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研究生:江宜蓁
研究生(外文):Yi-Zhen Jiang
論文名稱:美國股票上市公司財務預警模型之實證研究
論文名稱(外文):An Empirical Study of Financial Prediction Model of American Stock Listed Company
指導教授:林福來林福來引用關係
指導教授(外文):Fu-Lai Lin
學位類別:碩士
校院名稱:大葉大學
系所名稱:國際企業管理學系碩士班
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:2008
畢業學年度:96
語文別:中文
論文頁數:56
中文關鍵詞:財務預警模型財務比率智慧資本Logit模型Probit模型
外文關鍵詞:financial warning modelfinancial ratiointellectual capitallogit modelprobit model
相關次數:
  • 被引用被引用:6
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傳統財務研究大多以財務比率建構預警模型來預測公司的財務危機,鮮少研究將智慧資本納入預警模型。在此,本文利用Logit及Probit模型來建構財務危機模型,並以財務比率變數與智慧資本指標變數做為解釋變數,共區分財務結構、現金流量、償債能力、獲利能力以及智慧資本等五大構面,以美國的上市公司為研究對象,研究期間為2000至2005年。實證結果發現,在發生財務危機前一年時,財務結構為最佳衡量指標,其次為償債能力及獲利能力,最後為現金流量及智慧資本。同時,在危機發生前一年的準確率最高,但距離發生財務危機越遠的資料預測能力則大幅下降,其預測能力就越差。最後,研究證實在加入智慧資本後有助於偵測企業危機發生。
The traditional financial study was major in financial ratio build warning model to forecast companys’ financial crisis. In past study a few study to add intellectual capital in forecast model. Therefore, this study to utilize Logit and Probit model building financial crisis model, moreover, financial ratio variable and intellectual capital index variables as explanatory variable. Hence, this study was divided into five dimensions that financial structure, cash flow, debt-paying ability, makes a profit the ability and intellectual capital. The sample was choose from American listed company and the period was from 2000 to 2005. The empirical study indicated that the most suitable to measure financial crisis is financial structure, next is cash flow and intellectual capital. at the same time, the year before financial crisis happened is the best time to measure. In other words, the time away from financial crisis happened the forecast ability is decrease. Finally, this study to add intellectual capital can help company effective to forecast financial crisis.
內容目錄
中文摘要 .............. ....... iii
英文摘要 .............. ....... iv
誌謝辭  .............. ....... v
內容目錄 ............ ......... vi
表目錄  .......... ........... vii
第一章  緒論....... ............ 1
第二章  文獻回顧......... ........ 5
  第一節  財務危機定義..............5
  第二節  企業財務危機之預警指標......... 7
  第二節  財務危機模型與驗證方法......... 18
第三章  研究方法.................. 23
  第一節  Logit模型.................24
  第二節  Probit模型.................26
第四章  實證結果分析................ 29
  第一節  變數選取與說明............. 29
  第二節  研究樣本.................31
  第三節  Logit模型與Probit模型之實證結果與比較. 32
  第四節  Logit模型與Probit模型預測率之比較... 39
第五章  結論.................... 44
參考文獻 ...................... 47
附錄A  財務危機公司產業分類表........... 53
附錄B  財務正常公司產業分類表........... 54
附錄C  財務正常公司產業分類表........... 55
附錄D  財務正常公司產業分類表........... 56

表目錄
表 2- 1 財務結構分析................. 8
表 2- 2 現金流量分析................. 9
表 2- 3 償債能力分析.................. 10
表 2- 4 獲利能力(報酬率)分析.............. 10
表 2- 5 智慧資本衡量指標項目表............ 14
表 2- 6 智慧資本衡量指標............... 16
表 4- 1 財務比率變數.................. 30
表 4- 2 智慧資本變數.................. 31
表 4- 3 危機發生前一年Logit、Probit模型預警模式彙整表.. 35
表 4- 4 危機發生前二年Logit、Probit模型預警模式彙整表.. 37
表 4- 5 危機發生前三年Logit、Probit模型預警模式彙整表.. 38
表 4- 6 財務比率、智慧資本變數建構Logit、Probit模型正確率彙整表....................40
表 4- 7 財務比率、智慧資本變數建構Logit、Probit模型正確率彙整表....................41
表 4- 8 財務比率、智慧資本變數建構Logit、Probit模型正確率彙整表....................42
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李天行,唐筱菁(2004),整合財務比率與智慧資本於企業危機診斷模式之建構-類神經網路與多元適應性雲形迴歸之應用,資訊管理學報,11(2),161-189。

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張大成,林郁翎,黃繼寬(2006),產業差異與企業財務危機模型,台灣金融財務季刊,7(4),1-28。

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黃博怡,張大成(2006),考慮總體經濟因素之企業危機預警模型,金融風險管理季刊,2(2),75-89。

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