會 計 保 守 性 與 財 務 危 機 : 離 散 時 間 涉 險 模 式

Accounting conservatism and financial distress: Discrete hazard model

徐丞毅(Cheng-Yi Hsu)

指導教授 ： 李詩政

元智大學/管理學院/會計學系/碩士(2005年)

摘要

摘 要

近年來美國陸續發生安能公司(Ernron Corp.)及世界通訊(World Com, Inc)等破產事件，一再衝擊了美國企業的信譽，使得破產議題再度引起眾人的重視。美國政府為此訂定許多法令，其中一個防範重點是:如何避免會計錯誤。 本研究採用Shumway(2001) 所提出的Discrete Hazard模型，其試圖以動態模型更精確的描述公司的破產。依據文獻，我們假設會計保守性是造成會計資訊扭曲的重要因素。是故，我們運用會計保守性模型測試破產預測模型的正確性與貢獻。
首先，以現有的資料確認Shumway(2001)模型優於一般破產預測模型；接著，我們分別以應計及市場基礎所衡量的保守性變數投入Shumway(2001)模型後，發現會計保守性能夠顯著的預測破產機率。而且，市場基礎的會計保守性模型相較於其他保守性的模型具有更顯著的預測能力。最後，在控制產業影響後，會計基礎的保守性模型適度的提升其解釋能力。總體而言，我們得到的證據是符合會計保守性與財務風高度相關的概念。

關鍵字

會計保守性原則 ； 危機涉險模型 ； 產業影響

並列摘要

ABSTRACT

In recent year, successively the smashup of Enron and WorldCom stained the reputation of American business. Meanwhile, the issue of bankruptcy was touched off highly solicitude to the public again. One of the most important remedial actions was how to avoid the accounting failure. This paper adopted hazard model which proposed by Shumway (2001) and attempted to depict the bankruptcy more specifically based on this dynamic model. Simultaneously, according to some literatures, we may assume that accounting conservatism is an important factor causing the distorted accounting information. Therefore, we examine the accuracy and contribution of the bankrupt forecasting model based on accounting conservatism model.
First, we verified that the Shumway’s (2001) model is superior to the other model lied on useful data collected in this paper. Secondly, incorporating conservative proxies originated from market based and accrual based into Shumway’s (2001) model, we find that accounting conservatism predicts the probability of default markedly. Furthermore, accounting conservative model based on market value creates more significant predictive power than other conservatism. Finally, under industry effect, accounting conservative model based on accounting value modest improve its explanatory power. Overall, our findings correspond to the notion that accounting conservatism highly correlated with financial distress.

並列關鍵字

accounting conservatism ； discrete hazard model ； industry effect

參考文獻

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