Researches On Predicting Of Financial Crisis In Chinese Listed Companies

Since China's accession to WTO, a large amount of multinationals swamp into China, resulting in that domestic companies have to seize opportunities in contests and challengers for better development, or they will fall into financial crisis. Once financial crisis hits on a company, not only the subsistence and development of the company itself will be threatened, but the interest of investors,creditors and even our motherland will be affected. For maximizing avoiding crisis and mitigating loss, a crisis pre-warning system should be constructed to diagnose beforehand the sign of company's heading into financial crisis and take correspond actions, which can improve company's ability of anti-crisis and protect interests of stakeholders. Hence the establishment of a consummate financial crisis pre-warning model is of great practical significance.Based on the review of domestic and foreign research on company's financial pre-warning field, through the use of principal-agent theory, option pricing theory, the dissertation analyzes the relationship among corporate governance,stock price and its volatility and financial crisis from the angles of corporate governance and capital market. Through the use of option pricing model based on KMV model, we apply 1stopt and excel softwares to figure out default distance indicator, and verify theoretically and empirically that default distance indicator suits to crisis warning to listed companies. We also find that the default distance in the second year before a company is Special Treated (STed) changes significantly, and since the process that a company falls into crisis is active and successive, so this dissertation focuses on the second year before a company is STed. Therefore, during the course of model construction, we would not only consider financial indicators,non-financial indicators on corporate governance, but import default distance indicator reflecting listed companies'stock price and its volatility , resulting in constructing a comprehensive pre-warning model based on financial,corporate governance and default distance indicators.This dissertation chooses 58 crisis companies which are STed in 2008-2209 for the abnormal financial status and 58 corresponding companies in normal financial status, according to 1:1 matched principal of similar asset scale and industry , to be the model samples. We rest on the T-2 year data, carry on matched sample t-test on 23 financial indicators,13 corporate governance indicators and default distance indicator, pick up indicators influencing financial crisis significantly to make correlation test and eliminate high correlated indicators, construct Logit regression model one based on financial variables and then combining with corporate governance construct Logit regression model two based on financial and corporate governance indicators, and finally we construct comprehensive pre-warning model three based on financial,corporate governance and default distance indicators. Through the comparative analysis of regression results, we find that the comprehensive model three added corporate governance and default distance indicators superior to the other two models, illuminating default distance indicator have proper predictability to financial crisis.