考量會計基礎模型、盈利管理和新聞輿情於營建業財務危機實證之研究

Study on Integration of Accounting-Based Model and Earnings Management Associated with News Analysis to Predict Construction Contractor Default

吳韋成(Wai-Seng Ng)

指導教授 ： 曾惠斌

國立臺灣大學/工學院/土木工程學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202201160

摘要

在營建業來說，因為資金額大、專案時間長等特點，不同的持份者有需求去識別營建業是否會發生財務危機，本研究透過會計變數、盈餘管理和新聞短評來進行邏吉斯迴歸分析，所有所需的資料來自TEJ或TEJ看門狗資料庫營建業2000-2015年的數據，而因新聞短評資料庫在2018年後才對事件進行評級，但本次研究所需資料是2000年至2015年間，所以會使用深度學習BERT來把短評進行事件強度訓練和分類，以補齊2000-2015的事件強度。使用逐步邏吉斯回歸得出的會計初始變數是負債比率、銷貨淨額佔股東權益總額比率、ROA。研究結果顯示，在新聞短評中，市場交易變數是顯著的。盈餘管理變數則在任何的混合型模型中均不顯著。在混合型模型中，會計變數、市場交易新聞和修正Jones模型的ROC曲線下面積最好，達到0.8333，在此條件下，實証效果最好。而單純的新聞短評模型也有不俗的ROC曲線下面積，達到0.7865，在某些情況可以用來作簡單的財務危機觀測。

關鍵字

財務危機 ； 會計基礎模型 ； 盈餘管理 ； 新聞 ； 邏吉斯迴歸 ； 混合型模型

並列摘要

In the construction industry, due to the large amount of capital and the long project time, different stakeholders need to identify whether there will be a financial crisis in the construction industry. In this study, we will use accounting variables, Earnings Management and news to have logistic regression analysis. All data comes from 2000-2015 TEJ or TEJ TCRI. While the data needed for this study was from 2000 to 2015, TCRI only has event intensity levels after 2018. Therefore, this study will use BERT to train and classify short news to compensate for the intensity of events from 2000-2015. The initial variables for accounting using stepwise logistic regression are debt ratio, net sales to total shareholders' equity ratio and ROA. In news, market trading variables are significant. In hybrid model, Earnings Management variables are nonsignificant. In hybrid model, accounting variables, modified-Jones model and market trading variables have the best AUC, the AUC is 0.8333. Under this condition, the empirical effect is the best. At the same time, news model also has a good AUC 0.7853, which can be used for simple financial crisis observation in some cases.

並列關鍵字

financial default ； accounting-basic model ； earnings management ； news ； logistic regression ； hybrid model

參考文獻

英文部分

1. Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589–609. https://doi.org/10.1111/j.1540-6261.1968.tb00843.x

2. Asghar, M. Z., Habib, A., Habib, A., Khan, A., Ali, R., Khattak, A. (2019). Exploring deep neural networks for rumor detection. Journal of Ambient Intelligence and Humanized Computing, 12(4), 4315–4333. https://doi.org/10.1007/s12652-019-01527-4

3. Beaver, W. H. (1966). Financial ratios as predictors of failure. Journal of Accounting Research, 4, 71. https://doi.org/10.2307/2490171

4. Carmichael, D. R. (1972). The Auditor's reporting obligation: The meaning and implementation of the fourth standard of reporting. American Institute of Certified Public Accountants.