選擇權評價法與信用評分法財務危機預測力研究

An Analysis of Option Pricing Model Prediction Power: Comparison with Z Score

蘇郁茹(Yu-ru Su)

指導教授 ： 陳業寧 ； 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.10256

摘要

本篇論文主要比較選擇權評價法(Option pricing model)與信用評分法(Z-score)對財務危機的預測力。研究資料根據1990 年至2002 年美國公開發行上市公司。為了檢視對網路泡沫財務危機的預測力，觀察值樣本分成不同時點與不同類型分別檢驗。從檢定力曲線(Power curve)，發現選擇權評價法(Option pricing model)預測力在網路泡沫前與網路泡沫後均顯著優於信用評分法(Z-score)。群內分析法(Intra-cohort analysis)則無明顯差異。

關鍵字

財務危機 ； 檢定力曲線

並列摘要

This paper examines the prediction power between Z-score (Z) and Option pricing model (Distance to Default, DD) over 1990 to 2002 by US listed company data. In order to figure out the internet bubble effect, the firm-year observation values are divided by different time period and two types of companies. In intra-cohort analysis, we can not find strong evidence to support which model is
better. In power curve analysis, we discover that Option Pricing Model performs better than Z-score for all firms in the whole period, before and after the internet-bubble. For internet-related, electronic and telecommunication firms,Option Pricing Model still dominates in any period.

並列關鍵字

Power curve ； Prediction power

參考文獻

陳業寧、王衍智、許鴻英 (2004) 「企業財務危機之預測：信用評分法與選擇權評價法孰佳？」, working paper

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