應用分量迴歸模型於財務危機的探討

Quantile Regression Model Applying to the Financial Crisis Analysis

羅聖雅(Sheng-Ya Lo)

《創新研發學刊》 6卷2期 (2010/12) Pp. 24-38

https://doi.org/10.30080/JIRD.201012.0002

摘要

本研究應用分量迴歸模型探討次級房貸風暴對公司財務危機的影響，研究期間為2006年至2008年。研究對象則以受次級房貸危機影響較大的上市（櫃）的電子業公司為主。在變數方面採用：應收帳款週轉率、現金流量比率、利息保障倍數、流動比率、負債比率、負債總額、長期負債、流動負債、營業收入淨額及資產總額等10項財務變數。實證結果發現應收帳款週轉率、現金流量比率、利息保障倍數、流動比率、負債比率及營業收入淨額等變數在0.45、0.5及0.55的分量並不顯著。其他大致上均呈現顯著的結果，即表示大部分財務變數在不同分量下對資產價值均有顯著的影響。此實證結果可做為公司信用風險評估的參考。

關鍵字

財務危機 ； 信用風險 ； 分量迴歸 ； 次級房貸

並列摘要

The article apply quantile regression model to investigate the impact of subprime mortgage in financial crisis. The data contain years 2006 to 2008. The sample based on listed or over-the-counter electronic industries which faced a huge impact because subprime mortgage. In empirical study, we use ten financial variables which are account receivable turnover, cash flow ratio, EBITDA, current ratio, debt ratio, total debt, long-term debt, current liabilities, operation net income and total asset, respectively. The results show that account receivable turnover, cash flow ratio, EBITDA, current ratio and operation net income are not significant at quantile 0.45, 0.5 and 0.55. This expresses that most of the variables will affect the asset value. This result provides very important credit risk information for enterprises.

並列關鍵字

financial crisis ； credit risk ； quantile regression ； subprime mortgage