上市公司财务危机及基于EVA的财务危机预警模型的研究

【作者】 杨茵；

【导师】 曾道荣；

【作者基本信息】 西南财经大学 ， 会计学， 2005， 硕士

【摘要】 企业出现财务危机而不能正确处理会使企业陷入困境。当今时代企业间的联系日益紧密,一个企业的危机往往又会引发与其相关联的企业出现危机,从而造成连锁反应和恶性循环,对整个宏观经济环境造成恶劣的影响;而宏观经济形势的恶化反过来又会加剧企业的危机。如果能够提前发现危机的征兆,采取相应措施进行危机处理,则可以大大提高企业的抗风险能力,这无论对增强单个企业的生命力还是改善整个社会经济环境都具有重要的现实意义。因此本文将研究重点放在建立企业财务危机预警模型上,希望对提高企业总体管理水平提供一些思路。财务危机是指企业偿付能力的丧失。即企业因丧失偿还到期债务的能力而无法支付到期债务或费用的一种经济现象。所谓财务危机预警是指根据系统外部环境条件的变化,对系统未来的不利事件或风险进行预测和报警,是对企业财务危机发生的可能性进行多角度的分析判断,及时发出危机警告的过程。它包括企业外部环境变化的危机和企业个体内在财务状况恶化的危险期预计两个方面,其主要目的都是督促企业尽早做好预防和应对财务危机的准备。本文探讨的主要是针对企业个体内在财务状况恶化而进行的财务危机预警。财务危机的预警研究是以现有的财务指标为基础,通过建立数学模型来预测企业财务危机发生的可能性。财务危机预警研究在西方拥有近 70 年的历史和许多研究成果,由于其重要的实用价值和广泛的市场应用,所以无论是学术界还是实务界仍在不懈地探索和改进研究方法,以期提高预测的准确性。本文通过对财务危机预警理论和方法以及 EVA(Economic Value Added,经济增加值)理论进行研究,提出了基于 EVA 的财务危机预警模型,对单纯依靠会计利润进行危机预测提供了有益的补充,完善了财务危机预警指标体系。本文首先对财务危机理论和财务危机预警理论进行了全面的阐2述:分析了财务危机的内部成因,并对财务危机的性质、显性表现及实质进行了归纳总结;阐述了财务危机预警的概念、理论和研究方法,对单变量模式、多变量模式财务危机预警模型进行了介绍并对多变量模式中的多元判别分析、Logit 模型和人工神经网络等方法进行了分析比较。其次,本文对 EVA 理论进行了阐述,分析了 EVA 的计算方法,对 EVA 的用途进行了合理的扩展,试图在 EVA 与财务危机预警之间建立某种联系,提出将 EVA 引入财务危机预警指标体系,建立基于EVA 的企业财务危机预警模型。EVA 是公司税后净营业利润减去全部资本成本后的净值,它较为准确的反映了一定时期内企业创造的价值。由于考虑了股权资本的成本,EVA 定量地衡量了每个报告期内企业创造或损失的价值;此外,通过在计算过程中对部分会计报表科目的调整,EVA 还可以减轻会计报表信息对企业真实状况反映的失真。因此通过引入 EVA,使财务危机预警模型能帮助企业更有效的发现和预测财务危机,减少和避免企业财务危机的发生,促进企业健康有序地发展。最后,本文根据我国资本市场的实际情况,把在被预测年度首次被特别处理的上市公司(ST 公司)界定为财务危机企业,通过对财务指标的合理选择确定了财务危机预警指标体系;利用多元逻辑回归方法建立了基于 EVA 的财务危机预警模型;并对财务危机预警模型的合理性和实用性进行了检验。结果表明将 EVA 引入财务危机预警指标体系的理论和方法是科学的、有效的。此外,本文的研究还说明在现有预测方法的基础上,根据不同类型的研究对象,合理选择财务指标可以提高财务危机预测的精度。关键词:经济增加值 , EVA , 财务危机 , 财务危机预警更多还原

【Abstract】 When a corporation encountering a financial crisis can not dispose itcorrectly it may fall into morass, this may also infect the associates andtherefore cause a chain reaction or a vicious circle, and it eventuallycauses wicked affection to the entire economic environment. At the sametime the deteriorated economic environment will retroact to aggravate thecrisis of the corporations. If the omen of the financial crisis can be caughtin advance and corresponding measures against the crisis can be taken, thecapability of the corporation to resist the crisis can thus be greatlyimproved. This has great importance not only to promotion of thecorporations’ vitality but to improvement of the entire economicenvironment of the society. For the sake of reasons that mentioned abovethis thesis is dedicated to building and improving the financial crisismodel of corporations, so as to provide some different approach to boostoverall level of enterprise management. Financial crisis is the economic phenomenon that a corporation lost itssolvency. That is to say the corporation who lost its ability to pay can notrepay its matured liabilities and expenses. Prediction of financial crisis hasbeen studied for nearly 70 years in the west; research on this field isalways on the way in both the academia and enterprises to increaseveracity of prediction for its great demand in the market. This thesisstudied the financial crisis prediction theory and practice and the theory ofEVA. On this basis we presented financial crisis prediction model basedon EVA,which helps to enrich the financial crisis indicator system. This thesis first gave an all-sided expatiation on the financial crisistheory and financial crisis prediction theory; then analyzed the causes offinancial crisis and summarized the properties, representations andessential of financial crisis. After that we expatiated on the conception,theoretic and study techniques of financial crisis prediction theory, andgave an introduction on single-variable and multi-variable pattern offinancial crisis prediction model, moreover analyzed different methods ofmulti-variable pattern such as MDA, Logit model and NN. We then expatiated on the EVA theory, analyzed the computingmethod of EVA and expanded its usage reasonably. By analyzing formerstudies on EVA we managed to affiliate EVA with financial crisisprediction. In this thesis we introduced EVA into financial crisis predictionindicator system, built a financial crisis prediction model of corporationsbased on EVA value. EVA is the indicator of genuine economic profit; itindicates the numeric value of a corporation in each accounting period andhelps to reflect the situation of a corporation more veracious. With EVA afinancial crisis prediction model can help corporations to find out theomen of financial crisis as soon as possible thus decrease or avoidoccurrence of financial crisis, and therefore prompt the corporations todevelop healthy. According to the actual situation of capital market in our country, inthis thesis we defined the ST companies in the capital market as thefinancial crisis companies, and studied how to choose the financialindicators. Then we built a financial crisis prediction model on the basis ofEVA by multi-logistic regression methodology to verify the rationality andpracticability of the new model. The results showed that the model withEVA is reasonable and effective. On selecting the research samples, wesuggested to define those being special treated for the first time at thepredicting year as the financial crisis corporations to avoid inveracity. The work of this thesis also showed that under present predictingmethods, as to different objects being studied, precision of prediction canbe improved by choosing financial indicators rationally.更多还原