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An Empirical Study On The Credit Risk Of A-share Manufacturing Companies In China

Posted on:2017-01-19Degree:MasterType:Thesis
Country:ChinaCandidate:C Y BianFull Text:PDF
GTID:2309330485482129Subject:Applied statistics
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Manufacturing is an important sector of our national economy, the 2008 global financial crisis exerted a significant impact on China’s manufacturing industry.The government’s four-trillion investment plan boomed the economy in the short term, and manufacturing output once reached its peak. However, with the rapid expansion of production capacity, some of the industry’s major enterprises found themselves in a situation with excess capacity. After the year of 2012, insufficient market demand led to overstocked products,and this in turn resulting in reduced income and shrinking profits.2016 is the first year of the thirteen five-year plan.There exists challenges as well as opportunities for the entire manufacturing industry.Our country has issued the "China Manufacturing 2025 plan", trying to change the status of "big but not strong". From a global perspective, the United States proposed the "re-industrialization" policy, and Germany proposed the "Industry 4.0" concept. Therefore, research on the credit risk of domestic manufacturing enterprises has important policy and economic significance.A-share listed companies are usually the leading enterprises in their fields, to a certain extent, representing the credit risk of the whole industry. In this paper, we choose the A-share listed manufacturing companies as our study objects. First, we select 26 financial ratios as predictors and establish a logistic model to forecast the probability of a company which has a serious credit risk. We obtained a logistic regression model which contains seven predictors. The prediction accuracy in both training and testing samples has reached more than 85%. Afterwards, we attempts to improve the existing model.On the one hand, we advance the predicted point of time to make the model more practical, on the other hand we combine the actual situation of the capital market and add six non-financial predictors in order to find more meaningful variables and increase the explanatory power of the model.This study finds that profitability, capital structure, solvency and growth ability are the main factors affecting the credit risk of manufacturing companies. Improvement of the profitability will reduce the credit risk, and the deterioration of the capital structure and solvency of the company will increase the credit risk. In addition, some non-financial indicators, such as "share index", "market index" and "indicators of goodwill" also have strong explanatory power.
Keywords/Search Tags:Credit risk, Listed manufacturing companies, Logistic model
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