現金流量風險值之估計：考慮企業生命週期

The Estimation of Cash Flow at Risk: A Consideration of Business Life Cycle

許傑翔(Jie-Xiang Xu)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100463

摘要

非金融業在面臨現金流量不足時，除可能衝擊到公司的正常營運外，嚴重時將更有機會使公司面臨倒閉的危機。因此，公司需透過CFaR，來正確衡量公司風險。本文修正過往文獻上的缺失，以期找出最適估計現金流量的預測模型，進而求得精準的CFaR。

相對過往文獻，本文提出三項修正。首先，由於不同屬性的現金流量，將可能面對不同的風險因子，故本文分別以營運、投資與融資現金流量來衡量CFaR，期望更全面分析公司風險；其次，本文認為企業生命週期將影響公司的財務狀況，進而影響到現金流量，故加入企業生命週期因素衡量CFaR，並與未加入者作比較；最後，本文考慮到現金流量可能受到的外生衝擊，導致非線性的走勢，故在實證模型方面，以STAR 與STARX 模型估計CFaR。

實證結果顯示，樣本內估計中，不同屬性的現金流量，總體變數對其影響將有差異。而當加入企業生命週期因素後，除了有效改善部分殘差的問題外，並且提供較佳的模型配適度。樣本外預測中，除了鴻海、群光、凌陽與圓剛的營運現金流量，日月光與敬鵬的投資現金流量，以及矽品、鴻準、燦坤與旺詮的融資現金流量外，其餘公司的現金流量皆適合以不加入企業生命週期的模型來評估。造成此結果，本文提出二點的可能：一、本文受限於樣本期間過短，僅能以最後4 季當作樣本外預測。二、由於加入企業命週期僅能就處於2 階段的公司作線性檢定，造成可能為非線性的樣本減少。

關鍵字

企業生命週期 ； 平滑轉換自我迴歸 ； 外生平滑轉換自我迴歸 ； 現金流量風險值

並列摘要

The lack of cash flows in a non-financial company may influence its normal operation or
result in its shut-down crisis. Therefore, it is important to measure a company’s Cash Flow at
Risk (CFaR) accurately. In evaluating CFaR the paper first modifies the shortages of previous
literatures, and then identifies the best forecasting models of cash flows and CFaRs.

In contrast with previous literatures on the measurement of CFaR, this paper proposed three modifications. First, due to the different risk sources of various kinds of cash flows, this
paper estimates operating cash flows at risk, investing cash flows at risk, and financing cash
flows at risk, separately, instead of operating cash flows at risk. We hope to obtain more
comprehensive analysis of company’s cash flows at risk. Second, this paper argues that the
location of a company’s business life cycle is a crucial factor affecting a company financial
position, thereby its cash flows. In other words, in measuring cash flows and CFaR we need to consider the business life cycle factors. Finally, as a company is confronted with exogenous shocks, the adjustments of cash flows may shift from a linear form to a non-linear one.
Therefore, the paper uses STAR and STARX model to estimate CFaR.

The empirical results show that different cash flows are influenced by different
macroeconomic variables. Taking business life cycle factors into account, the estimation resuts
of relative cash flows can improve part of residual problems effectively and provide better
goodness of fit. However, expect for the operating cash flows of Hon Hai Precision Industry, Chicony, Sunplus Technology, and AverMedia, the investing cash flows of Ase Kaohsiung, and Chin Poon Industry, and the financing cash flows of Siliconware Precision Industry, Foxconn Technology, Tsann Kuen Enterprise, and Ralec Electronic, other companies have poor out-of-sample forecasting performance employing the STAR and STARX models with the consideration of business life cycle factors. The poor out-of-sample forecasting performance may derive from the following two sources. First, we have only four out-of-sample data which may not reflect the forecasting ability of our applied models effectively. Second, the smooth switching of cash flows may occur in over two different regions that can not be captured in our models.

並列關鍵字

STARX Model ； Cash Flow at Risk (CFaR) ； STAR Model ； Business Life Cycle

參考文獻

鄭哲惠 (2004)，「會計評價模式與實質選擇權評價模式之比較-考慮企業生命週期」，中原大學

艾意婷 (2008)，「總體經濟因素、避險措施與現金流量風險值」，中原大學國際貿易學系碩士

黃永昇 (2008)，「現金流量風險值之估計-Linear、STAR 與STARX 之比較分析」，中原大學國

張竹淵 (2010)，「以企業生命週期觀點論析盈餘持續性」，中興大學會計學系碩士論文。

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