臺灣博碩士論文加值系統

本學位論文涵蓋兩項研究主題：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股票不同交易方式，將台灣地區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其財務危機成本是否存有明顯之差異。
本文共蒐集104家台灣地區發生財務危機之上市公司：「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家樣本廠商進行實證分析，獲致如下之主要實證發現：
第一，就全體樣本公司而言，在危機宣告日至交易方式變更日這段期間，股價明顯的下滑，亦即發生顯著異於零之龐大財務危機成本。透過股價資料來估算財務危機公司資產價值貶落之損失，足以顯示，以往研究沒有考慮資產價值的變動，遂造成財務危機成本之嚴重低估。
第二，就三群組之財務危機成本大小論，以「終止上市組」為最高，「全額交割/暫停交易組」居次，「維持正常交易組」最低。經由統計檢定，不同組群財務危機公司之財務危機成本大小確實存有顯著差異，亦即對股東財富造成明顯不同之不利影響。

This thesis covers two principal research issues: First, the present study makes use of stock prices for TAIEX-listed companies of which a financial distress takes place as reported in the press during the period from 1998 to 2004 to estimate overall financial distress costs. Second, in Taiwan, the Securities and Futures Commission, Ministry of Finance is empowered to decide the modes of transaction including “maintaining normal trading”, “cash transaction only/suspended trading”, and “delisting” which allows us to estimate further financial distress costs under different categories.
After collecting and analyzing 104 TAIEX-listed financially distressed companies, 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 reporting in the press to 20 transaction days after the date of change in transaction mode have registered an average 50%~60% reduction in shareholder wealth, which has reached statistical significance at 0.01 significance level. Concerning the second research issue, the present study finds that the financial distress costs of “delisting” group are largest, the financial distress costs of “maintaining normal trading” group are lowest, and the financial distress costs of “cash transaction only/suspended trading” group are falling somewhere in between. Moreover, the paired differences among the above listed three groups in terms of percentage of the drop in stock prices are at least statistically significant at 0.10 significance level.

目 錄
第一章 研究之背景、主題及目的……………………………………01
第一節 研究背景………………………………………………………01
第二節 研究主題………………………………………………………01
第三節 研究目的………………………………………………………02
第四節 研究流程與全文架構…………………………………………05
第二章 文獻回顧………………………………………………………06
第一節 企業財務危機之定義…………………………………………06
第二節 企業財務危機成本之操作性定義……………………………07
第三章 資料來源與樣本特性…………………………………………08
第一節 資料來源………………………………………………………08
第二節 樣本選取標準…………………………………………………08
第三節 樣本蒐集與分類………………………………………………09
第四章 實證分析………………………………………………………14
第一節 待驗證臆說之建立與檢定……………………………………14
第二節 實證方法………………………………………………………17
第三節 實證結果………………………………………………………20
第四節 本章小結………………………………………………………44
第五章 結論……………………………………………………………45
附錄一 全樣本公司危機宣告日及交易方式變更日一覽表…………47
附錄二 吳宜勳(2005)與劉錫仁(2004)主要差異彙總表……………51
附錄三 國內「財務危機」相關法規之規定…………………………53
參考書目………………………………………………………………59

表 次
表3-1 不適用樣本公司剔除原因彙總表……………………………10
表3-2 樣本公司彙總表………………………………………………12
表4-1 全體樣本財務危機宣告日之宣告效果彙總表………………21
表4-2 全體樣本危機宣告日後20天股價相對於基期之平均股價變
動率彙總表……………………………………………………22
表4-3 全體樣本交易方式變更日後20天股價相對於基期之平均股
價變動率彙總表………………………………………………24
表4-4 全體樣本危機宣告日至交易方式變更日後20天全段期間股
價相對於基期之平均股價變動率彙總表……………………26
表4-5 全額交割/暫停交易組與維持正常交易組之平均股價變動率
彙總表…………………………………………………………29
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…34
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………………………………………………………………39

圖 次
圖1-1 研究流程圖……………………………………………………05
圖3-1 上市公司財務危機處理流程圖………………………………09
圖4-1 本研究之事件時間軸示意圖…………………………………18
圖4-2 全體樣本危機宣告日至交易方式變更日後20天全段期間股
價相對於基期之平均股價變動率走勢圖……………………26
圖4-3 全額交割/暫停交易組與維持正常交易組之平均股價變動率
走勢圖—以宣告日前一年為基期……………………………31
圖4-4 全額交割/暫停交易組與維持正常交易組之平均股價變動率
走勢圖—以宣告日前半年為基期……………………………32
圖4-5 全額交割/暫停交易組與維持正常交易組之平均股價變動率
走勢圖—以宣告日前一季為基期……………………………32
圖4-6 全額交割/暫停交易組與維持正常交易組之平均股價變動率
走勢圖—以宣告日前一個月為基期…………………………33
圖4-7 終止上市組與維持正常交易組之平均股價變動率走勢圖—以
宣告日前一年為基期…………………………………………36
圖4-8 終止上市組與維持正常交易組之平均股價變動率走勢圖—以
宣告日前半年為基期…………………………………………37
圖4-9 終止上市組與維持正常交易組之平均股價變動率走勢圖—以
宣告日前一季為基期…………………………………………37
圖4-10 終止上市組與維持正常交易組之平均股價變動率走勢圖—以
宣告日前一個月為基期………………………………………38
圖4-11 終止上市組與全額交割/暫停交易組之平均股價變動率走勢
圖—以宣告日前一年為基期…………………………………41
圖4-12 終止上市組與全額交割/暫停交易組之平均股價變動率走勢
圖—以宣告日前半年為基期…………………………………42
圖4-13 終止上市組與全額交割/暫停交易組之平均股價變動率走勢
圖—以宣告日前一季為基期…………………………………42
圖4-14 終止上市組與全額交割/暫停交易組之平均股價變動率走勢
圖—以宣告日前一個月為基期………………………………43

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」，證券交易所研究報告，民國89年9月。
2.李英瑛，「重整聲請、法院裁定與股東財富－台灣地區上市公司之實證分析」，朝陽科技大學財務金融所碩士論文，民國92年5月。
3.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。
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」，94年國科會專題研究計畫書，民國93年12月。
英文部分
1.Altman, Edward I., 1984, “A Further Investigation of the Bankruptcy Cost Question,” Journal of Finance, 39, pp.1067-1089.
2.Andrade, G. and S. N. Kaplan, 1998, “How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed,” Journal of Finance, 53, pp.1443-1493.
3.Beaver, William, 1966, “Financial Ratios as Predictors of Failure,” Journal of Accounting Research, 4 (Supplement), pp.71-111.
4.Betker, B. L., 1995, “Management’s Incentives, Equity’s Bargaining Power, and Deviations from Absolute Priority in Chapter 11 Bankruptcies,” Journal of Business, 68, pp.161-183.
5.Branch, B., 2002, “The Cost of Bankruptcy: A Review,” International Review of Financial Analysis, 11, pp.39-57.
6.Clark, T. and M. Weinstein, 1983, “The Behavior of the Common Stock of Bankrupt Firms,” Journal of Finance, 38, pp.489-503.
7.Chen, G. M., and L. J. Merville, 1999, “An Analysis of the Underreported Magnitude of the Total Indirect Costs of Financial Distress,” Review of Quantitative Finance and Accounting, 13, pp.277-293.
8.Copeland, Thomas E., and J. Fred Weston, 1988, Financial Theory and Corporate Policy. 3rd ed., Reading, MA: Addison-Wesley.
9.DeAngelo, H., and Linda DeAngelo, 1990, “Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms,” Journal of Finance, 45, pp.1415-1431.
10.Donoher, W. J., 2004, “To File or Not to File? Systemic Incentives, Corporate Control, and the Bankruptcy Decision,” Journal of Management, 30, pp. 239-262.
11.Franks, J., and W. Torous, 1994, “A Comparison of Financial Reconstructing in Distressed Exchanges and Chapter 11 Reorganizations,” Journal of Financial Economics, 35, pp.349-370.
12.Gilbert, L. R., K. Menon and Kenneth B. Schwartz. , 1990, “Predicting Bankruptcy for Firms in Financial Distress, ” Journal of Business Finance & Accounting, 17, pp.161-171.
13.Gilson, S. C., 1997, “Transactions Cost and Capital Structure Choice: Evidence from Financially Distressed Firms,” Journal of Finance, 52, pp.161-196.
14.Graham P., R. Philip, S. Max, and T. Violet, 2001, “Predicting Return Outcomes to Shareholders from Companies Entering Chapter 11 Bankruptcy,” Managerial Finance, pp.78-96.
15.Hotchkiss, E. S., and R. M., Mooradian, 2003, “Auction in Bankruptcy,” Journal of Corporate Finance, 9, pp. 555-574.
16.John, K., Larry H. P. Lang and Jeffry Netter, 1992, “The Voluntary Restructuring of Large Firms in Response to Performance Decline, ” Journal of Finance, 47, pp.891-918.
17.Kahl, M., 2002, “Economic Distress, Financial Distress, and Dynamic Liquidation,” Journal of Finance, 57, pp.135-168.
18.Lee, C. F., Gili Yen, and C. F. Chang, 1993, “Informational Efficiency of Capital Market Revisited: Anomalous Evidence from a Refined Test,” Quantitative Analysis of Finance and Accounting, 2, pp139-165.
19.Opler, T., and S. Titman, 1994, “Financial Distress and Corporate Performance,” Journal of Finance, 49, pp.1015-1040.
20.Warner, J. B., 1977, “Bankruptcy Costs: Some Evidence,” Journal of Finance, 32, pp.337-347.
21.Wruck, K. H., 1990, “Financial Distress, Reorganization, and Organizational Efficiency,” Journal of Financial Economics, 27, pp.419-444.
22.Weiss, L. A., 1990, “Bankruptcy Resolution: Direct Cost and Violation of Priority of Claims,” Journal of Financial Economics, 27, pp.285-314.
23.Yen, G., Lee Benham, and S. Hu, 1992, “Corporate Reorganization and Stockholders’ Wealth,” in G.. Yen, Empirical Studies on Business Finance and Government Policy in Taiwan, Chapter 15, pp.219-234, Center for Pacific Basin Business, Economics, and Finance Research, Rutgers University, New Jersey, U.S.A.
24.Yen, G., Ching-lung Chen, and Yin-yin Lee, 2003, “Corporate Reorganization, Court Decision, and Corporate Wealth: An Empirical Analysis,” in Gili Yen(ed.), Proceedings of the Fourth Annual Academic National Conference on Management-related Topics, Chaoyang University of Technology, May 2003, pp.1-17.