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研究生:吳洛維
研究生(外文):Wu, Lo-Wei
論文名稱:公司治理評鑑指數對財務違約預測之影響 - 以台灣上市櫃電子類公司為例
論文名稱(外文):Financial Distress Prediction Models Using Corporate Governance Evaluation Indicator: Evidence from Publicly Traded Electronic Firms in Taiwan
指導教授:張嘉倩張嘉倩引用關係
指導教授(外文):Chang, Chia - Chien
口試委員:簡美瑟楊智元
口試委員(外文):Chien, Mei - SeYang, Chih - Yuan
口試日期:2015-05-17
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融系金融資訊碩士班
學門:商業及管理學門
學類:財務金融學類
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:63
中文關鍵詞:公司治理指數財務違約預警模型羅吉斯回歸模型上市櫃電子類公司
外文關鍵詞:Corporate governance indexFinancial distressPrediction modelLogit regressionPublicly traded electronic firms
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近幾年來,基於公司治理漸漸被視為企業經營不可或缺的一環,國內證券交易所於2013年推出包含92項公司治理因子所組成的公司治理評鑑指數作為企業營運的衡量與投資人選股的參考指標。本研究為建構最適的財務違約預警模型,選取2003年至2013年上市上櫃電子類股公司作為測試樣本。研究的估計模型透過財務比率因子、總體經濟因子、市場變數因子與公司治理評鑑指數建構A至E五種財務違約預警模型來預測公司發生財務違約的機率。本研究的目的主要探討財務違約預警模型在加入證交所推出的公司治理評鑑指數,其是否能提升預測電子產業類公司發生財務違約機率的正確度。此外本研究也觀察所採用的預測變數與財務違約機率的相關性是否與預期相符。
實證結果顯示考慮公司治理評鑑指數能有效提升預測公司發生財務違約的機率,而各模型的預測變數和違約機率的相關性與本研究預期相符。再者,考量財務變數與總體變數之模型C優於預測正常公司;考量所有預測變數之模型E優於預測危機公司。本研究預期所提供的財務違約預測模型可作為金融機構授信的參考指標與國內外投資人篩選上市櫃電子類股的新判斷指標。

In Taiwan, domestic stock exchanges (Taiwan Stock Exchange, TWSE) launches Corporate Governance Evaluation Indicator (CGEI) in 2013 as a measure of business operations and investing unit of new candidates for selection. The main purpose is to examine whether financial distress prediction models with CGEI can improve the predictive power in electronics industry during the period 2004 to 2013. The logit models by considering different variables, including accounting ratio, macroeconomic environment, market information and CGEI. The logit models A to E are employed to predict financial distress and bankruptcy. Besides, we examine whether the possible connection between predicator variables and default probability is in accordance with the expectation.
The empirical result shows that predictive ability of default probability is rising when including CGEI. Besides, the relationship between predictor variables and default probability is consistent with the expectation of this paper. Furthermore, model C (including the accounting plus macroeconomic variables) is apt to predict normal firms and model E (including all variables) used to forecast financial distress firms. Most of all, it is also expected to provide a reference on bank credit and offer an investment reference to foreign institutions and investors.

摘 要 i
ABSTRACT ii
Acknowledgment iii
List of tables vi
1. Introduction 1
2. Literature Review 4
2.1. The definition of financial default 4
2.2 Financial distress prediction model 5
2.3 Predictor variables 7
3. Methodology 10
3.1. Methods: panel logit model description 10
3.2. Independent variable selection 11
3.2.1. Financial variables 11
3.2.2. Market variables 13
3.2.3. Macroeconomic variables 14
3.2.4. Corporate governance evaluation indicator 16
3.3. Mann-Whitney U test 22
3.4. Statistic approaches: performance measures 22
3.4.1. the Area under the ROC Curve (AUC) 22
3.4.2. Cox & Snell's R2 23
3.4.3. Nagelkerke's Max-rescaled R2 23
3.4.4. Omnibus Test 23
3.4.5. Hosmer and Lemeshow goodness-of-fit statistic 24
3.5. Model construction 24
4. Empirical results 25
4.1. Data description 25
4.2. M-W test and models 26
4.3. Descriptive statistics in models 30
4.4. Performance outcome 37
5. Conclusions 45
References 47
Appendix 51

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