internet+,big data,cloud computing,and blockchain have been put forward,and especially the rapid rise of Internet companies,brings full economic vitality to the country and becomes an important driver for the rapid development of China’s economic quality.At the same time,the information technology industry has gradually become a pillar industry for national economic growth,and a pioneering and strategic industry-leading national production and life.While the IT industry is booming,its high-growth and high-risk characteristics are also becoming more and more prominent.As the information technology industry has a large capital investment at the beginning of the listing,uncertainty in the process and timeliness of research and development,high requirements for technology iteration,the short life cycle of related products,weak solvency,uncertain future earnings of enterprises,unstable cash flow,etc.,make the industry more prone to potential financial risks and even the outbreak of financial crises.16 information technology enterprises were specially treated(ST)in 2019.The information technology industry is therefore in urgent need of financial crisis prediction models,targeting to help companies predict in advance whether there are serious financial risks.The information of indicators in traditional FDP is more limited to financial indicators,or adding non-financial indicators,but market information can also reflect the operation of information technology enterprises,and based on this,this paper proposes to introduce the market information of enterprises into the FDP model.Considering that it is difficult to capture the trend of market changes of information technology listed companies,while stock return information can reflect market changes promptly,this paper uses stock information to construct a financial network and introduces stock information into the model in the form of network indicators.To give full play to the role of the integrat

关 键 词：财务危机预测 金融网络指标 信息技术类上市公司 lightGBM 

分 类 号：F273[经济管理—企业管理]