- 學位論文
上市櫃公司財務危機預警-股價技術分析應用
An appplication of technical analysis in financial distress prediction for Taiwan listed companies
摘要
長久以來，財務危機預警之理論及分析研究已發展相當成熟，傳統主要以財務變數構建預警模型，然發生財務危機之原因甚多，事發前現象亦不盡相同，近年財務危機之型態多屬突然爆發，使用財務指標為主之預警模式似乎已無法有效偵測潛藏風險。隨國際化和衍生金融商品複雜化，財報之舞弊亦日新月異，從進出口憑證、海關報稅單據等，皆有造假之可能，假報表真分析將是徒勞無功。再者，財務報表因公佈時程之空窗期易失去時效性，通常財務出現 惡化時，多已嚴重到無法挽救，故本研究探討如何跳脫財報數據之框架，並使用技術分析自股價型態中汲取可能隱藏之資訊。 本研究從資訊不對稱觀點出發，使用道氏理論為偵測指標檢視財務報表造假公司之股價趨勢及量能型態，分析結果發現即使公司長時間對其財務報表造假或是實施庫藏股等措施，皆僅能短暫改變股價之次級波動，股價之基本波動趨勢依然循真實財務數據呈現。而當股價之基本波動趨勢持續下降，且與市場指數呈大幅背離時，代表公司本質已有改變並與市場主流脫鉤，潛藏利空之可能增加，此時建議應重新對公司各項財務數據審慎檢驗，並搭配實際徵信以增加對公司實際營運狀況判讀。
並列摘要
The theory and analysis method of the financial crisis advisory has been well developed. So far, the use of the financial variables to predict the alert model is the most popular way. However, the cause and the precursor of the financial crisis are always different. Most of the recent cases were ignited without any sign beforehand, resulting in more and more unpredictable risks hidden behind the existing model. The financial fraud keeps mutating along with the complexion of the globalized and derived financial product. Everything could be fake, whatever it is import/export certificate, custom declaration document, and etc. To analyze a fake financial report is helpless at all. Moreover, the blank period in between the formal announcement easily loses the validity of the financial report. It is usually too late to rescue the company when the financial situation is found to be deteriorated. The thesis tries to escape from the traditional frame, further detecting the hidden information by using the share prices. The study begins from the viewpoint of the asymmetric information, then applying Dow Theory to simulate the stock trend and price-volume patterns. From the research, it is concluded that even a company manipulates its financial report or treasury stock, the influence of the share price fluctuation can only keep for a short while. Fundamentally the stock trend still reflects actual financial performance. When the basic share fluctuation turns slow and deviates from the market index, which means the nature of the company has changed. In addition to deorbiting from the main stream of the market, the possibility of spatial interest may increase. Thus, the company should re-scrutinize each financial figure and evaluate its real operation situation with credit investigation.