第二部分企业持续经营风险恶化影响因素分析与风险恶化预测研究

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4 logistic logistic 6 7 4

5 1, 1932 Fitzpatrick Fitpatrick 1998 ST

6 2 21 AltmanZ Zeta Beaver Peel & Peel1987 ST ST ST ST ST 2000 P/E EPS EVA

7 % % % % 63.04%52.17%48.28% 27.38% ST n

9 pp1635 9

10 1 A1= 0 1 A2= 0 1 A3= 1 0 A4 = / A5= + / A6= 1 0 A7= 1 0 A8= / A9= 1 0 A10= / A11= / A12= 1 0 A13= 1 0 B1= / B2= / B6= / B7= / B9= / B10= / B11= / 10

11 B12= * - >0 0 1 B13= B14= B15= 1 0 C1 / C2= / C4 / C5= / C7= / C8= C9= C11= / C logistic Logistic logistic

12 Zmifewski І Theofanis1987 І Anderson ln c q c q CS = CS 1,q 2 q 1,c 2 c І multivariate discriminant model logistic Anderson

13 P = q q 2 1 c c * 2 c c 2 1 q P c1,c 2 q,q 1 2 1,q 2 І Altman etal.1977 [1/21/38] 1/21/20 1/ q 2 /q q 2 / q 1 c 2 / c p 1 1/

14 / / /2 1 c 2 / c t t-1 1 t-1 t / ROE

15 2 1 t tn t 1t t n t tn t-1 tn n

16 t Mann-Whitney t p z p / /

17 t t p 7 t Mann-Whitney t p z p / /

18 t t p 8 t Mann-Whitney t p z p / / / t t p 18

19 42 logistic Altman Altman1993Edmister

20 9 logistic Wald Wald / / / Log likelihood

21 Cox & Snell R Nagelkerke R Log likelihood R 2 logistic logistic Scott ІІ 54.31% 44.29% 34.29% % 7.14% 70% % 44.29% 41.43% % 7.14% 75.71% % 38.57% 51.43% % 7.14% 82.86% logistic logistic 21

22 logun = * owner * orec / asset * contin * appra * renume * contcha * return 0.04* persist * margin * trend 1.871* liquid 0.08* turn * acid 0.057match t Mann-Whitney t p Z p / /

23 / / t t p 52 logistic 12 logistic Wald Wald

24 / / Log likelihood Cox & Snell R Nagelkerke R І І 36.52% 40.48% 54.76% 26.19% % 39.29% 54.76% 23.81% N/A 36.90% 38.10% 35.71%

25 0.40 N/A 40.48% 38.10% 42.86% N/A 38.10% 14.29% 61.90% N/A 44.05% 11.90% 76.19% Log likelihood R 2 logistic logistic 2002 log Ex = * state * owner * orec / asset * dual * appra * return * persist 0.275* cash * trend

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27 1Altman,E.I.1968Financial ratios, discriminant analysis and prediction of corporate bankruptcy. Journal of Finance19689pp Altman,E.I.1993Corporate financial distress and bankruptcya complete guide to predicting & avoiding distress and profiting from bankruptcysecond edition. John Wiley & SonsInc. New York 3Anderson, T.W.1962An Introduction to Multivariate Statistical Analysis. New York:Wiley 4Beaver,W.H.1966Financial ratios as predictors of failure. Journal of Accounting Researchsupplement1966pp Deakin,E.B.1977Business failure predictionan empirical analysis. In E. Altman & A. SametzedsFinancial CrisesInstitutions and Markets in a Fragile Environment. John WileyNew York 6Edmister, R.O.1972An empirical test of financial ratio analysis for small business failure prediction. Journal of Financial and Quantitative Analysis March 7Larry George Gru1973Financial RatiosMultiple Discriminant Analysis and the Prediction of Small Corporate Failure. Ph.D. dissertation of the University of Minnesota. University Microfilms Internationals. 8MensahY.M.1984An examination of the stationary of multivariate bankruptcy 9Peel M.J. & D.A. Peel 1987 Some further empirical evidences on predicting private company failure. Accounting and Business Research. Winter,pp Scott Menard1995Applied Logistic Regression Analysis. UK:Sage Publications; 11 Theodossiou Panayiotis Theofanis1987Corporate Failure Prediction Models for the U.S. Manufacturing and Retailing Sectors. Ph.D. dissertation 27

28 of University of New York. University Microfilms Internationals. 12 Zmijewski,Mark Eugene 1984 Essays on Corporate Bankruptcy. Doctoral dissertation of State University of New York at Buffalo. University Microfilms International pp pp pp pp pp

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第二部分 企业持续经营风险恶化影响因素分析与风险恶化预测研究

第二部分企业持续经营风险恶化影响因素分析与风险恶化预测研究