臺灣博碩士論文加值系統

本研究主要涵蓋以下兩個主題：1.運用股價資料估算發生財務危機上市公司之全面性財務危機成本。2.進一步考量主管機關裁處之不同股票交易方式，將台灣地區發生財務危機上市公司區分為「維持正常交易組」、「全額交割/暫停交易組」與「終止上市組」三個群組，並據以探討這三組財務危機群組之財務危機成本是否存有明顯之差異。
本研究共蒐集104家台灣地區發生財務危機之上市公司：其中，「維持正常交易」者有28家；「全額交割/暫停交易」者有73家；「終止上市」者有3家。根據這104家樣本廠商進行股價變動分析，並輔以平均累積異常報酬率之比較，獲致如下之主要實證結果：第一，就全體樣本公司而言，在危機宣告日之附近，乃至於歷經交易方法變更日之後，這段期間，股價明顯的貶落，亦即發生龐大的財務危機成本。換言之，透過股價資料來估算財務危機公司資產價值貶落之損失，應屬允當之方法，足以顯示以往研究因沒有充分考慮資產價值的變動，造成財務危機成本之嚴重低估。第二，三群組之財務危機成本，「終止上市組」最高、「全額交割/暫停交易組」居間、「維持正常交易組」最低，均與預期相符。亦即主管機關針對財務危機上市公司裁定不同股票交易方式，不同組群財務危機公司之財務危機成本確實存有顯著差異，即對股東財富造成明顯不同之不利影響。

This thesis examines two principal research issues: First, the present study makes use of stock prices for TSE-listed companies of which a financial distress takes place as reported in the press during the period from 1998 to 2004 to estimate financial distress costs. Second, in Taiwan, besides “maintaining normal trading”, the Securities and Futures Commission, Ministry of Finance is empowered to decide the modes of transaction for financially distressed firms including “cash transaction only”, “suspended trading”, and “delisting” which allows us to estimate further financial distress costs under different categories.
After collecting 104 TSE-listed companies which took place financial distress during the period from 1998 to 2004, the primary empirical findings are as follows: Concerning the first research issue, for the entire sample, the present study finds that the financially distressed firms during the period from the date of reporting in the press to 20 transaction days after the date in change of transaction mode have registered an average 50%~60% reduction in shareholder wealth. Moreover, the magnitude of 50%~60% reduction has reached statistical significance. Concerning the second research issue, the major findings are as follows: the present study finds that, in terms of the financial distress costs, the “delisting” group is largest, the financial distress costs of the “maintaining normal trading” group is lowest, and the “cash transaction only/suspended trading” group falls somewhere in between.

目 錄
第一章 緒論………………………………………………………………………… 1
第一節 研究背景……………………………………………………………… 1
第二節 研究主題與研究目的……………………………………………… 1
第三節 研究流程與全文架構……………………………………………… 5
第二章 文獻回顧與待驗證臆說之建立……………………………………… 6
第一節 企業財務危機定義………………………………………………… 6
第二節 企業財務危機成本之操作性定義……………………………… 7
第三節 待驗證臆說之建立………………………………………………… 8
第三章 研究設計………………………………………………………………… 14
第一節 研究方法……………………………………………………………… 14
第二節 資料來源……………………………………………………………… 15
第三節 取樣標準……………………………………………………………… 16
第四節 樣本蒐集與分類…………………………………………………… 17
第四章 實證分析…………………………………………………………………… 21
第一節 財務危機成本之估算－針對全體樣本之實證分析……… 21
第二節 財務危機成本之估算—三群組相互比較之實證分析…… 26
第三節 輔助性之實證分析：經市場模式調整之實證結果………… 33
第五章 結論………………………………………………………………………… 35
附錄一 全樣本公司危機宣告日及交易方式變更日一覽表……………… 36
附錄二國內「財務危機公司」有價證券交易方法相關法規規定………… 40
參考書目……………………………………………………………………………… 53

表 次
表3-1 不適用樣本公司剔除原因彙總表……………………………………… 18
表3-2 各群組財務危機公司彙總表…………………………………………… 19
表4-1 全體樣本財務危機宣告日附近之宣告效果彙總表………………… 21
表4-2 全體樣本危機宣告日至交易方法變更日期間股價相對基期之平均股價變動率彙總表…………………………………………………… 22
表4-3 全體樣本自交易方法變更日至交易方法變更日後20個交易日股價相對基期之平均股價變動率彙總表…………………………… 23
表4-4 全體樣本自危機宣告日至交易方法變更日後20個交易日全段期間股價相對基期平均股價變動率彙總表…………………………… 24
表4-5 全額交割/暫停交易組與維持正常交易組平均股價變動率彙總表……………………………………………………………………………… 28
表4-6 終止上市組與維持正常交易組之平均股價變動率彙總表……… 30
表4-7 終止上市組與全額交割/暫停交易組之平均股價變動率彙總表…………………………………………………………………… 32

圖 次
圖1-1 研究流程圖………………………………………………………………… 5
圖3-1 上市公司財務危機流程及對股東財富影響示意圖………………… 17
圖4-1 全體樣本危機宣告日至交易方法變更日後20個交易日全段期間股價相對基期之平均股價變動率走勢圖…………………………… 24

參考書目
中文部分
1.台灣證券交易所，「我國證券市場改革之研究報告－上市（櫃）公司發生財務危機之案例分析與因應措施之研究」，民國89年9月。
2.呂順隆，「財務困難成本之實證研究－以台灣上市公司為例」，東海大學企業管理研究所碩士論文，民國91年6月。
3.吳宜勳，「台灣地區發生財務危機上市公司股價行為之實證分析」，朝陽科技大學企業管理所碩士論文，民國94年7月。
4.監察院財政及經濟委員會，「近年來我國發生之金融危機專案研究調查報告」，民國88年。
5.劉錫仁，「台灣地區上市公司財務危機成本之估計－考量不同股票交易方式下之初步實證結果」，朝陽科技大學財務金融所碩士論文，民國93年8月。
6.顏吉利，「財務危機宣告、交易方法變更與股東財富變動－台灣地區上市公司之實證結果」，撰提國家科學委員會專題研究計畫書，民國94年12月。

英文部分
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