集團業獨立董監、代理問題與信用風險模型之實證研究

摘　　要本研究以2000年至2012年集團業發生信用風險之上市櫃公司為樣本，利用Logistic 迴歸統計科學方法，建構集團業信用風險模型(Credit Risk Models)，考慮代理問題(Agency Problems)，期望藉由此預測模型，能提供外部投資人、金融機構及相關債權人在公司尚未發生財務風險(Financial Risk)前，預測出可能發生之機率，降低財務風險損失(Financial Risk Loss)，以達事前預警和風險管理之效。實證分析上，採用28個財務指標變數及4個公司治理變數，利用K-S檢定、M-U檢定及Logistic迴歸分析，找出影響公司績效之顯著變數。實證結果發現，當所有權與經營權合一時，影響公司績效之主要變數為償債能力、經營能力、獲利能力及公司治理指標，預測準確率前三年分別為95.2%、92.9%與95.2%。研究建議，提高流動比率、利息保障倍數、應收帳款週轉率、固定資產週轉率、營業毛利率與稅後淨利率，可改善企業償債能力、經營能力與提高獲利能力；儘早設置獨立董監事，可增強公司治理能力，進而提高公司績效。本文之實證價值與管理意涵為，集團業宜儘早設置獨立董監事，重視內部人監督，降低代理問題，可提高公司治理能力，降低公司信用風險發生的可能性。

關鍵字

集團業；公司治理；獨立董監事；信用風險模型

並列摘要

Abstract This study takes the listed and over-the-counter (OTC) companies which had credit risks in group companies during 2000 to 2012 as samples, and uses logistic regression statistics to construct a group companies credit risk model. Considering agency problem, this paper hopes to provide this predictive model for outside investors, financial institutions and related creditors to predict the probability of financial risks before they occur, so as to reduce the financial risk losses and achieve early warning and risk management. In empirical analysis, the 28 financial indicator variables and 4 corporate governance variables are analyzed by K-S test, M-U test and logistic regression, so as to determine the significant variables influencing the company performance. The empirical result suggests when the ownership and management right are unified, the primary variables influencing the company performance include debt paying ability, operational capacity, profitability and corporate governance index. The forecast accuracy rate in the first three years is 95.2%, 92.9% and 95.2% respectively. This paper suggests that increasing the current ratio, time interest earned ratio, accounts receivable turnover, fixed asset turnover, rate of operating margin and net profit after taxation can improve the business solvency, operational capacity and profitability. Setting independent directors and supervisors as early as possible can enhance the corporate governance capability, so as to improve the company performance. In terms of empirical value and managerial implications, the group companies should set independent directors and supervisors as early as possible, pay attention to insider supervision, and reduce the agency problem, so as to enhance the corporate governance capability and reduce the probability of corporate credit risks.