基于混频数据的中国上市公司财务困境动态预测研究

doi:10.16381/j.cnki.issn1003-207x.2021.1570

Abstract

Abstract:

In this paper， a mixed-frequency data driven financial distress prediction problem is considered. The exponential Almon weighting scheme of mixed-data sampling is introduced in the context of a Logistic regression， which allows for an individual weighting of high-frequent increments， hence distinguishing the importance of different macroeconomic period to explain the change of a listed companies’ financial status. In applying the suggested model to the period from 2007 to 2017， a total data set is used that includes 4 macroeconomic indicators of mixed annual， quarterly and monthly frequency and 15 potentially significant financial indicators of annual frequency for 350 Chinese listed manufacturing companies. The results show that （1） the model correctly classifies more financially distressed companies than classic Logistic model， in particular for forecasting horizons of 2-3 years. （2） The macroeconomic indicators observed at different frequency show their importance for both low frequency （annually） and high frequency （quarterly） financial distress prediction， while quarterly GDP growth rate and monthly inflation rate have more significant influence， both statistically and economically， on quarterly financial distress risk. All findings indicate that this paper provides a suitable approach incorporating mixed-frequency data for prediction of financial distress for listed companies in China.

Key words: financial distress prediction, mixed-frequency data, mixed data sampling method, high- frequency macroeconomic indicators, Chinese listed companies

CLC Number:

F224

Dawen Yan,Cun Li,Guotai Chi. Dynamic Financial Distress Prediction for Chinese Listed Companies Based on the Mixed Frequency Data[J]. Chinese Journal of Management Science, 2024, 32(1): 1-12.

Figures/Tables 7

References 32

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准则层	比率指标	指标计算公式	准则层	比率指标	指标计算公式
偿债能力	资产负债率x₁	总负债/总资产	运营能力	固定资产周转率x₉	销售收入/固定资产
	流动比率x₂	流动资产/流动负债		存货周转率x₁₀	主营业务成本/库存
	负债权益比x₃	总负债/股东权益总额		应收账款周转率x₁₁	主营业务收入/应收账款
	现金流量比x₄	经营现金流/流动负债	发展能力	总资产增长率x₁₂	总资产(t)/总资产(t-1)
	已获利息倍数x₅	息税前利润/利息费用	发展能力	净利润增长率x₁₃	净利润(t)/净利润(t-1)
盈利能力	销售净利率x₆	净利润/销售收入	结构稳健	固定资产比率x₁₄ 留存收益比率x₁₅	固定资产/总资产留存收益/总资产
	资产息税前利润率x₇	息税前利润/总资产
	资产收益率x₈	净利润/总资产

指标	含义	观测频率
失业率x₁₆	16岁~退休年龄间各省份失业人口占总人口的比率	年度
行业景气指数x₁₇	反映行业各种指标及行业经济变动趋势的综合指数	年度
GDP增长率z	相比去年同一季度，各省份国内生产总值的增长比率	季度
通货膨胀率u	相比去年同一月度，各省份居民消费价格指数的增长比率	月度

(1)指标	(2)系数	(3) t-2模型	(4) t-3模型	(5) t-5模型
0常数项	α₀	48.5007^***(4.9052)	38.4372^***(5.2665)	23.4600^***(5.2293)
1资产负债率x₁	α₁	2.6462^***(1.2841)	-1.0373^***(0.3585)	6.8691^***(2.2271)
2流动比率x₂	α₂	1.1579(0.9563)	-4.6940^***(0.9326)	-3.1324^***(0.1637)
3负债权益比x₃	α₃	-3.6017(0.7041)	2.1503(2.2682)	-0.1856(2.4453)
4现金流量比x₄	α₄	-0.2972(1.1972)	-6.1454^***(1.0784)	-5.8332^***(1.8972)
5已获利息倍数x₅	α₅	0.9237^*(0.5453)	×	-0.8394(0.5224)
6销售净利率x₆	α₆	2.4140(2.4556)	4.2932^*(2.3432)	-7.4336^*(4.2062)
7资产息税前利润率x₇	α₇	-50.9031^***(11.5141)	-3.7502^**(1.5101)	-0.4948(2.2386)
8资产收益率x₈	α₈	-27.9293(26.7271)	-18.0771^***(2.2723)	-4.9597(5.0262)
9固定资产周转率x₉	α₉	-11.9335^***(4.9082)	-2.3592(1.9678)	1.2494(1.0791)
10存货周转率x₁₀	α₁₀	×	×	×
11应收账款周转率x₁₁	α₁₁	3.1294(2.4213)	-1.2040^***(0.9236)	×
12总资产增长率x₁₂	α₁₂	0.4134(0.5984)	-5.2313(4.7213)	0.3792(2.0024)
13净利润增长率x₁₃	α₁₃	-14.1819(13.1423)	-1.8842(9.0582)	0.2386(0.5952)
14固定资产比率x₁₄	α₁₄	2.2948^***(0.0457)	2.7019^***(0.2085)	3.7465^***(0.6946)
15留存收益比率x₁₅	α₁₅	-5.6279^**(2.8836)	-32.8794^***(2.9702)	-19.8504^***(3.8592)
16失业率x₁₆	α₁₆	0.7719^*(0.5457)	1.0869^***(0.2241)	1.5802^***(0.4781)
17行业景气指数x₁₇	α₁₇	0.6536(0.5223)	-0.1792(0.2625)	0.9342(0.7756)
18GDP增长率z	β₁	-0.3582^***(0.0176)	-0.1265^***(0.0502)	-0.6361^***(0.1647)
	θ₁	-0.0070	0.0067	0.0040
	θ₂	-0.0090	0.0706	0.0030
19通货膨胀率u	β₂	1.0681^***(0.0653)	0.0164(0.03274)	1.0424^*(0.6562)
	η₁	0.0025	0.0016	0.0090
	η₂	0.0054	0.0035	0.0024

(1)模型		(2)AUC	(3)ACC	(4)G-mean	(5)F-Score	(6)Recall	(7)KS
t-2	混频逻辑回归	0.9662	0.9355	0.9349	0.9333	0.9032	0.9355
t-2	同频逻辑回归	0.9532	0.9032	0.8980	0.8929	0.8065	0.8387
t-3	混频逻辑回归	0.9146	0.8226	0.8216	0.8308	0.8710	0.7097
t-3	同频逻辑回归	0.8522	0.7742	0.7735	0.7813	0.8065	0.6129
t-5	混频逻辑回归	0.8835	0.7742	0.7735	0.7823	0.8266	0.5806
t-5	同频逻辑回归	0.8262	0.7581	0.7496	0.7826	0.8710	0.5484

(1)指标	(2)系数	(3)窗口t-2(q=2)	(4)窗口t-3(q=3)	(5)窗口t-4(q=4)
0常数项	α₀	8.5975^***(0.3667)
1资产负债率x₁	αq_,1	0.5989^***(0.0333)	1.3978^***(0.0245)	0.3676^***(0.0876)
2流动比率x₂	αq_,₂	-0.9103(1.5874)	1.1409(0.9587)	-2.0151(1.9623)
3负债权益比x₃	αq_,₃	0.9917^***(0.0504)	0.2854^***(0.0183)	0.5796^***(0.0442)
4现金流量比x₄	αq_,₄	-2.5197^***(0.1023)	-1.0214^***(0.0130)	-1.1055^*** (0.0454)
5已获利息倍数x₅	αq_,₅	-0.7927(1.7894)	0.7314^*(0.8889)	-0.3904(0.6567)
6销售净利率x₆	αq_,₆	-3.0491^***(1.021)	2.0250^*(1.4495)	7.3009^***(1.9680)
7资产息税前利润率x₇	αq_,₇	-5.9187^***(1.5787)	-1.2960^***(0.2236)	-3.2754^***(0.7685)
8资产收益率x₈	αq_,₈	-1.0137(1.6874)	1.2557(1.1500)	-0.8195^*(0.5588)
9固定资产周转率x₉	αq_,₉	1.6113^*(0.7136)	0.6163(0.4905)	0.0607(0.2355)
10存货周转率x₁₀	αq_,₁₀	1.0285(1.2422)	-2.2346^**(0.9441)	-24.3844^***(4.6687)
11应收账款周转率x₁₁	αq_,₁₁	-3.9888^*(2.0634)	-1.7021^***(0.1027)	1.8192^***(0.7372)
12总资产增长率x₁₂	αq_,₁₂	-70.2358^***(4.2916)	-22.8505^***(2.1676)	-5.6760^***(1.3165)
13净利润增长率x₁₃	αq_,₁₃	0.0114(0.516)	0.2457(0.5246)	1.2030(0.8727)
14固定资产比率x₁₄	αq_,₁₄	1.6477^*(1.0260)	-0.9541(0.8432)	1.3517(1.0659)
15留存收益比率x₁₅	αq_,₁₅	2.3330^***(0.3314)	-2.3260^***(0.3140)	-4.2075^***(0.1726)
16失业率x₁₆	αq_,₁₆	0.3960(0.7465)	-0.4546(0.5045)	-0.1927^*(0.1002)
17行业景气指数x₁₇	αq_,₁₇	-1.1788^***(0.0294)	-2.4315^***(0.3326)	-1.9079^***(0.1143)
18GDP增长率z	β₁	-1.0498^***(0.0244)	×	×
	θ₁	-0.0738	×	×
	θ₂	-0.3186	×	×
19通货膨胀率u	β₂	1.7826^***(0.0770)	×	×
	η₁	-0.0957	×	×
	η₂	-0.4230	×	×

Dynamic Financial Distress Prediction for Chinese Listed Companies Based on the Mixed Frequency Data

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(1) 企业名称(代码)	(2) P(Y_i_,2017+1/4=1)	(3) P(Y_i_,2017+2/4=1)	(4) P(Y_i_,2017+3/4=1)	(5) P(Y_i_,2017+4/4=1)	(6) 实际标签
1*ST沪科(600608.SH)	0.7080	0.5235	0.4995	0.5973	(1,1,1,1)
2*ST佳电(000922.SZ)	0.5909	0.4319	0.5461	0.6307	(1,1,1,1)
3*ST昌九(600228.SH)	0.5074	0.4507	0.5994	0.5661	(1,1,1,1)
…	…	…	…	…	…
31航天电子(600879.SH)	0.0602	0.0608	0.0799	0.1072	(0,0,0,0)
32晋西车轴(600495.SH)	0.0689	0.0389	0.0816	0.0662	(0,0,0,0)
33阳光照明(600261.SH)	0.0371	0.0261	0.0501	0.0582	(0,0,0,0)
…	…	…	…	…	…
59*ST重钢(601005.SH)	0.9133	0.8317	0.8329	0.8622	(0,1,1,1)
60*ST昌鱼(600275.SH)	0.6703	0.1255	0.2273	0.3060	(0,1,1,1)
61*ST德力(002571.SZ)	0.1194	0.1018	0.1270	0.1616	(0,1,1,1)
62*ST三泰(002312.SZ)	0.1081	0.0708	0.1107	0.1149	(0,1,1,1)

(1)模型	(2) AUC	(3) ACC	(4) G-mean	(5) F-Score	(6)Recall	(7) KS
第一季度模型	0.8176	0.8226	0.8036	0.5600	0.7778	0.6080
第二季度模型	0.9365	0.6452	0.5388	0.4500	0.2903	0.7742
第三季度模型	0.9417	0.6613	0.5680	0.4878	0.3226	0.7419
第四季度模型	0.9438	0.7097	0.6476	0.5909	0.4194	0.7419

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