代理問題與信用風險-集團業之實證研究

本文係利用Logistic迴歸統計科學方法，建構企業信用風險模型(Credit Risk Models)(尤其是集團業)，蒐集2000年至2012年間上市上櫃集團業的財務危機公司有114家，採Beaver(1966)1:1配對原則，選取同產業、同屬性且固定資產規模相近之財務正常公司為對照樣本，合計228家。實證分析上，依財務報表五大構面選取28項財務比率變數，及4項公司治理變數，計32項解釋變數，使用K-S常態檢定、M-U平均數檢定、Pearson 相關檢定，考慮當企業負債比率＞50%，進行Logistic迴歸分析，試圖找出影響公司績效之顯著變數。期能在集團企業未發生財務危機風險前，預測出可能發生之機率，達到事前預警與風險管理之效。實證結果顯示，當集團業負債比率大於50%，影響公司績效的指標是償債能力與公司治理指標，研究建議應儘早考慮代理問題(Agency Problems)，避免董事長兼任總經理情形，加強外部監控(Outsiders)即減少會計師更換次數，增強公司治理能力；適度減少利息費用或提高稅前淨利，以提高利息保障倍數，強化公司償債能力，可降低集團業信用風險發生之機率。實證價值與意涵，集團業避免董事長兼任總經理、避免更換會計師，實施公司治理，CEO專業經營與重視外部人會計師之監督，可降低公司發生信用風險的可能性。

關鍵字

公司治理；代理問題；財務風險管理；財務預測

並列摘要

The aim of the study is to construct a crdit risk model ( especiall in group companies) by logistic regression statistics. This study collected 114 survey listed firms of financial crisis and other same industry, characteristic, and similar propery normal financial situation listed firms as control samples, then, the total samples up to 228 with Beaver (1996) 1:1 principle. As to empirical analysis, this study conducted K-S tests, M-U tests and Pearson by 32 explanatory variables including 28 financial ratio variales and 4 corporate govenance variales to extract the significant variales of corporate performance as the criteria for prediction of financial crisis to enhance the risk management. According to the empirical results of this study show that if the debt-to-equity of the group companies is more than 50%, the solvency and corporate governance will influence the performance of group companies. This study thus suggest that group companies should considerate agency problems as soon as possible to avoid the ownership is combined with management, enhance outsiders control to refrain from replacing accountants and insiders contol including independent directors and supervisors to improve corporate governance, reduce interest expense or increase pre-tax profit, raise solvency ratio, and reduce the credit risk. The empirical value and managerial implication are below: the ownership of group enterprises should not combine with management to reduce the possibility of credit risk.