台灣企業財務危機因子的實證研究

An Empirical Study of the Determinants of Financial Distress for Taiwan Corporations

黃瑞卿(Ruey-Ching Hwang) ； 吳中書(Chung-Shu Wu) ； 林金龍(Jin-Lung Lin) ； 蕭兆祥(Jhao-Siang Siao)

《台灣金融財務季刊》 13卷4期 (2012/12) Pp. 55-77

https://doi.org/10.6985/TBFQ.201212.0055

摘要

本文使用脆弱因子（frailty factor）來研究台灣同產業公司的財務危機群聚效應（clustering effect; Das et al., 2007），建立產業相關財務危機模型（industry correlated financial distress model; Chava, Stefanescu, and Turnbull, 2011）以預測台灣企業的財務危機機率。為了建立台灣企業之產業相關財務危機模型，我們分別收集隨著時間變化的Altman變數（Altman, 1968）、Campbell變數（Campbell, Hilscher, and Szilagyi, 2008）、Duffie 變數（Duffie, Saita, and Wang, 2007）、Shumway變數（Shumway, 2001），與本文所提出的一組解釋變數（簡稱Hwang變數）等的年資料。實證結果顯示，台灣企業存在產業的財務危機群聚效應；使用Hwang變數，較其他組解釋變數有較好的樣本外（out-of-sample）財務危機預測能力。

關鍵字

強度函數 ； 期望-最大化演算法 ； 擴大滾動視窗方法 ； 脆弱因子

並列摘要

In this paper, we use the frailty factor to study the financial distress clustering effect (Das et al., 2007) for Taiwan corporations, and construct an industry correlated financial distress model (Chava, Stefanescu, and Turnbull, 2011) to predict the firm's financial distress probability. To build the industry correlated financial distress model for Taiwan corporations, we collect time-varying predictor values for each set of Altman's predictors (Altman, 1968), Campbell's predictors (Campbell, Hilscher, and Szilagyi, 2008), Duffie's predictors (Duffie, Saita, and Wang, 2007), Shumway's predictors (Shumway, 2001), and our suggested predictors. The empirical results indicate that there exists the financial distress clustering effect among Taiwan corporations of the same industry. Also, our suggested predictors are better than the other considered predictors, in the sense of yielding more accurate out-of-sample financial distress predictions.

並列關鍵字

Intensity Function ； Expectation-Maximization Algorithm ； Expanding Rolling Window Approach ； Frailty Factor

參考文獻

Altman, E. I.(1968).Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.The Journal of Finance.23(4),589-609.

Basel Committee on Banking Supervision(2005).Studies on the Validation of Internal Rating Systems.,未出版Bank for International Settlements.

Bharath, S.T.,Shumway, T.(2008).Forecasting Default with the Merton Distance to Default Model.The Review of Financial Studies.21(3),1339-1369.

Campbell, J. Y.,Hilscher, J.,Szilagyi, J.(2008).In Search of Distress Risk.The Journal of Finance.62(6),2899-2939.

Chava, S.,Stefanescu, C.,Turnbull, S.(2011).Modeling the Loss Distribution.Management Science.57(7),1267-1287.