臺灣博碩士論文加值系統

本研究主題包括(1)財務困難公司的偵測，(2)財務困難風險對股價的影響，以台灣從1999～2006年上市(櫃)公司為樣本。以Logit模型為主要偵測模型，變數部分除了過去常用的會計變數(i.e.,財務比率)外，本研究加入技術分析法則，採用均線及股價創歷史新低訊號當成變數納入Logistic迴歸，試圖提升財務困難風險模型的預測能力。實證發現，納入技術分析法則變數可以增加對財務困難風險的預測能力，與單純只用會計變量模型的評價結果相比，模型的總體解釋能力有增額的提升。
第二階段，依據每間公司的財務困難風險程度，由高到低平分樣本為五組，測試各組在年度財報公佈日後3、6、9個月的股票報酬表現情形。結果顯示財務困難風險機率能預測未來3和6個月的股票報酬，意味者公司個別風險關係到未來的股價表現。

This study attempts to detect (1) the probability of financial distress of public companies and (2) the impact of financial distress on their future stock returns. In contrast to prior studies using financial ratios, I add a technical rule of stock price reaching historical minimum to logistic regressions. Using a sample of all Taiwanese companies during 1999-2006, I find that the technical rule has incremental explanatory power on future financial distress, indicating that past stock prices help to forecast corporate bankruptcy.
I then separate companies evenly into five groups according to their distress probabilities and examine their 3-, 6-, and 9-month stock returns following the announcement day of financial reports. The result shows that distress probabilities can predict future 3- and 6-month returns, implying that firm-specific risk is related to stock price performance.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 1
第三節 研究架構 2
第二章 文獻探討 3
第一節 企業財務危機的定義 3
第二節 預測財務危機之數量方法 4
第三節 預測財務危機之變數 7
第三章 研究方法 8
第一節 財務困難風險模式與變數 8
第二節 報酬率之計算 13
第三節 資料 14
第四節 財務困難與報酬率之關係 15
第四章 實證結果與分析 16
第一節 財務困難的偵測 16
第二節 財務困難風險對股價的影響 18
第五章 結論與建議 26
參考文獻 27
附錄 32

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