predicting financial distress of companies预测公司财务困境

PREDICTING FINANCIAL DISTRESS OF COMPANIES: 预测公司财务困境： REVISITING THE Z-SCORE AND ZETA MODELS 再论 Z-SCORE 和 ZETA MODELS Edward I. Altman* Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA Models Background 背景 This paper discusses two of the venerable models for assessing the distress of industrial corporations.本文讨论两种评估实业公司困境的古老模型。 These are the so-called Z-Score model (1968) and ZETA 1977) credit risk model.他们就是所谓的 Z-Score 模型（1968）和 ZETA 信用风险模型。 Both models are still being used by practitioners throughout the world.他们至今仍被广泛的使用 着。 The latter is a proprietary model for subscribers to ZETA Services, Inc. (Hoboken, NJ). 后 者是 ZETA Services,Inc.(Hoboken,NJ)用户的专用模型。 The purpose of this summary are two-fold.这篇总结的目的有两个方面。 First, those unique characteristics of business failures are examined in order to specify and quantify the variables which are effective indicators and predictors of corporate distress. 首先，检查那些企业倒闭的 特性用来指出和确定企业困境有效的指标和预测值的数量。 By doing so, I hope to highlight the analytic as well as the practical value inherent in the use of financial ratios. 如此，我希望强 调财务比率运用中天生的分析和实践价值。 Specifically, a set of financial and economic ratios will be analyzed in a corporate distress prediction context using a multiple discriminant statistical methodology.具体地说，是使用多个判别统计方法将一系列财务和经济比率在一 个企业困境预期的环境中进行分析。 Through this exercise, I will explore not only the quantifiable characteristics of potential bankrupts but also the utility of a much-maligned technique of financial analysis: ratio analysis.通过这个操作，我不仅将探讨潜在破产的可计量 特性，也将探讨比率分析这个财务分析中备受质疑的方法的实用价值。 Although the models that we will discuss were developed in the late 1960s and mid-1970s, I will extend our tests and findings to include application to firms not traded publicly, to non-manufacturing entities, and also refer to a new bond-rating equivalent model for emerging markets corporate bonds.将被 讨论的模型在 20 世纪 60 年代末期和 70 年代中期已经成熟，尽管如此，我会把测验和研究 结果拓展至包含未上市企业的申请和非制造业团体，也会结合新型市场公司债券的债券评 级等值模型。 The latter utilizes a version of the Z-Score model called Z”.后者用的是 Z-Score 的一个变型，称作“Z” 。 This paper also updates the predictive tests on defaults and bankruptcies through the year 1999. 本文亦更新预测性测试数值和 1999 年的破产。 As I first wrote in 1968, and it seems even truer in the late 1990s, academicians seem to be moving toward the elimination of ratio analysis as an analytical technique in assessing the performance of the business enterprise. 院士们似乎致力于把淘汰的比率分析当作获得企业 效率的一种分析技术，正如我在 1968 年首次写到，在 90 年代末期变得更为真实的一样。 Theorists downgrade arbitrary rules of thumb (such as company ratio comparisons) widely used by practitioners.理论家们贬低了为实践者所广泛使用 的任意性规则（例如公司率比较） 。 Since attacks on the relevance on ratio analysis emanate from many esteemed members of the scholarly world, does this mean that ratio analysis is limited to the world of “nuts and bolts?”当学界许多受尊敬成员向比率分析相 关性做出攻击时，这是否是说比率分析被禁锢在“螺帽和螺栓”的世界中？ Or, has the significance of such an approach been unattractively garbed and therefore unfairly handicapped?或者说，这种观点的重 要性被包装的不那么引人注目，因此呗不公正的对待？ Can we bridge the gap, rather than sever the link, between traditional ratio analysis and the more rigorous statistical techniques which have become popular among academicians in recent years?我们能否在传统比 率分析和更加严谨的统计技术之前架通隔阂，而不是像近年来在院士们中流行的那样，切 断联系呢？ Along with our primary interest, corporate bankruptcy, I am also concerned with an assessment of ratio analysis as an analytical technique. 和我们首要关注的企业破产一道，我也关注比率分析的评估 将其认为是一种分析技术。 It should be pointed out that the basic research for much of the material in this paper was performed in 1967 and that several subsequent studies have commented upon the Z-Score model and its effectiveness, including an adaptation in 1995 for credit analysis of emerging market corporates. 需要指出的是本文中多数作为材料的基础研究在 1967 年完成，随后的研究对 Z-Score 模型做了讨论，它的成果包括在 1995 年为新兴市场企业的信用分析所采用。 And, this author has co-developed a “second generation” model (ZETA) which was developed in 1976. 这位作者还在 1976 年共同开发了“第二代”模型（ZETA） 。 Traditional Ratio Analysis 传统比率分析 The detection of company operating and financial difficulties is a subject which has been particularly amenable to analysis with financial ratios.公司运作和财务困境的检测实际上适用 于财务比率的分析。 Prior to the development of quantitative measures of company performance, agencies were established to supply a qualitative type of information assessing the credit-worthiness of particular merchants.先于公司绩效的定量措施的 发展，成立了相关机构提供定性信息来评估特定商人的信用度。 (For instance, the forerunner of the well-known Dun MDA in its most simple form attempts to derive a linear combination of these characteristics which “best discriminates between the groups.当数组建立后，为组群中的对象收集了数据；MDA 以其最 简单的形式企图导出这些能最佳区分组群特性的线性组合。 If a particular object, for instance, a corporation, has characteristics (financial ratios) which can be quantified for all of the companies in the analysis, the MDA determines a set of discriminant coefficients.例如，一个特定目标 一家公司的特 性（财务比率）能够确定这个分析中所有公司数量，MDA 就确定了一系列判别系数。 When these coefficients are applied to the actual ratios, a basis for classification into one of the mutually exclusive groupings exists.当这 些系数应用于具体比率时，存在一个相互排斥组群之一类型的基底。 The MDA technique has the advantage of considering an entire profile of characteristics common to the relevant firms, as well as the interaction of these properties.MDA 技术具有全面 研究同类相关公司特性的优势，如同研究这些特性的相互作用一样。 A univariate study, on the other hand, can only consider the measurements used for group assignments one at a time. 另一方面，单变量研究只能够一次一个地研究用于组群分配的量度。 Another advantage of MDA is the reduction of the analysts space dimensionally, that from the number of different independent variables to G-1 dimension(s), where G equals the number of original a priori groups.MDA 的另一个优势是一寸寸缩减分析人员的空间，那就是 说，从不同独立变量的数量至 G 等于最初先验组群数量的 G-1 范畴。 This analysis is concerned with two groups, consisting of bankrupt and nonbankrupt firms.这个熟悉关注于由破产和非破产组成的两个组群。 Therefore, the analysis is transformed into its simplest form one dimension.因此，这个分析转变为它最简单的形式：一维。 The discriminant function, of the form Z = V1X1 + V2X2 + VnXn transfor the individual variable values to a single discriminant score, or z value, which is then used to classify the object where V1, X2, . . . . Vn = discriminant coefficients, and V1, X2, . . . . Xn = independent variables 以 Z=V1X1+V2X2+VnXn 格式出现的判别功能将个别变量值转化成单个判别数值，或 者 z 的值接下来用于对目标进行分类，当 V1, X2, . . . . Vn = discriminant coefficients, and V1, X2, . . . . Xn = independent variables。 The MDA computes the discriminant coefficient; Vi while the independent variables Xi are th actual values. MDA 计算判别因数 Vi 当独立变量 Xi 为实际值时。 When utilizing a comprehensive list of financial ratios in assessing a firms bankruptcy potential, there is reason to believe that some of the measurements will have a high degree of correlation or collinearity with each other. 当利用综合财务比率获取一家公司的破产可能性时， 有理由相信一些量度彼此会有高度相关性或共线性。 While this aspect is not serious in discriminant analysis, it usually motivates careful selection of the predictive variables (ratios).虽然这方面在判 别分析中不太重要，但它经常推动预测变量（比率）的谨慎选择。 It also has the advantage of potentially yielding a model with a relatively small number of selected measurements which convey a great deal of information.它也具有潜在地获取相对较小数量的 承载 大量信息度量模型的优势。 This information might very well indicate differences among groups, but whether or not these differences are significant and meaningful is a more important aspect of the analysis. 这个信息可能很好地暗示了组群间的区别，但这些区别是否 重要，是否意义非凡却是这个分析更为重要的一方面。 Perhaps the primary advantage of MDA in dealing with classification problems is the potential of analyzing the entire variable profile of the object simultaneously rather than sequentially examining its individual characteristics.也许 MDA 在处理分类问题中的首要优势 是同时客