基于Z-Score指标决策树的财务风险预警模型研究
Financial Risk Early Warning Model of Decision Tree Research Based on Z-Score Indicators
摘要:
财务风险预警模型是预测财务危机的主要手段之一。Z分数模型以其公式严谨、可操作性强等特点,被广泛应用。然而,Z分数模型是否适用于预警中国企业的财务危机仍存在争议。为此,归集了沪市上市公司2007~2013年的财务报表数据,实证发现ST公司与非ST公司的Z值线性不可分。揭示了:本质上为线性区分方法的Z分数模型存在局限性。因此,利用Z分数模型原有指标,提出了基于决策树的财务风险预警模型,解决Z分数模型失效问题。实证研究表明:所提出的预警模型提前3年预测ST公司财务危机的准确率达75.37%,提前1年预测的准确率达95.45%。
Abstract:
Financial risk early warning model is one of the primary means of forecasting financial crisis. Z-score model has been applied widely since it has precise formula and good practicability. However, as regard to the adequacy of using Z-score model to forecast financial crisis for domestic companies, there is a dispute. Therefore, we collect financial statements data from 2007-2013 of Shanghai listed companies, and prove that Z scores between ST companies and non-ST companies are linearly inseparable. It reveals that Z-score model with linear separable principle in nature, has its own limitation. Hence, this paper brings up a financial risk early warning model of decision tree based on Z-score indicators and it solves the problem of Z-score model. The empirical research shows that the decision model given by this paper can forecast financial crisis three years before it happens with 75.37% accuracy, and with 95.45% accuracy one year ahead of crisis occurance.
参考文献
[1]
|
常树春, 范文雨. 基于Z-score模型的汽车行业上市公司财务风险实证分析[J]. 商业会计, 2013(13): 89-91.
|
[2]
|
陈珍静. Z-score模型在我国上市公司财务预警中适用性的探讨——基于交通运输设备制造业的实证分析[J]. 国际商务财会, 2011(4): 60-63.
|
[3]
|
胡剑. 论企业财务风险的防范[J]. 会计师, 2014(4x): 47-48.
|
[4]
|
李艳. 基于Z-Score模型对我国社会服务业上市公司破产预测的实证分析[J]. 商, 2012(7): 84, 109.
|
[5]
|
邰丽娜. Atman’s Z-score模型对我国上市公司的适用性分析[J]. 财会研究, 2011(24): 49-51.
|
[6]
|
王芳云. 运用Z计分模型对上市公司财务风险的实证研究[J]. 山东纺织经济, 2005(5): 42-44.
|
[7]
|
向德伟. 运用“Z记分法”评价上市公司经营风险的实证研究[J]. 会计研究, 2002(11): 53-57.
|
[8]
|
徐秀渠. Altman’s Z-Score模型在企业风险管理中的应用研究[J]. 经济经纬, 2010(4): 103-106.
|
[9]
|
叶海英. 对上市公司财务预警的实证研究——Z计分模型[J]. 中国外资, 2011(24): 84-85.
|
[10]
|
张楚堂, 杨志强. 基于Z-score模型的国有公司财务分析[J]. 武汉理工大学学报, 2009(15): 145-149.
|
[11]
|
张蔚虹, 朱海霞. Z-Score模型对科技型上市公司财务风险预警的适用性检验[J]. 科技管理研究, 2012, 32(14): 228-231.
|
[12]
|
周剑涛, 庞文凤. Z-SCORE财务预警模型在上市公司应用的实证研究[J]. 财会通讯, 2009(24): 25-27.
|
[13]
|
Altman, I.E. (1968) Financial Ratios Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance, 4, 589-609.
|
[14]
|
Han. J. and Kamber, M. (2000) Data Mining: Concepts and Techniques.
|