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研究生:王韋淇
研究生(外文):Wang Wei-Chi
論文名稱:信用風險與債務能力對台灣企業資本結構之影響與研究
論文名稱(外文):The studies for the influences of credit risk and debt capacity on the capital structure theory for Taiwanese corporates
指導教授:蔡明憲蔡明憲引用關係
指導教授(外文):Tsai Ming-Shann
口試委員:吳致寧江淑玲蔡明憲
口試委員(外文):Wu,Jhih-NingJiang,Shu-LingTsai Ming-Shann
口試日期:2022-05-27
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2022
畢業學年度:110
語文別:中文
論文頁數:70
中文關鍵詞:資本結構理論信用風險債務能力規模效果KMV 違約機率模型
外文關鍵詞:capital structure theorycredit riskdebt capacitysize effectKMV default of probability model
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  • 下載下載:50
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本研究藉由市場的公開資訊與KMV違約機率模型,來估計台灣上市櫃公司的違約機率與違約機率穩定度,並以此討論在不同的違約機率與違約機率穩定度下對資本結構理論之間的關聯性。實證結果發現在不同的信用風險對於融資順位理論的影響並不明顯。相反地以違約機率穩定度區分債務能力確實對融資順位理論是具有很強的影響。而在抵換理論與融資順位理論的比較模型當中,債務能力會強烈地影響兩種理論的比較結果。因此本文認為在針對兩種模型的比較,應該要考量到債務能力高低對於兩種模型的影響,才可使分析結果更為合理。
This study estimates the probability of default and stability of default probability of listed companies in Taiwan by the market information and KMV default probability model. Then, we discuss the capital structure theory under the different long-term probability of default and stability of default probability. The empirical result shows that the effect of pecking order theory under the different credit risk is weak. On the contrary, the stability of probability default strongly influences on the pecking order theory. debt capacity strongly affects the comparison result of the tradeoff theory and pecking order theory. Therefore, this paper argues that the influence of debt capacity should be considered in the comparison of these two models.
內 容 目 錄
誌謝辭 I
摘要 II
ABSTRACT III
內 容 目 錄 IV
圖目錄 V
表目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與貢獻 7
第三節 研究流程 8
第二章 文獻探討 10
第一節 信用風險 10
第二節 資本結構理論與債務能力 13
第三章 研究方法 19
第一節 研究架構 19
第二節 研究變數與模型設計 21
第四章 實證結果分析 33
第一節 資料敘述統計 33
第二節 模型檢定 37
第三節 融資順位理論與靜態抵換理論模型實證結果 39
第五章 研究結論 51
第一節 研究結論 51
第二節 未來研究展望與限制 52
中文參考文獻 54
英文參考文獻 56

圖目錄
圖 1 研究流程圖 9
圖 2 研究架構圖 20

表目錄
表 1 資料敘述統計表 36
表 2 基礎融資順位理論與信用風險 41
表 3 長期違約機率與融資順位理論 43
表 4 債務能力與融資順位理論 46
表 5 靜態抵換理論與融資順位理論的比較模型 49




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