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国内上市公司发生ST可以看作违约,现有的研究基本基于静态的判别分析。本文提出了基于Cox模型的动态违约预报模型,考虑了多阶段财务状态变量对违约强度的影响。选取1998年以前国内A股市场上市的公司作为样本,发现流动比率、其它应收款/总资产和资产周转率等财务指标对公司是否发生ST有显著影响,且其它应收款占比影响较大,投资者应当提高警惕。同时还发现,我国的证券市场还处于初期的不断调试完善阶段,模型存在微小的结构性变化。本文还针对训练样本外的测试样本做了预报检验,并以Logit模型作为对比,发现二者均可以进行违约预报,且基于Cox的动态模型优于传统的Logit模型。
The occurrence of domestic listed companies ST can be seen as a default, the existing research is basically based on static discriminant analysis. This paper presents a dynamic default forecasting model based on Cox model, considering the impact of multi-stage financial state variables on the intensity of default. Select the companies listed in the domestic A-share market before 1998 as a sample and find out that the financial indicators such as current ratio, other receivables / total assets and asset turnover rate have a significant impact on the occurrence of ST of the company and the impact of other receivables proportion Large, investors should be vigilant. At the same time, it is also found that China’s securities market is still in the initial stage of continuous improvement and debugging, and the model has slight structural changes. In addition, the paper also tests the test samples out of the training samples and compares it with the Logit model. It can be found that both of them can predict the default, and the dynamic model based on Cox is better than the traditional Logit model.