公司治理、宏观经济环境与财务失败预警研究——离散时间风险模型的应用

已有的财务失败预警模型大多只考虑财务信息的作用,忽视了公司治理状况、宏观经济环境等非财务因素对财务失败的影响。本文综合利用财务信息、公司治理信息和宏观经济信息,采用生存分析中的离散时间风险模型构建我国上市公司的财务失败动态预警模型,并实证检验和比较离散时间风险模型与logistic模型、probit模型的预警能力。研究结果显示,公司治理信息和宏观经济信息对财务失败具有显著的预警作用,在模型中纳入这些非财务信息有助于提高模型的预测效果。研究结果也表明,离散时间风险模型的样本内判别能力和样本外预测能力都高于logistic模型和probit模型。

Corporate Governance,Macroeconomic Condition and Financial Distress Prediction:Application of the Discrete Time Hazard Model

The existing financial distress prediction models focus mostly on financial information,ignoring the significance of corporate governance condition and macroeconomic condition.This paper,based on financial information,corporate information and macroeconomic information,employs a discrete time hazard model of survival analysis to model a dynamic financial distress prediction model for listed firms in China.We empirically test and compare prediction power of discrete time hazard model with logistic model and probit model.The conclusion shows that corporate governance information and macroeconomic information of firms are of significance to prediction of financial distress,and the prediction power is highly improved when the model specification takes these non-financial information into account.The conclusion also shows that the discrimination power within samples and forecast power out of samples of discrete time hazard model are better than those of logistic model and probit model.