중소기업의 부실예측모형에 관한 연구
A Study on the Prediction Model of Small Business Bankruptcy
박정윤(영남대학교); 김영우(신용보증기금); 이미용(한국산업관계연구원)
31권 1호, 1~14쪽
초록
본 연구는 우리 경제에 있어서 큰 버팀목의 하나인 중소 제조기업의 부실화를 사전에 예측함으로써 기업의 지속가능경영을 실현하고 기업부실에 따른 사회적, 경제적 손실과 그 파급효과를 최소화하는 데 그 목적이 있다. 본 논문의 연구결과를 요약하면 다음과 같다. 첫째, 2003년에 부실화 된 중소제조기업의 재무비율을 중심으로 기업부실예측모형을 추정한 결과, 청산가치율, 금융비용부담율, 부가가치율, 총자산증가율이 유용한 변수로 채택되었다. 이는 기존의 상장기업 부실예측 모형이나 IMF 외환위기 이전 중소기업 부실예측 모형에서는 유의성을 발견할 수 없었던 변수들로 최근 중소제조기업의 부실특성을 보여준다. 둘째, 중소기업의 유형이 개인기업이냐 법인이냐에 따라 부실확률이 달라질 수 있음을 발견하였다. 기업의 유형을 구분하기 위해 더미변수를 추가하여 모형을 추정한 결과, 개인기업이 법인에 비해 상대적으로 부실확률이 낮은 것으로 나타났다. 셋째, 본 연구에서 로짓분석에 의해 추정된 중소기업 부실예측모형은 추정용 표본과 검정용 표본에서 각각 65.7%와 67.8%의 예측력을 보였다. 상장기업을 대상으로 한 국내 선행연구와 비교할 때는 부실예측력이 다소 낮은 편이나 기존의 중소기업 부실예측모형과는 비슷한 수준이었다.
Abstract
The objective of this study is to build a model to predict small business bankruptcy using logit analysis. The initial sample was composed of 554 firms with 277 firms in each of the two groups. The companies in the bankrupt group are (1) the small manufacturing firms that went bankrupt in a single year, 2003, (2) the firms which had received credit guarantee by S-Fund. The size, in terms of assets, of these firms fell in between 1,000 million won and 7,000 million won. And the size, in sales, of these firms was over 1,000 million won. Non-bankrupt firms were selected through a paired sampling method stratified by industry and size. The study selected companies which were still in existence in 2004. All the financial data were obtained from the electronic data center of S-Fund. Because the large number of financial variables in the previous bankruptcy studies were found significant, the indicators used in the past studies - 32 variables - were involved in evaluation of the model proposed in this study. The variables were classified into six standard categories including liquidity, profitability, activity, productivity, growth, and cash flows. In order to test the efficiency of the model, secondary sample of 410 firms with 205 firms in each for bankrupt and non-bankrupt groups had been chosen, which were collected separately to test the model's efficiency. To derive the final model, the following procedures were taken: (1) observation of statistical significance of each variable; (2) evaluation of correlations among the relevant variables; (3) observation of predicting accuracy of various profiles; and (4) subjective judgment by the authors. From the original 32 financial variables used in the study, four variables below were chosen to be included in the final prediction model for the corporate bankruptcy. The four variables were Liquidation Value/Total Sales, Interest Expenses/Total Sales, Value Added/Total Sales, and a Growth Rate in Total Assets. These variables were found to be statistically significant at 1% or 5% level of significance. The directions of the three variables were come out as we expected. In addition, a dummy variable, indicating proprietorship or corporate, was included in the model and found to be statistically significant at 5% level of significance. All the five variables have been significant at 1% or 5% level of significance. The predictability of the model for the estimation sample of 2003 was a little over of 66% and that for the validation sample of 2004 was 68%. This model can be used for financial institutions to evaluate small firms which apply for credit rating or letter of credit guarantee. The model developed in this study is very valid to predict, because the model's predictability derived from the estimation sample was almost the same as that from the validation sample.
- 발행기관:
- 한국중소기업학회
- 분류:
- 경영학