臺灣博碩士論文加值系統

1997年爆發亞洲金融風暴，隔年（1998年）起公司發生財務危機事件層出不窮，1998年至2005年間最為嚴重；2007年全球金融海嘯至今，投資人擔心買到地雷股，對於投資股票市場仍採觀望態度。在經過層層把關的財報背後究竟隱藏多少危機？這些危機難道是不可預測的嗎？其實，公司爆發財務危機並非一夕之間產生的問題，就如同人類的慢性病不是一天造成的，是長期忽略身體健康警訊造成的結果，事出必有因，因此許多學者便開始探究財務危機背後的成因，試圖找出一些指標供投資人作為投資前之考量因素。
本研究主要之目的在於探究財務危機之預測指標，分別探討Beta、公司規模、淨值市價比以及前一年平均報酬（負的動能效果）是否可作為財務危機之預測指標。本研究之樣本公司為1983年至2007年之台灣上市公司，利用Altman提出之Z-score模型將公司區分為危機公司以及正常公司，再將樣本公司依Beta、公司規模、淨值市價比以及前一年平均報酬分別分組，探討這些變數是否可作為財務危機之預測指標。實證結果指出Beta及淨值市價比無法作為財務危機之預測指標，但公司規模及前一年平均報酬（負的動能效果）可以作為財務危機之預測指標。

With the Asian financial crisis breaking out in 1997, many companies began to suffer financial distress in the following year, and the situations were getting even worse during 1998 and 2005. Faced the new waves of financial tsunami across the world starting from 2007, the investor, therefore, have been adopting a wait-and-see attitudes towards the stock market, fearing of being hit by the “tank stocks”。How many financial problems hidden behind the carefully prepared financial statements? Are they unpredictable? As a matter of fact, just like the human chronic diseases which actually caused by long-term ignorance of health warning, corporate financial distress never happens suddenly. Thus a number of scholars are dedicated to study the reasons for financial problems, attempting to figure out certain indicators capable of being prior reference for investment decision-making.
This paper aims to study the predictors of financial distress. Beta, firm size, book-to-market ratio and average monthly prior-year return (negative momentum effect) are to be considered respectively to determine their possibilities of being predictors. The sample companies discussed in this paper are chosen among the listed companies during 1983 and 2007 in Taiwan. They are grouped into two categories of crisis company and normal company by using the Z-score model developed by Altman. Then the sample companies are divided in terms of Beta, firm size, book-to-market ratio and average monthly prior-year return so as to trace these variables’ likelihood to predict bankruptcy. It eventually turns out that firm size and average monthly prior-year return could serve as predictors of financial distress, other than Beta and book-to-market ratio.

目錄
摘要 I
目錄 III
表目錄 IV
圖目錄 IV
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 5
第一節 財務危機 5
第二節 風險衡量指標 10
第三章 研究方法 18
第一節 研究假說 18
第二節 樣本選取 19
第三節 研究設計 21
第四章 實證結果分析 27
第一節 Z-score與Beta交叉分組之實證結果 27
第二節 Z-score與規模交叉分組之實證結果 29
第三節 Z-score與淨值市價比交叉分組之實證結果 31
第四節 Z-score與前一年平均報酬交叉分組之實證結果 33
第五章 結論與建議 35
第一節 結論 35
第二節 研究限制 36
第三節 建議 37
參考文獻 38

 
表目錄
表1.1 1998年至2008年財務危機公司一覽表 1
表2.1 財務危機預警模式比較表 7
表2.2 Beta相關文獻一覽表 11
表2.3 小公司效果與淨值市價比效果相關文獻一覽表 13
表2.4 動能效果相關文獻一覽表 16
表3.1 各期樣本數 20
表3.2 Altman（2000）建構之模型 23
表3.3 楊棟樑（2004）建構之模型 24
表3.4 預測能力比較 24
表3.5 檢定臨界值 26
表4.1 Z-score與Beta交叉分組 28
表4.2 Z-score與規模交叉分組 30
表4.3 Z-score與淨值市價比交叉分組 32
表4.4 Z-score與前一年平均報酬交叉分組 34


圖目錄
圖1.1 研究流程 4

一、 中文部分
1. 楊棟樑，2004，「應用組合預測於信用風險之衡量」，國立政治大學企業管理研究所碩士論文。
2. 駱琬瑜，2006，「應用財務指標與公司治理建立企業財務危機預警模型」，國立政治大學管理碩士學程碩士論文。
3. 經濟部技術處，2005，「信用風險議題與資訊平台規劃」，財團法人資訊工業策進會。
4. 張漢傑，2007，「破解財務危機-台灣上市危機公司總體檢」，台北：梅霖文化事業有限公司。
5. 程大器，2006，「統計學」，台北：高點文化事業有限公司。
二、 英文部分
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3. Agarwal, V. and R. Taffler, 2008, “Does Financial Distress Risk Drive the Momentum Anomaly?” Financial Management 37,461-484.
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9. Chan, K. and N. Chen, 1991, “Structural and Retum Characteristics of Small and Large Firms,” Journal of Finance 46, 1467-1484.
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15. Fama, E.F and K.R. French, 1995, “Size and Book-to-Market Factors in Eamings and Returns,” Journal of Finance 50, 131-155.
16. Fama, E.F and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84.
17. Griffin, J. and L. Lemmon, 2002, “Book-to-Market Equity, Distress Risk, and Stock Retums,” Journal of Finance 51, 2317-2336.
 
18. Hong, H., T. Lim, and J. Stein, 2000, “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,” Journal of Finance 55, 265-295.
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21. Jegadeesh, N. and S. Titman, 2001, “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations,” Journal of Finance 56, 699-720.
22. Laitinen, E.K., 1991, “Financial Ratios and Different Failure Processes,” Journal of Business Finance and Accounting 18, 649-673.
23. Lau, H.L., 1987, “A Five-State Financial Distress Prediction Model,” Journal of Accounting Research 25, 127-138.
24. Lesmond, D., M. Schill, and C. Zhou, 2004, “The Illusory Nature of Momentum Profits,” Journal of Financial Economics 71, 349-380.
25. Liu, W, N. Strong, and X. Xu, 1999, “The Profitability of Momentum Investing,” Journal of Business Finance and Accounting 26, 1043-1091.
26. McEnally, R.W. and R.B. Todd, 1993, “Systematic Risk Behavior of Financial Distressed Firms,” Quarterly Journal of Business and Economics 32, 3-19.
27. Ohlson, J.A., 1980, “Financial Ratios and The Probabilistic Prediction of Bankruptcy,” Journal of Accounting Research 18, 109-131.
28. Pettengill, G.N., S. Sundaram and I.Mathur, 1995, “The Conditional Relation between Beta and Returns,” Journal of Financial and Quantitative Analysis 30, 101-116.
 
29. Sharpe, W.F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance 19, 425-442.
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31. Walter, J.E., 1957, “Determination of Technical Solvency,” Journal of Business 30, 30-43.
32. Zeitun, R., G. Tian, and S. Keen, 2007, “Default Probability for the Jordanian Companies: A Test of Cash Flow Theory,” International Research Journal of Finance and Economics 8, 147-162.