CN104063767A - Listed company financial security status evaluation method - Google Patents

Abstract

The invention relates to the field of company financial risk studies, in particular to a listed company financial security status evaluation method. The method comprises the steps that a listed company financial crisis index is defined and is called the W-index for short, and determination methods of all parameters in the W-index are designed; the W-index of a target company to be evaluated is calculated, and the financial status of the target company to be evaluated is judged according to a calculation value of the W-index; if the W-index is within an interval (a1, b1), the financial status of the target company is judged to be 'relatively sound'; if the W-index is within an interval (a2, b2), the financial status of the target company is judged to be in 'early warning'; if the W-index is within an interval (a3, b3), the financial status of the target company is judged to be in 'financial distress'.

Description

A kind of Company Financial the evaluation of the safe status method

Technical field

The present invention relates to Corporate Finance risk investigation field, particularly relate to a kind of Company Financial the evaluation of the safe status method.

Background technology

Financial Distress (financial distress), is also referred to as financial crisis (financial crisis), refers to that enterprise cannot repay a series of possible negative circumstances facing because of due debt capital or interest on time.These a series of possible negative circumstances differ and with; have only just defer payment after just alleviated, what have can be absorbed in deferring payment repeatedly, and then causes credit crisis; suffer that unmatured debt people requires recovery in advance or appends guarantee, even enters the link of liquidating.So how the standard that enterprise faces Financial Distress how, is differentiated enterprise's possibility and can be faced this predicament, the view of industry exists some differences.External some to study to go bankrupt be the criterion of predicament, and domestic research early warning is relatively stronger, the discrimination standard using the special processing (special treatment, ST) of listed company as Financial Distress.If to liking the coal enterprise in merging state, after merging consideration payment, also need a considerable amount of follow-up fusion costs, so requiring for the early warning of Financial Distress can be higher, and, because the singularity of himself property of such enterprise of similar coal enterprise (as relatively large in the intangible asset accounting of this class of right to mine of mineral resources etc.), add the specific background of government's instruction that industry merges etc., need to set more strict discrimination standard.

A Erteman (Edward I.Altman) accounts for the total proportion of total assets, retained income by working fund and accounts for these five representative indexs of proportion that the ratio of proportion that the total proportion of total assets, IBTT (EBIT) accounts for total assets, rights and interests total market capitalisation and total liabilities and sales volume account for total assets and combined and obtained Z value (Z-score) and get and carry out financial crisis prediction by linear dependence.

Domestic similar research has, Zhou Shouhua in 1996 etc. expand the Z value discrimination model of A Erteman, set up " F mark pattern ", the critical value of F mark is 0.0274, critical value fluctuates up and down and 0.0775 belongs to uncertain region, F mark is less, and company occurs that the possibility of Financial Distress is larger.Xiang Dewei uses this method to carry out proof analysis to Chinese Listed Companies.Zhang Aimin, wish that Chun-shan Mountain and Xu Danjian combined principal component analysis (PCA) to set up Early-warning Model with Z value model in calendar year 2001, confirm that processing by this method the model of setting up after research variable has good predictive ability.

Think that five indexs of Z value discrimination model of A Erteman are not enough to reflect the financial risk situation of enterprise herein, so beard and hair is opened up new financial risk evaluation method, to reaching real early warning effect.

Summary of the invention

The invention provides a kind of Company Financial the evaluation of the safe status method, can accurate evaluation Company Financial safety case and financial risk is made to early warning.

For achieving the above object, the technical solution adopted in the present invention is: a kind of Company Financial the evaluation of the safe status method, and step is as follows:

(1) set up following Listed Companies index:

W＝β ₀+β ₁X ₁+β ₂X ₂+β ₃X ₃+β ₄X ₄+β ₅X ₅+β ₆X ₆，

Wherein,

Above Listed Companies index, is called for short W-index (W-score);

(2) X of various kinds our company, as sample, calculates according to Financial Statement of Listed Corporations data in the listed company based within the scope of randomly assigne extraction goal in research ₁～X ₆six desired values, use and the computable index of the Financial Crisis Horizontal correlation Substitute Indexes as W, carry out each parameter beta in linear regression calculative determination W-index ₀, β ₁..., β ₆.The Substitute Indexes of W can adopt the one in following index:

1. binaryzation index, when stock exchange confirms that Company Financial or the normal seasonal W value of other situations are 1, when stock exchange confirms that Company Financial or the seasonal W value of other situations abnormal (listed company be called for short before titled with " ST ", " * ST ", " S*ST " or " SST ") are 0;

②

3. the Logistic function of current rate

(3) determine the interval (a corresponding to the W-index of " relatively sane ", " early warning ", " Financial Distress " three kinds of Comments on Companies'Financial Condition according to the actual value condition of the Substitute Indexes of the W of sample company ₁, b ₁), (a ₂, b ₂), (a ₃, b ₃), these three interval non-overlapping copies, and the actual computation value of the Substitute Indexes of the W of the sample company in " relatively sane ", " early warning ", " Financial Distress " three kinds of financial positions falls into respectively this three intervals respectively;

(4) calculate the W-index of targeted company to be assessed, judge its financial position according to the calculated value of W-index, if W-index falls into interval (a ₁, b ₁), judge that Comments on Companies'Financial Condition is for " relatively sane ", if W-index falls into interval (a ₂, b ₂), judge that Comments on Companies'Financial Condition is for " early warning ", if W-index falls into interval (a ₃, b ₃), judge that Comments on Companies'Financial Condition is for " Financial Distress ".

With W-index in the time that the enterprise of serious crisis state (net assets are negative value) carries out financial crisis degree evaluation, W-index is made to following amendment:

$W={\mathrm{\&beta;}}_0+{\mathrm{\&beta;}}_1{X}_1+{\mathrm{\&beta;}}_2{X}_2+{\mathrm{\&beta;}}_3{X}_3+{\mathrm{\&beta;}}_4{X}_4+{\mathrm{\&beta;}}_5{X}_5+(\mathrm{sig}\left(X_6\right)\&CenterDot;\frac{1+a}{2}+\frac{1-a}{2})\&CenterDot;{\mathrm{\&beta;}}_6{X}_6,$ Wherein, sig (x) is sign function, and its value is defined as: $\mathrm{sig}\left(x\right)=\left\{\begin{array}{c}1,x>0\\ 0,x=0\\ -1,x<0\end{array}\right.,$ A is penalty coefficient, and assignment scope is: 1 < a < 10.

The beneficial effect that the present invention reaches: can accurate evaluation Company Financial safety case and financial risk is made to early warning.

Brief description of the drawings

Embodiment

The concrete implementation step of a kind of Company Financial the evaluation of the safe status method of the present invention is as follows:

(1) set up following Listed Companies index:

W＝β ₀+β ₁X ₁+β ₂X ₂+β ₃X ₃+β ₄X ₄+β ₅X ₅+β ₆X ₆，

Wherein,

Above Listed Companies index, is called for short W-index (W-score);

(2) X of various kinds our company, as sample, calculates according to Financial Statement of Listed Corporations data in the listed company based within the scope of randomly assigne extraction goal in research ₁～X ₆six desired values, use and the computable index of the Financial Crisis Horizontal correlation Substitute Indexes as W, carry out each parameter beta in linear regression calculative determination W-index ₀, β ₁..., β ₆.The Substitute Indexes of W can adopt the one in following index:

1. binaryzation index, when stock exchange confirms that Company Financial or the normal seasonal W value of other situations are 1, when stock exchange confirms that Company Financial or the seasonal W value of other situations abnormal (listed company be called for short before titled with " ST ", " * ST ", " S*ST " or " SST ") are 0;

②

3. the Logistic function of current rate

(3) determine the interval (a corresponding to the W-index of " relatively sane ", " early warning ", " Financial Distress " three kinds of Comments on Companies'Financial Condition according to the actual value condition of the Substitute Indexes of the W of sample company ₁, b ₁), (a ₂, b ₂), (a ₃, b ₃), these three interval non-overlapping copies, and the actual computation value of the Substitute Indexes of the W of the sample company in " relatively sane ", " early warning ", " Financial Distress " three kinds of financial positions falls into respectively this three intervals respectively;

(4) calculate the W-index of targeted company to be assessed, judge its financial position according to the calculated value of W-index, if W-index falls into interval (a ₁, b ₁), judge that Comments on Companies'Financial Condition is for " relatively sane ", if W-index falls into interval (a ₂, b ₂), judge that Comments on Companies'Financial Condition is for " early warning ", if W-index falls into interval (a ₃, b ₃), judge that Comments on Companies'Financial Condition is for " Financial Distress ".

With W-index in the time that the enterprise of serious crisis state (net assets are negative value) carries out financial crisis degree evaluation, W-index is made to following amendment:

$W={\mathrm{\&beta;}}_0+{\mathrm{\&beta;}}_1{X}_1+{\mathrm{\&beta;}}_2{X}_2+{\mathrm{\&beta;}}_3{X}_3+{\mathrm{\&beta;}}_4{X}_4+{\mathrm{\&beta;}}_5{X}_5+(\mathrm{sig}\left(X_6\right)\&CenterDot;\frac{1+a}{2}+\frac{1-a}{2})\&CenterDot;{\mathrm{\&beta;}}_6{X}_6,$ Wherein, sig (x) is sign function, and its value is defined as: $\mathrm{sig}\left(x\right)=\left\{\begin{array}{c}1,x>0\\ 0,x=0\\ -1,x<0\end{array}\right.,$ A is penalty coefficient, and assignment scope is: 1 < a < 10.

Claims (3)

1. a Company Financial the evaluation of the safe status method, is characterized in that, step is as follows:

(1) set up following Listed Companies index:

W＝β ₀+β ₁X ₁+β ₂X ₂+β ₃X ₃+β ₄X ₄+β ₅X ₅+β ₆X ₆，

Wherein,

Above Listed Companies index, is called for short W-index (W-score);

(2) X of various kinds our company, as sample, calculates according to Financial Statement of Listed Corporations data in the listed company based within the scope of randomly assigne extraction goal in research ₁～X ₆six desired values, use and the computable index of the Financial Crisis Horizontal correlation Substitute Indexes as W, carry out each parameter beta in linear regression calculative determination W-index ₀, β ₁..., β ₆;

(3) determine the interval (a corresponding to the W-index of " relatively sane ", " early warning ", " Financial Distress " three kinds of Comments on Companies'Financial Condition according to the actual value condition of the Substitute Indexes of the W of sample company ₁, b ₁), (a ₂, b ₂), (a ₃, b ₃), these three interval non-overlapping copies, and the actual computation value of the Substitute Indexes of the W of the sample company in " relatively sane ", " early warning ", " Financial Distress " three kinds of financial positions falls into respectively this three intervals respectively;

(4) calculate the W-index of targeted company to be assessed, judge its financial position according to the calculated value of W-index, if W-index falls into interval (a ₁, b ₁), judge that Comments on Companies'Financial Condition is for " relatively sane ", if W-index falls into interval (a ₂, b ₂), judge that Comments on Companies'Financial Condition is for " early warning ", if W-index falls into interval (a ₃, b ₃), judge that Comments on Companies'Financial Condition is for " Financial Distress ".

2. Company Financial the evaluation of the safe status method according to claim 1, is characterized in that, the Substitute Indexes of W can adopt the one in following index:

(1) binaryzation index, when stock exchange confirms that Company Financial or the normal seasonal W value of other situations are 1, when stock exchange confirms that Company Financial or the seasonal W value of other situations abnormal (listed company be called for short before titled with " ST ", " * ST ", " S*ST " or " SST ") are 0;

(2)

(3) the Logistic function of current rate

3. Company Financial the evaluation of the safe status method according to claim 1; it is characterized in that; with W-index in the time that the enterprise of serious crisis state (net assets are negative value) carries out financial crisis degree evaluation, W-index is made to following amendment: $W={\mathrm{\&beta;}}_0+{\mathrm{\&beta;}}_1{X}_1+{\mathrm{\&beta;}}_2{X}_2+{\mathrm{\&beta;}}_3{X}_3+{\mathrm{\&beta;}}_4{X}_4+{\mathrm{\&beta;}}_5{X}_5+(\mathrm{sig}\left(X_6\right)\&CenterDot;\frac{1+a}{2}+\frac{1-a}{2})\&CenterDot;{\mathrm{\&beta;}}_6{X}_6,$ Wherein, sig (x) is sign function, and its value is defined as: $\mathrm{sig}\left(x\right)=\left\{\begin{array}{c}1,x>0\\ 0,x=0\\ -1,x<0\end{array}\right.,$ A is penalty coefficient, and assignment scope is: 1 < a < 10.