Z模型与上市小公司ST.doc

Z模型与上市公司ST 摘 要 随着我国股票市场的发展完善、企业管理模式的进步、投资者理财观念的升级，证券市场上的各个主体对于能及早、准确的预测上市公司发生财务困境的需求越来越强烈。本文正是将国外非常有名的财务困境预测模型Z模型应用到我国的股票市场。由于在国内股票交易中实行的特殊政策，通常认为被实行特别处理（ST或*ST）就是公司出现财务困境的标志。因此，本文通过选取46家ST（或*ST）样本公司并对它们进行静态、动态的分析，归纳它们在被实行特别处理前五年间Z值的变化特点，找出支持这些特点的因素，从而验证了Z模型对于我国现行股市上市公司发生ST具有良好的预测能力和适用性。 本文的研究结论对于预测公司发生财务困境，有着很好的借鉴和参考价值，以此不同程度的满足市场上各参与者的需求。 关键词：财务困境，预测，Z模型，ST Z-score Model and Listed corporation(ST) in China Stock Market Abstract As the development of our stock market, the improvement of management style and the escalation of investors’ financing notion, the demands of betimes and accurately predicting financial problem become stronger and stronger. This dissertation tries to apply Z-score model, which is a famous financial problem prediction model, in China stock market. Special Treat (ST or *ST) is considered as the symbol of financial problem according to the national specific policies on securities exchange. So, in selection of 46 ST companies’ cases, this dissertation makes static analysis and demonstrative analysis, cites their characters in five years before their ST, finds the factors which support these characters and then validates the good prediction ability of Z-score model in China stock market. This conclusion is helpful for the prediction of financial problem, and then meets the requirements of market participators more or less. Key words: financial problem, prediction, Z-score model, ST 目 录 一、序言··················································1 二、文献回顾··············································1 三、Z模型介绍············································2 四、研究设计··············································3 （一）样本选择············································3 （二）指标定义············································3 （三）数据描述············································4 五、实证检验··············································4 （一）动态比较及结果······································4 （二）Z模型的适用性分析··································7 六、结论与局限性································