基于ESG表现和金融化的企业违约风险预警分析  

An Analysis of Enterprise Default Risk Warning Based on ESG Performance and Financialization

作　　者：谈海鑫 周雪梅[1] 谢昌财 Haixin Tan;Xuemei Zhou;Changcai Xie(School of Economics,Guizhou University,Guiyang Guizhou)

机构地区：[1]贵州大学经济学院,贵州贵阳

出　　处：《运筹与模糊学》2024年第2期71-82,共12页Operations Research and Fuzziology

摘　　要：文章基于2022年被首次特殊处理的40家我国A股上市公司及其对应的107家未被特殊处理的A股上市公司样本数据,利用因子分析对11个财务指标提取5个公因子,并基于ESG视角构造金融化指标,运用Logistic模型对企业违约概率进行实证检验。研究发现:1)企业的ESG表现与违约风险呈显著负相关关系;2)企业的金融化程度在一定情况下与违约风险呈显著正相关关系,尤其是反映企业在当年来自金融渠道的收益与营业总收入之比的流量指标在大多数情况下与违约风险呈显著正相关关系。3)利用聚类分析对预测因子进行聚类后,只会对模型预测效果产生轻微影响,但是对其进行聚类后,不仅方便企业对自身财务和ESG进行控制和优化,也方便投资者对投资对象违约风险的评估。这些结论为投资者在选择投资对象、企业在资产配置和战略选择以及管理当局在信息披露管理等方面提供了启示。The article is based on the sample data of 40 A-share listed companies in China that were first specially treated in 2022 and their corresponding 107 A-share listed companies that were not specially treated.Factor analysis is used to extract 5 common factors from 11 financial indicators,and financialization indicators are constructed from the ESG perspective.Logistic models are used to empirically test the default probability of enterprises.Research has found that:1)There is a significant negative correlation between the ESG performance of enterprises and default risk;2)The degree of financialization of enterprises is significantly positively correlated with default risk under certain circumstances,especially the flow indicator that reflects the ratio of profits from financial channels to total operating income of enterprises in the current year is significantly positively correlated with default risk in most cases.3)After clustering the predictive factors using clustering analysis,it will only have a slight impact on the model’s prediction performance.However,clustering it not only facilitates the enterprise to control and optimize its own financial and ESG,but also facilitates investors to evaluate the default risk of investment objects.These conclusions provide insights for investors in selecting investment targets,enterprises in asset allocation and strategic choices,and management authorities in information disclosure management.

关 键 词：ESG表现 企业金融化 违约风险 

分 类 号：F83[经济管理—金融学]