关键词: 新三板, 财务困境, 临时报告, 软信息, 主题模型

Abstract:

Chinese “New Third Board” market plays an important role in providing financial services for small and medium-sized enterprises. However， with the rapid expansion of this market， the number of firms in financial distress is increasing year by year， which brings severe risk for investments. With the emergence of China as one of the leading markets for international investors， the “New Third Board” market has attracted increasing attention. Hence， predicting financial distress of firms in this market could provide strong support for investors and creditors， especially those in China， to make investment decisions and avoid investment risk. However， compared with listed firms， “New Third Board” firms have longer disclosure cycle of accounting information， and poorer continuity of market trading information， which makes their financial distress prediction faced with severe challenges. In order to alleviate the problem of information asymmetry effectively， a method of financial distress prediction by integrating soft information in current reports is proposed. At first， extract effective features from current reports using a topic model， and combine with accounting features to predict financial distress for Chinese “New Third Board” firms. At the same time， the prediction performances using soft information in current reports or in periodic reports are compared. The results show that soft information in current reports can significantly improve the accuracy of financial distress prediction， while soft information in periodic reports has no significant predictive effect. The study is important in theory meaning and practical value. First， our research broadens the literature on using textual information for financial distress prediction. Second， the proposed method can also be applied to other similar scenarios where the current reports are available， such as credit risk evaluation of listed firms. Third， investors may consider combining soft information in current reports with accounting information to make better investment decisions.

Key words: New Third Board, financial distress, current report, soft information, topic model