臺灣博碩士論文加值系統

本研究擬應用線性多層次迴歸模型建構適合我國公司資產減損的合理線性預測模型，以豐富此領域的研究。目前關於公司資產減損之研究多數著重認列資產減損動機或認列時間點與認列後資本市場反應的探討，並未對資產減損的認列幅度是否適當問題進行討論。若能預測資產減損的幅度，不但可進一步了解公司財務資訊的正確性，亦可做為主管機關和投資人的衡量指標。
過去的研究中，資產減損變數可區分為公司財務資料、產業類別和總體經濟變數，由於資料通常來自不同的年份和產業，因此觀測資料間或多或少會有相依性，再者市場產業的類別及總體經濟的年度效應，多數會讓傳統線性迴歸模型產生預測偏誤。而多層次線性迴歸模型(multilevel linear regression model) 有下列的優點：(1) 瞭解產業變數與總體經濟對預測準確性的影響；(2) 解決分析資料間相依性問題，建立群組層次；(3) 解決群組效應在傳統線性迴歸模型的共線性問題。
實證結果顯示，我國上市(櫃)公司資產減損幅度的有些微群組效應，如果以產業與年度交叉的群組觀察，則多層次線性迴歸模型的預測優於傳統線性迴歸模型的結果。其中公司的洗大澡現象為影響群組效應較明顯的解釋變數。

The present study is using linear multilevel regression to predict the assets write-offs in Taiwan companies. Most current researches emphasized with motivation, timing, and capital market reaction. But there is no one trying to predict the amount of the write-offs which can provide more financial information to the public and investors evaluation indicators.
In the past researches, assets write-offs variables can be divided into financial information, industry categories and macroeconomic sets. As asset write-off data collected from different years and varied industry, it is hard to meet the independent identical distribution (iid) assumption for the sampling observations. The heterogeneous effect of observations would induce the prediction biases which can be improved by multilevel linear regress model. This technique has the following advantages: (1) To understand groups effect such as industry and macroeconomics. (2) To involve group effect to get more accurate prediction results. (3) To correct the collinear problems in the linear regression model with embedded group dummy variables.
The empirical results show that the assets write-offs in Taiwan listing and OTC companies have some minor group effect and the random effect is affected by the Bath variable. From the cross-industry-year group view, the multi-level linear regression model forecasts would be superior to the linear regression model results.

中文摘要 ................................................................................................................ I 摘要
英文摘要 .............................................................................................................. II
誌謝 ............................................................................................................... III
目錄 ............................................................................................................... IV
圖目錄 ............................................................................................................... VI
表目錄 ............................................................................................................... VI
第一章 緒論 ....................................................................................................... 1
第一節 研究動機 ....................................................................................... 1
第二節 研究目的 ....................................................................................... 4
第三節 研究架構 ....................................................................................... 5
第二章 文獻探討 ................................................................................................. 6
第一節 資產減損介紹 ............................................................................... 6
第二節 資產減損之相關文獻 ................................................................... 9
第三節 多層次線性迴歸模型的應用 ..................................................... 12
第三章 研究設計 ............................................................................................... 16
第一節 資料來源與樣本選取 ................................................................. 16
第二節 變數定義 ..................................................................................... 19
第三節 迴歸模型的建立 ......................................................................... 27
第四節 預測績效指標 ............................................................................. 30
第四章 實證結果分析 ....................................................................................... 32
第一節 樣本敘述統計量 ......................................................................... 32
第二節 實證結果分析 ............................................................................. 35
第五章 結論與限制 ......................................................................................... 53
第一節 研究結論 ..................................................................................... 53
第二節 研究限制 ..................................................................................... 54
第三節 後續研究建議 ............................................................................. 55
參考文獻 ............................................................................................................. 56

圖目錄
圖一資產減損流程圖....................................................................................... 7
表目錄
表一樣本統計................................................................................................... 18
表二各產業年度樣分佈情況........................................................................... 18
表三變數彙整表............................................................................................... 26
表四模型績效評估指標定義........................................................................... 31
表五相關變數敘述性統計量........................................................................... 33
表六相關係數................................................................................................... 34
表七資產減損資料的組內相關性................................................................... 35
表八線性迴歸模型實證結果........................................................................... 37
表九ANOVA分析............................................................................................. 39
表十以年度為群組的合併線性迴歸模型及個別群組線性迴歸模型........... 41
表十一年度群組的多層次線性迴歸模型....................................................... 42
表十二年度群組預測績效指標比較............................................................... 42
表十三產業群組的合併線性迴歸模型........................................................... 45
表十四多層次線性迴歸模型群組層變數選擇............................................... 45
表十五產業群組的多層次線性迴歸模型....................................................... 47
表十六產業群組預測績效指標比較............................................................... 48
表十七年度產業交叉群組的合併線性迴歸模型........................................... 50
表十八年度產業交叉群組的多層次線性迴歸模型....................................... 51
表十九年度產業交叉群組預測績效指標比較............................................... 52

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