門檻選擇權運用於預測營造業公司破產機率之研究

如何評估營造業公司的財務失敗機率，一直是政府、營造廠商及其業主、金融授信機構與投資人的重要課題，而營造業因其特殊的財務特性，難以使用一般之財務模型加以評價。本研究蒐集北美地區近三十年之營造業上市公司橫斷面資料，藉由 Merton 於 1973 年建立的選擇權評價模式，並加入違約門檻之概念，計算營造業公司之潛在違約機率。實證結果顯示，潛在的違約門檻在統計上顯著存在，且藉由門檻選擇權評價公式，所估計的公司潛在違約機率，較 Altman Z-score 更適合預測遠期的財務危機。此外，本研究運用加入違約門檻之選擇權評價公式，對營造業經常使用的財務指標做相關性分析，尋找對於影響營造業財務績效表現最顯著的指標，建立另一個專門用於營造業之區別函數。本研究將公司之違約潛在門檻導入營造業，期望能建立符合營造單一產業的財務預警模型，使業主與金融機構能更準確的評價營造公司，也讓營造公司舉債時能避免自身財務危機發生。

關鍵字

門檻選擇權；違約機率； Z分數模型；營造業

並列摘要

Evaluating the financial failure probability of a construction firm has always been an important topic that the government, contractors, project owners, financial lending institutions, and investors highly concerned with. However, construction industry has distinguishing financial characteristics comparing to other industries, and therefore traditional valuation models no longer fit. This research provides a framework of security valuation based on barrier option model, usually known as first-passage approach. First of all, the data is collected from the construction firms that are listed in North America of recent 30 years. The empirical results show that the implied barriers are statistically significant. Next, failure probability implied by barrier option model can be estimated. The research tests the predictive ability of implied failure probability against Altman Z-score, and find that implied failure probability dominates Z-score in long-term cases. Furthermore, the research analyzes the correlation between implied failure probability and financial ratios which is often used in construction industry. Finding significant ratios, the research finally develop another discriminant function which is more suitable for construction industry. In brief, this paper implements the implied default barrier to construction industry, and expects to construct a financial predictive model for a single industry. Utilizing this model, owners and creditors can valuate contractors more precisely in advance, and contractors can avoid facing financial crisis themselves as well.

並列關鍵字

Barrier Option ； Failure Probability ； Z-score Model ； Construction Industry

參考文獻

[3] 林芳瑩，「營建業財務危機預測模型之建立」，國立台灣大學土木工程學系，碩士論文，民國 93 年

[1] Abidali, Adnan Fadhil and Harris, Frank (1995) “A Methodology for Predicting Company Failure in the Construction Industry” Construction Management and Economics, Vol. 13, No. 3, pp. 189-196

[2] Altman, Edward I. (1968) “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy” Journal of Finance, Vol. 23, No. 4, pp. 589-609

[3] Brockman, Paul and Turtle, H.J. (2003) “A Barrier Option Framework for Corporate Security Valuation” Journal of Financial Economics, Vol. 67, No. 3, pp. 511-529

[4] Edum-Fotwe, Francis, Price, Andrew and Thorpe, Antony (1996) “A Review of Financial Ratio Tools for Predicting Contractor Insolvency” Construction Management and Economics, Vol. 14, No. 3, pp. 189-198

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門檻選擇權運用於預測營造業公司破產機率之研究

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