上市公司财务困境预测的信用评分模型

信用评分是通过选择财务指标,建立判别模型来预测公司财务困境的方法.根据中国证券市场的实际情况在财务困境的界定,财务指标的选择和计算等方面对信用评分模型进行了调整,并运怂用于中国上市公司财务困境的预测.研究首次引入了包含股票价格的市场信息变量,并在判别模型表现时对估计样本和测试样本进行了区分.结果表明新模型在预测能力上要优于Altman,Ohlson和Zmijewski的模型,新模型在上市公司财务困境前一年的预测有较高的准确性,随着时间的推移,预测能力有明显的下降,因此模型适用于短期预测.

Forecasting corporate financial distress: using credit scoring models

Credit scoring establishes discriminant models of financial ratios to forecast corporate financial distress. We adjust the definition of financial distress, selection and calculation of financial ratios for China security market, and use them in forecasting financial distress of listed companies. The market information variables containing stock prices are introduced in our model for the first time. We divide samples into two groups: estimation and test samples. The new model performs better than Altman, Ohlson and Zmijewski models, and forecasts quite well one year before the distress. As the time gets longer, the predicting power decreases, so the new model is suitable for short time forecasting.