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研究生:黃欣儀
研究生(外文):Huang, Sin-Yi
論文名稱:多重分類模型與信用循環指標法在財務危機預測之應用
論文名稱(外文):The Application of Multinominal Model and Credit Cycle Index Approach in Financial Distress Prediction
指導教授:蔡璧徽蔡璧徽引用關係
指導教授(外文):Tsai, Bi-Huei
學位類別:碩士
校院名稱:國立交通大學
系所名稱:管理科學系所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:90
中文關鍵詞:多重分類模型信用循環指標AR(1)-GARCH(11) model財務危機信用等級轉換
外文關鍵詞:Multinominal Logit modelCredit cycle indexAR(1)-GARCH(11)modelFinancial distressRating transition
相關次數:
  • 被引用被引用:1
  • 點閱點閱:275
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
摘要
本研究之目的在於以二階段方式建立一個財務危機預警模型,第一階段將財務困難公司區分為財務危機與重整破產二種公司,以個體公司財務、市場與公司治理變數建立多元Logit模型,估計公司發生財務危機或重整破產的機率,並決定區分正常公司與財務困難公司的門檻值。本論文第二階段則是考量總體經濟繁榮衰退情況建立信用風險指標,並以該指標調整區分正常公司與財務困難公司的門檻值。最後,本研究則比較二階段財務危機預警模型的精確度是否較一階段財務危機預警模型有所提升,本研究以2003年至2006年底台灣上市上櫃公司狀況資料作為估計樣本,2007、2008年底上市上櫃公司狀況作為測試樣本。
本研究第一階段多元Logit模型研究結果發現財務比率對公司財務危機事件解釋力較差,而公司治理變數對公司財務危機事件則有增額解釋力,顯示在輕微財務危機狀況下,內部管理階層有較大的誘因進行財務報表修飾,操縱盈餘掩飾財務困境。反觀重整破產公司的財務比率解釋能力比財務危機公司較強,隱含財務比率對重整破產事件的解釋能力較財務危機事件為佳。本研究第二階段研究結果則是估計求得測試期間信用循環指標為負,表示測試期間總體經濟處於衰退階段,接著,本研究以此負的信用循環指標調整二階段財務困難的門檻值,並對一階段總體經濟多元Logit模型、一階段多元Logit模型與二階段多元Logit模型加以比較,研究發現二階段多元Logit模型比其他模型估計誤差為低,二階段多元Logit模型精確度最高。
目錄

摘要 I
ABSTRACT II
致謝 IV
目錄 V
表目錄 VI
圖目錄 VII
第一章、緒論 1
第一節 研究動機與背景 1
第二節 研究目的 7
第三節 研究架構 8
第二章、文獻回顧 10
第一節 財務危機定義文獻 10
第二節 財務危機預警模型文獻 11
第三節 市場變數相關文獻 20
第四節 公司治理變數相關文獻 21
第五節 總體經濟變數相關文獻 25
第三章、研究設計 27
第一節 樣本及變數說明 27
第二節 研究方法 38
第四章、實證結果與分析 48
第一節 模型估計結果與分析 48
第二節 信用循環指標法實證結果 55
第三節 模型預測能力驗證結果 57
第五章、增額測試 63
第一節 增加模型預測期間 63
第二節 運用新總經變數進行信用循環指標法 71
第六章、結論 78
參考文獻 81
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