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Open Access Article

Advances in International Finance. 2020; 2: (2) ; 25-39 ; DOI: 10.12208/j.aif.20200004.

Research on Forecasting Model of Financial Restatement: Empirical Evidence Based on Paired-sample Data of A-share Listed Companies
财务重述预测模型研究:基于A股上市公司配对样本的经验证据

作者: 张长征*, 魏西, 杨丹

西安理工大学 经济与管理学院

*通讯作者: 张长征,单位:西安理工大学 经济与管理学院;

发布时间: 2020-08-05 总浏览量: 1049

摘要

基于财务重述形成机理的研究文献,整合运营特征、组织特征、高管特征和治理特征四类因素。以2011-2016年中国沪、深两市A股所有符合筛选标准的财务重述上市公司为初始样本,采用最近邻匹配法,在同一年度、同一行业内以总资产规模最相似为标准选择其配对上市公司,成功构建包含848条对称观测数据的“财务重述-非财务重述”配对样本。应用一元线性回归和二次曲线回归进行因素初筛,构建包含31个预测因子的初始财务重述预测模型。应用多元逐步回归法对初始模型变量进行检验、筛选与优化,形成包含23个预测因子、预测准确度高达88.2%的财务重述预测模型。该模型具有实用价值,为监管机构对上市公司财务报告质量监督提供了有效工具。

关键词: 财务重述;预测模型;财务报告质量;最近邻匹配法

Abstract

Based on the research literature on the formation mechanism of financial restatement, the paper integrates four kinds of factors: operational characteristics, organizational characteristics, executive characteristics and governance characteristics.Taking all listed financial restatement companies complying with screening criteria in Shanghai and Shenzhen A-shares from 2011 to 2016 as initial samples, the nearest neighbor matching method is used to select the matching companies in the same year and industry, based on the criterion that the difference of total assets is the least. A paired sample of “financial restatement-non-financial restatement” with 848 symmetrical observations is successfully constructed.Linear regression and quadratic regression are used to screen the factors and construct an initial financial restatement prediction model with 31 predictive factors.The variable of the initial model is tested, screened and optimized by multiple stepwise regression method, and a financial restatement prediction model with 23 prediction factors and 88.2% prediction accuracy is formed.The model has practical value and provides an effective tool for supervising the quality of financial reports of listed companies.

Key words: financial restatement; forecasting model; quality of financial reporting; nearest neighbor matching method

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引用本文

张长征, 魏西, 杨丹 财务重述预测模型研究:基于A股上市公司配对样本的经验证据[J]. 国际金融进展, 2020; 2: (2) : 25-39.