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研究生:劉仙慧
研究生(外文):Shien-Hui Alice Liu
論文名稱(外文):Do pledge ratio by board members and foreign investment ratio enhance the financial distress prediction model
指導教授:林修葳林修葳引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:53
中文關鍵詞:財務危機預測模型董監事持股質押比率外資投資比重
外文關鍵詞:foreign investment ratiofinancial distress prediction modelpledge ratio by board members
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本研究檢測董監事持股質押比率與外資投資比重兩項非會計變數對於企業發生財務危機之預測力。實證結果顯示:無論就Altman Z指標或是Lee (2003) 模型,該兩項變數對於預測國內企業財務危機,均具邊際解釋力。
The purpose and objective of this study is to examine given financial variables, whether pledge ratio by board members and foreign investment ratio have incremental explanatory power in predicting financial distress. Specifically, I integrate accounting and two capital market variables, pledge ratio by board members and foreign investment ratio, to build up multiple regression models and binary logistic regression model (Logit) for the prediction of financially distress firms. Debt ratio and fixed ratio are found to be the most explanatory financial variables across years and models. Pledge ratio by board members and foreign investment ratio are found to have positive contribution to the probability of financial distress; and unexpectedly foreign investment ratio seems to have more explanatory power than pledge ratio. In Logit model, I find that both Pledge ratio by board members and foreign investment ratio have increased the hit rate or classification accuracy and lowered both Type I and Type II errors substantially. For the purposes of obtaining more realist and practical prediction, I develop an out-sample predication. Out-sample predication appears to have high classification accuracy rate.
Content
Acknowledgement………………………………………………I
Abstract (Chinese)…………………………………………II
Abstract (English) ………………………………………III
Content ………………………………………………………IV
List of Tables ………………………………………………V
I. Introduction ……………………………………………1
1.1 Research motives and purposes ……………………1
1.2 Hypothesis ………………………………………………8
II. Samples and Operating Variables …………………10
2.1 Definition of “corporate financial distress”10
2.2 Sample Selection………………………………………11
2.3 Variable Selection……………………………………13
2.3.1 Financial variables ………………………………13
2.3.2 Non-financial variables …………………………15
II. Research Method and Empirical Results …………18
3.1 Research method ………………………………………18
3.2 Data Samples …………………………………………20
3.3 Empirical Findings …………………………………29
3.4 Out-Sample Prediction ………………………………46
3.5 Test Incorporating TCRI As an Explanatory Variable 47
IV. Conclusion………………………………………………49
V. Suggestion to further researches …………………50
References……………………………………………………51
References

English:
Altman, E. I. 1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance 23 (September): 589-609.
Altman, E. I. 1993. Corporate financial distress and bankruptcy : a complete guide to predicting & avoiding distress and profiting from bankruptcy. Wiley Finance Edition.
Altman, E. I. 1994. Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural network (the Italian experience). Journal of Banking and Finance 18: 505-529.
Altman, E. I. and Saunders, A. 1998. Credit risk measurement: Developments over the last 20 years. Journal of Banking and Finance 21: 1721-1742.
Aziz, M. A. and Dar, H. A. 2004. Predicting corporate financial distress: whither do we stand. Department of Economics, Loughborough University. Economic Paper for 2004.
Beaver, W. H. 1966. Financial ratios as predictors of failure. Empirical research in accounting: selected studies. Journal of Accounting Research 4 (Supplement).
Flagg, J. C.; Giroux, G. A.; and Wiggins, C. E. Jr. 1991. Predicting corporate bankruptcy using failing firms. Review of Financial Economics 1: 67-78.
Gilbert, L. R.; Krishnagopal, M.; and Schwartz, K. B. 1990. Predicting bankruptcy for firms in financial distress. Journal of Business Finance and Accounting 17 (Spring):161-171.
Hopwood, W.; McKeown , J. C. ; and Mutchler, J. F. 1989. A test of the incremental explanatory power of opinions qualified for consistency and uncertainty. The Accounting Review 66:28-48.
Johnson, S., P. Boone, A. Breach, and E. Friedman, 2000, “Corporate Governance in the Asian Financial Crisis,” Journal of Financial Economics 58, 141-186.
Johnsen, T. and Melicher, R. W. 1994. Predicting corporate bankruptcy and financial distress: information value added by multinomial logit models. Journal of Economics & Business 46:269-286.
Lee, T. S.; Yeh, Y. H.; Liu, R. T.. 2003. Can corporate governance variables enhance the prediction power of accounting-based financial distress prediction models. Center of Economic Institutions. Working Paper Series.
Mensah, Y. M. 1983. The differential bankruptcy predictive ability of specific price level adjustments: Some empirical evidence. The Accounting Review LVIII(April):228-246.
Ohlson, J. A. 1980. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 18(Spring):109-130.
Platt, H. E. and Platt, M. B. 1990. Improving ex ante bankruptcy classification using stable predictive variables. Journal of Business Finance and Accounting 17:31-51.
Platt, H. E. and Platt, M. B. 1991. A note on the use of industry-relative ratios in bankruptcy prediction. Journal of Banking and Finance 15:1183-1194.
Poston, K. M.; Harmon, W. K.; and Gramlich, J. D. 1994. A test of financial ratios as predictors of turnaround versus failure among financially distressed firms. Journal of Applied Business Research 10: 41-56.
Prowse, S., 1998, “Corporate Governance: Emerging Issues and Lessons from East Asia,” Responding to the Global Financial Crisis─World Bank mimeo.
Rajan, R. G., and Zingales L. 1998. "Financial Dependence and Growth." American Economic Review 88 (June) pp. 559-586.
Rose, R. S.; Andrews, W. T.; and Giroux, G. A. 1982. Predicting business failure: A macroeconomic perspective. Journal of Accounting, Auditing, and Finance (Fall): 20-31.
Zavgren, C. 1983. The prediction of corporate failure: The state of the art. Journal of Accounting Literature 2: 1-35.

Chinese:
Chen, C. E. 2002. The relationship between foreign investment ratio, company characteristics and company values. National Chung Cheng University. Unpublished thesis.
Chen, I. C.; Lin, C. T.; Wu, C. H. 2001. Analysis of financially distressed company cases in Taiwan. Research publication of Taiwan Security Exchange Corporation.
Hsiung, T. C. 2000. A Study on the Relationship between Financial Distress and Securities Collateral. National Cheng Kung Univeristy. Unpublished thesis.
Hsu, H. C. 2000. A study on the ownership structure of Taiwan’s financially distressed companies. National Central University. Unpublished thesis.
Shen, Y. J. 2002. The preference of foreign capital about stock character in Taiwan. Tamkang University. Unpublished thesis.
TSEC. 2000. Analysis of financially distressed public companies in Taiwan. Research publication of Taiwan Security Exchange Corporation.
Wang, Y. L. 2003. The influence of foreign capital in Taiwan stock market. National Chengchi University. Unpublished thesis.
Wu, P. E. 2001. The Relationship between the Insiders’ Pledge ratios of Taiwan Electronic Listed. National Kaohsiung First University of Science and Technology. Unpublished thesis.
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