摘要
从现金流风险角度出发,对企业财务困境进行预警研究:首先构建一个基于企业内部环境、宏观经济政策、货币政策及财政政策等因素的CFaR模型,识别出期望现金流及风险现金流;然后以这两个指标作为预警变量,构建一个二元Logistic财务困境预警模型;最后选取27家中国证券市场中代表陷入财务困境的ST公司及配对的财务良好的非ST公司作为样本进行实证研究。结果表明,所构建的CFaR模型能较好地度量两类上市公司的现金流状况,且两类公司的期望现金流和风险现金流水平存在显著的差异;二元Logistic预警模型能较好地实现对上市公司财务风险的预警,对两类公司的预警正确率分别达到85.2%和81.5%。
Corporate stakeholders attach great importance to financial distress. In this paper, we investigate financial distress warning from the perspective of cash flow risk. First of all, we construct a Cash Flow at Risk （CFaR） model, considering the risk factors from corporate internal and external environment. Then, we get the expected cash flow and the risk cash flow, use them as warning variables and construct a bivariate ted companies, who are in financial distress, logistic financial distress warning model. 27 ST lisand 27 paired listed companies are selected as sam- ples. The results show the CFaR model performs well in measuring the cash flow conditions of the sample companies. The expected cash flow and the risk cash flow of the two types of companies have large differences. What＇s more, the bivariate logistic financial distress warning model also performs well. Specifically, its warning accuracy rates of the ST companies and the paired companies reach to 85.2% and 81.5% respectively.
出处
《财经理论与实践》
CSSCI
北大核心
2014年第1期57-62,共6页
The Theory and Practice of Finance and Economics
基金
国家自然科学基金项目(71373072)
国家自然科学基金创新研究群体基金项目(71221001)
国家软科学研究计划项目(2010GXS5B141)
高等学校博士点专项科研基金项目(20130161110031)
