基于现金流量的企业财务预警实证研究
摘要
企业陷入财务困境是一个逐步恶化的过程，适时、准确的对企业财务进行预警分析是市场竞争体制的客观要求，也是企业生存发展的必要保障。本文以我国上市公司为研究对象，从现金流量的角度出发研究财务危机预警问题，旨在挖掘现金流量指标在我国财务危机预警领域的研究价值，并构建适合中国市场的具有一定实用价值的财务危机预警模型。
本文首先总结了国内外财务危机预警的研究现状，在指出现有研究不足的基础上提出本文的研究目的、内容和主要创新点。对财务危机预警理论和现金流量理论进行了全面的阐述，主要包括：对财务危机的概念和特征进行了归纳总结，分析了财务危机的形成原因，阐述了财务危机预警的概念、理论基础和主要功能，对财务危机预警的定性和定量方法进行了概括介绍，以及对现金流量的概念、特征和重要性的介绍。
根据我国资本市场的实际情况，以2009年和2010年首次被“特别处理”的50家财务危机企业和配对的50家非财务危机企业作为研究样本，根据设计的现金流量财务预警指标体系，以财务危机企业被“特别处理”前第三年的财务数据进行预测，采用主成分分析法，利用估计样本构建了主成分预测模型；再选取2008年首次被“特别处理”的企业作为检验样本，验证该模型的有效性。研究结果表明：该指标体系下构建的主成分预测模型达到81.67%的预测准确率，证明了该现金流量财务预警模型的有效性。
关键词：财务危机 财务预警 现金流量 主成分分析
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Real Example Method Analysis on Financial
Early-Warning of Cash Flow
Abstract
It is a course worsened progressively that enterprises get into a financial diffieult position. In right time,accurate carrying on early-warning to enterprise’s financial affairs is the objective requirement for the market competition system, Financial early-warning system play a role in escorting for enterprise’s victory. This thesis researched the financial crisis prediction from the point of view of cash flow, regarding the Chinese listed company as the research object,in order to find out the researchful value of cash flow indices in the field of financial crisis prediction,and build useful financial crisis prediction models suitable for Chinese market.
Firstly, by way of summarizing the current study situation about financial crisis prediction and the deficiencies of current study,the thesis introduced its research intention, content and innovations. After that I gave an all-sided expatiation on the financial crisis prediction theory and cash flow theory, including the criterions,characters
and
causes
of
financial
crisis;
summarized
the
conception,theoretic basic and functions of financial crisis prediction, and gave an introduction on the qualitative and quantitative methods of financial crisis prediction,and summarized the conception, characters,important of cash flow.
According to the actual situation of capital market in our country, this thesis chose 50 financial crisis companies that is with special treatment(ST)for the first time in 2009 and 2010, and 50 paired non-financial crisis companies as estimate sample. According to the designed system, based on the financial data in 2006 and 2007 of enterprises in crisis, the paper establishes a Principle Components Prediction Model by adopting principle components analysis, then verify the model with the testing sample that is with ST in 2008. The outcome indicates that 81.67 percent of the sample can be predicted effectively. Thus the indexes system is validly.
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Keywords:
Financial Crisis, Financial Early-Warning, Cash Flow, Principle
Components Analysis
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目录
第一章 绪论......................................................... 1
1.1 研究背景、目的与意义 ........................................ 1
1.1.1 研究背景............................................... 1 1.1.2 研究目的............................................... 2 1.1.3 研究意义............................................... 2 1.2 国内外研究现状 .............................................. 3
1.2.1 国外关于企业财务预警的研究现状......................... 3 1.2.2 国内关于企业财务预警的研究现状......................... 6 1.2.3 基于现金流量的财务预警的研究现状....................... 9 1.3 研究方法 ................................................... 11 1.4 研究内容 ................................................... 11 第二章 相关基础理论................................................ 12
2.1 企业财务预警理论 ........................................... 12
2.1.1 透析财务危机.......................................... 12 2.1.2 财务预警基础理论...................................... 16 2.1.3 企业财务预警研究方法.................................. 19 2.2 现金流量理论 ............................................... 22
2.2.1 现金及现金流量的概念、性质及特征...................... 22 2.2.2 现金流量管理——企业财务管理的核心.................... 24 2.2.3 企业现金流量财务预警研究的理论依据.................... 26
第三章 企业现金流量财务预警的样本与指标设计....................... 29
3.1 样本与数据的选取 ........................................... 29
3.1.1 ST样本公司的选取 ..................................... 29 3.1.2 非ST样本公司的选取................................... 30 3.1.3 样本数据的选取........................................ 30 3.2 传统资产利润类与现金流量类财务预警指标的比较分析 ........... 31
3.2.1 传统资产利润类财务预警指标的局限性.................... 31 3.2.2 现金流量类财务预餐指标的优越性........................ 32 3.3 本论文有关现金流量财务预警指标的设计 ....................... 33
3.3.1 偿债能力指标.......................................... 34 3.3.2 获现能力指标.......................................... 34 3.3.3 现金流量结构指标...................................... 35 3.3.4 发展成长能力指标...................................... 36 3.3.5 现金流量新兴指标...................................... 36
第四章 企业现金流量财务预警模型的构建与检验........................ 39
4.1 预警模型的构建思路 ......................................... 39
4.1.1 主成分分析原理........................................ 39 4.1.2 实证研究步骤.......................................... 41 4.2 基于现金流量的财务预警模型的实证研究 ....................... 42
4.2.1 研究样本的选取........................................ 42 4.2.2 财务指标的显著性分析.................................. 42 4.2.3 主成分分析............................................ 43
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4.2.4 模型的检验............................................ 49 4.3 现金流量财务预警模型效果分析 ............................... 51 第五章 结论........................................................ 53
5.1 结论与建议 ................................................. 53
5.1.1 研究结论.............................................. 53 5.1.2 对策建议.............................................. 54 5.2 研究的局限性与展望 ......................................... 54 参考文献........................................................... 56 附录............................................................... 59 致谢............................................................... 66
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