我國上市公司資產(chǎn)重組績效預測方法的實證研究
發(fā)布時間：2018-07-22 20:18
【摘要】：隨著我國證券市場的發(fā)展,上市公司面臨財務狀況異�；蚱渌惓Ｇ闆r,資產(chǎn)重組便成為許多上市公司進行改善績效的重要方法之一,它將作為證券市場里最能體現(xiàn)市場效率、最具創(chuàng)新活力的一環(huán)在我國上市公司中不斷上演。究其原因,主要是由于資產(chǎn)重組可以幫助ST公司調(diào)整產(chǎn)業(yè)結構、優(yōu)化資源配置、改善企業(yè)經(jīng)營結構,提高資產(chǎn)營運績效,從而實現(xiàn)成功摘帽。而資產(chǎn)重組績效預測則是作為對ST公司在重組前進行判斷其能否成功摘帽的一種方式,在公司的經(jīng)營管理中扮演著舉足輕重的角色。因此,如何對ST公司進行資產(chǎn)重組績效預測以及如何提高其預測準確率是刻不容緩的。 本文以上市公司資產(chǎn)重組作為研究對象,由于收集的數(shù)據(jù)集顯示重組成功的企業(yè)與重組失敗的企業(yè)的數(shù)目存在較大的非平衡性,雖然這是符合客觀實際,但是相對傳統(tǒng)的機器學習算法來說,通常會產(chǎn)生偏向多數(shù)類的結果,因而對于具有重要作用的少數(shù)類而言,預測的效果會相對較差。為了提高準確率,本文對收集的數(shù)據(jù)進行了平衡性處理。之后,利用單一預測模型來判斷企業(yè)資產(chǎn)重組是否取得好的效果,并且選用十種方法進行性能比較,其中包括logit、probit、SVM、 MDA、CBR、BaggingLOGIT、BaggingSVM、BaggingPROBIT、BaggingCBR和BaggingMDA。結果顯示：SVM和CBR模型對上市公司資產(chǎn)重組績效的判斷準確率要優(yōu)于其它八種預測模型,也就是說這些模型可以判斷出80%以上的ST公司能否在資產(chǎn)重組后1年恢復上級狀態(tài)。通過此次研究,我們可以為ST公司能否通過資產(chǎn)重組來改善企業(yè)績效提供一定的理論依據(jù)。 其次,為了提高我國上市公司資產(chǎn)重組績效預測的準確性,本文在單一預測模型的基礎上對預測模型進行了改進,采用不同與前人對資產(chǎn)重組績效研究的方法,應用聚類混合分類器與單一預測模型以及聚類融合分類器與單一預測模型相結合,建立了十種新的預測模型,即CLOGIT、CPROBIT、CMDA、CSVM、 CCBR、BaggingCLOGIT、BaggingCPROBIT、BaggingCMDA、BaggingCSVM和BaggingCCBR對資產(chǎn)重組績效進行預測并且對這十種模型進行性能的比較。結果顯示：聚類融合算法與聚類算法建立的模型無論是在準確率還是在真正率和真負率方面都有積極的表現(xiàn)。其中,在準確率和真負率方面,通過聚類混合建立的模型的預測均值要高于聚類融合分類方法建立的模型；而對于真正率,聚類融合分類得到的均值要優(yōu)于聚類混合方法建立的模型。 再次,為了對以上建立的二十種模型進行驗證,本文另外收集了2011-2012年的ST公司作為新樣本集進行分析,檢驗對上市公司資產(chǎn)重組績效預測研究的重要性以及本文所用各個資產(chǎn)重組預測模型的實用價值。實驗結果表明傳統(tǒng)統(tǒng)計模型的預測結果次于人工智能方法建立的模型。其中,支持向量機及其集成、聚類形成的模型的預測結果在非平衡數(shù)據(jù)還是平衡數(shù)據(jù)中均相對穩(wěn)定且效果較好,而案例推理及其集成、聚類形成的模型的預測結果在非平衡數(shù)據(jù)中相對較好。 最后,本文對其研究進行總結,并指出了相關的管理啟示,在實際應用中具有重要的作用,并為企業(yè)管理者進行決策提供了一定的理論依據(jù)。
[Abstract]:With the development of China's securities market, listed companies are faced with abnormal financial conditions or other abnormal conditions. Asset reorganization has become one of the most important ways for many listed companies to improve their performance. It will be performed in the listed companies in our country as the most efficient and innovative part of the stock market. The main reason is that the asset reorganization can help ST company to adjust the industrial structure, optimize the allocation of resources, improve the enterprise management structure, improve the performance of the operation of the assets, and thus achieve the success of the cap. It plays an important role. Therefore, how to predict the performance of ST assets restructuring and how to improve its accuracy is urgent.
This paper takes the assets reorganization of the listed companies as the research object. As the collection of data sets shows that the number of successful restructuring enterprises and the number of enterprises that have failed to reorganize has a large non balance. Although this is in accordance with the objective reality, the result is usually biased toward the majority of the traditional machine learning algorithms. In order to improve the accuracy, this paper deals with the collected data in order to improve the accuracy. Then, the single prediction model is used to determine whether the enterprise asset reorganization has achieved good results, and the ten methods are selected for performance comparison, including logit, probit, SVM, MDA, CBR, Ba. The results of ggingLOGIT, BaggingSVM, BaggingPROBIT, BaggingCBR and BaggingMDA. show that the accuracy of SVM and CBR model is better than the other eight forecasting models for the performance of the listed companies' assets reorganization, that is to say, these models can judge whether more than 80% ST companies can recover their superior state in 1 years after the restructure. Through this study We can provide a theoretical basis for ST company to improve its performance through asset restructuring.
Secondly, in order to improve the accuracy of asset reorganization performance prediction in China's listed companies, this paper improves the prediction model on the basis of a single prediction model, adopts the methods of different and previous research on the performance of asset reorganization, and applies the mixed classifier and the single predictive model, the Clustering Fusion classifier and the single prediction model. Combined, ten new prediction models are established, that is, CLOGIT, CPROBIT, CMDA, CSVM, CCBR, BaggingCLOGIT, BaggingCPROBIT, BaggingCMDA, BaggingCSVM and BaggingCCBR are used to predict the asset reorganization performance and compare the performance of the ten models. The results show that the cluster fusion algorithm and the clustering algorithm are in the model The accuracy rate is also positive in both real and true negative rates. In terms of accuracy and true negative, the mean value of the model established by cluster mixing is higher than that of the clustering fusion classification method, while the mean value of the clustering fusion classification is better than the model established by the clustering method for the real rate.
Thirdly, in order to verify the twenty models established above, this paper also collected 2011-2012 years' ST company as a new sample set to analyze the importance of the performance prediction research on the assets reorganization of the listed companies as well as the practical value of the asset reorganization prediction model used in this paper. The experimental results show the traditional statistical model. The prediction results are second to the model established by artificial intelligence methods. Among them, the prediction results of the support vector machine and its integration, the prediction results of the clustering model are relatively stable in the unbalanced data or in the balanced data, and the case reasoning and its integration, the prediction results of the model formed by the cluster are relatively better in the non balanced data.
Finally, this paper summarizes the research, and points out the related management enlightenment, and plays an important role in the practical application, and provides a certain theoretical basis for the enterprise managers to make decisions.
【學位授予單位】：浙江師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275
本文編號：2138455
[Abstract]:With the development of China's securities market, listed companies are faced with abnormal financial conditions or other abnormal conditions. Asset reorganization has become one of the most important ways for many listed companies to improve their performance. It will be performed in the listed companies in our country as the most efficient and innovative part of the stock market. The main reason is that the asset reorganization can help ST company to adjust the industrial structure, optimize the allocation of resources, improve the enterprise management structure, improve the performance of the operation of the assets, and thus achieve the success of the cap. It plays an important role. Therefore, how to predict the performance of ST assets restructuring and how to improve its accuracy is urgent.
This paper takes the assets reorganization of the listed companies as the research object. As the collection of data sets shows that the number of successful restructuring enterprises and the number of enterprises that have failed to reorganize has a large non balance. Although this is in accordance with the objective reality, the result is usually biased toward the majority of the traditional machine learning algorithms. In order to improve the accuracy, this paper deals with the collected data in order to improve the accuracy. Then, the single prediction model is used to determine whether the enterprise asset reorganization has achieved good results, and the ten methods are selected for performance comparison, including logit, probit, SVM, MDA, CBR, Ba. The results of ggingLOGIT, BaggingSVM, BaggingPROBIT, BaggingCBR and BaggingMDA. show that the accuracy of SVM and CBR model is better than the other eight forecasting models for the performance of the listed companies' assets reorganization, that is to say, these models can judge whether more than 80% ST companies can recover their superior state in 1 years after the restructure. Through this study We can provide a theoretical basis for ST company to improve its performance through asset restructuring.
Secondly, in order to improve the accuracy of asset reorganization performance prediction in China's listed companies, this paper improves the prediction model on the basis of a single prediction model, adopts the methods of different and previous research on the performance of asset reorganization, and applies the mixed classifier and the single predictive model, the Clustering Fusion classifier and the single prediction model. Combined, ten new prediction models are established, that is, CLOGIT, CPROBIT, CMDA, CSVM, CCBR, BaggingCLOGIT, BaggingCPROBIT, BaggingCMDA, BaggingCSVM and BaggingCCBR are used to predict the asset reorganization performance and compare the performance of the ten models. The results show that the cluster fusion algorithm and the clustering algorithm are in the model The accuracy rate is also positive in both real and true negative rates. In terms of accuracy and true negative, the mean value of the model established by cluster mixing is higher than that of the clustering fusion classification method, while the mean value of the clustering fusion classification is better than the model established by the clustering method for the real rate.
Thirdly, in order to verify the twenty models established above, this paper also collected 2011-2012 years' ST company as a new sample set to analyze the importance of the performance prediction research on the assets reorganization of the listed companies as well as the practical value of the asset reorganization prediction model used in this paper. The experimental results show the traditional statistical model. The prediction results are second to the model established by artificial intelligence methods. Among them, the prediction results of the support vector machine and its integration, the prediction results of the clustering model are relatively stable in the unbalanced data or in the balanced data, and the case reasoning and its integration, the prediction results of the model formed by the cluster are relatively better in the non balanced data.
Finally, this paper summarizes the research, and points out the related management enlightenment, and plays an important role in the practical application, and provides a certain theoretical basis for the enterprise managers to make decisions.
【學位授予單位】：浙江師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275
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