台灣上市櫃公司下市風險之研究

A study of the delisted risk of listed companies in Taiwan

黃慧真(Hui-Chen Haung)

指導教授 ： 余士迪

國立清華大學/科技管理學院/計量財務金融系/碩士(2010年)

摘要

投資人應慎選投資標的以避免下市櫃公司所造成的損失，本研究旨在探討台灣上市櫃公司失敗的因素，以幫助投資人做出正確選擇。綜觀過去研究，Beaver (1966)以單一財務比率預測失敗的公司，是首篇財務危機的研究。Lane, Looney and Wansley(1986)應用比例危險模型進行銀行倒閉之預測並與多變量區別分析進行比較。Hensler, Rutherford and Springer(1997)運用加速失敗時間模型，研究影響新上市公司存活的因素。Hensler et al.和Lane et al.未考慮隨時間變動的解釋變數(time varying covariate)，因此本研究考慮隨時間變動的解釋變數的影響。此外，納入全部曾上市櫃的公司作為樣本以符合母體的真實情況。

本篇研究應用存活分析中的Cox模型探討影響台灣上市櫃公司存活時間長短的因素。以1989年至2009年間1,319家上市櫃公司為研究樣本，並進一步將樣本分成電子業和非電子業。實證結果顯示電子業公司的存活時間和三個比率有顯著正相關，包含流動比率、現金流量比率和資產報酬率；電子業公司的存活時間和負債比率有顯著負相關。非電子業公司的存活時間受較多變數影響，其和六個比率有顯著正相關，包含公司規模、流動比率、現金再投資比率、資產報酬率、總資產週轉次數、董監持股比率顯著正相關；非電子業公司的存活時間和負債比率顯著負相關。

關鍵字

存活分析 ； cox模型 ； 下市櫃

並列摘要

Investors should carefully choose the investment to avoid the loss that delisted companies cause. This study aims to examine the factors associated with failures of Taiwan listed companies and help investors to make right decision. Beaver(1966) uses single financial ratio to predict company failure and that study is the first financial crisis study. Lane, Looney and Wansley(1986) apply Proportional Hazard Model to predict bank failure and compare it with multiple discriminate analysis. Hensler, Rutherford and Springer(1997) uses Accelerated Failure Time Model to analyze the factors influenced the survival time of listed companies. Hensler et al. and Lane et al. did not consider time varying covariate, therefore this study consider the effect of time varying covariate. In addition, this study takes all the companies that have listed as samples to meet the real situation of the population.
The Cox Model, a survival analysis technique, is employed to examine the determinants of survival time of Taiwan listed companies. The samples of this study consist of 1,319 Taiwan listed companies from 1989 to 2009. This study divides all samples into electronics industry and non-electronics industry further. From the empirical results, we found that there is a significant and positive relation between the survival time of electronic industry firms and the three factors, including current ratio, cash flow ratio and return on asset；There is a significant and negative relation between the survival time of electronic industry firms and debt ratio. The survival time of non-electronic industry are affected by more factors and significantly and positively related to six factors, including size, current ratio, cash reinvestment ratio, return on asset, total asset turnover and corporate ownership ratio；The survival time of non-electronic industry are significantly and negatively related to debt ratio.

參考文獻

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Beaver, W. H., 1966. “Financial Ratios as Predictors of Failure,”Journal of Accounting Research. 4:71-111.