財務預警模式之實證研究-以台灣上市櫃營建業為例

An Empirical Study on the Establishing Bankruptcy Prediction Model of Taiwan Construction Industry

白秀卿(Hsiu-Ching Pai)

指導教授 ： 陳建宏 ； 洪志興

朝陽科技大學/管理學院/財務金融系/碩士(2011年)

摘要

本研究主要在探討國內上市及上櫃營建業公司財務危機預警模型的實證，驗證的資料是取自於台灣經濟新報資料庫 (TEJ)，包含22家上市公司及8家上櫃公司的普通股公司，共採計有30家國內上市櫃相關營建業類股。而發生財務危機的採樣期間從1999年1月1日起到2010年12月31日為止，共計有15家財務危機公司。主要利用Altman(1968)、Altman et al.(1977)和Altman and Levallee(1980)等所提出的多變量區別分析法及Ohlson(1980)所提出的logit迴歸分析法來進行國內營建業的事後樣本的預測比較。
最後經由實證後發現主要結論為：發現Ohlson(1980) 所提出logit 迴歸模型對於國內營建業可鑑別財務危機事件的正確百分比高達到93％；同時對於整體營建公司其成功辨認的正確百分比達到高達93.3%。因此支持Ohlson(1980) 模型是適用於台灣上市及上櫃營建業發生財務危機預測具有良好的鑑別能力。其次，在本文所採用的多變量區別分析方法中僅Altman(1968) 的Z-Score模型對於國內營建業可鑑別財務危機事件的正確百分比高達到73％；同時對於整體營建公司其成功辨認的正確百分比達到高達86.7%。從比較預測的結果，可發現以logit迴歸分析較多變量區別分析法用於台灣營建業發生財務危機之預測會有較好的鑑別能力。

關鍵字

logit迴歸分析 ； 多變量區別分析 ； 財務危機預測 ； 營建業

並列摘要

This study focuses on the domestic construction industry listed and OTC companies financial distress model of the evidence, the risk of financial distress by attempting to predict the domestic construction industry in order to understand which companies will face a difficult operating problems, to avoid financial institutions, Between shareholders and other vendors or contacts in the credit, expansion of credit and investment decision-making reference. Research from 1999 to 2010 financial crisis and the end of the 15 construction firms based. At the same time using the normal pairing of 15 financial companies, a total of 30 sample companies. Attempted to use the Altman (1968), Altman et al. (1977) and Altman and Levallee (1980) proposed three multivariate discriminant analysis (MDA) and Ohlson (1980) proposed the logit regression analysis to conduct the domestic construction industry after the sample prediction comparison.
Finally, through empirical studies show that the main conclusions are: that Ohlson’s (1980) logit regression model proposed by the domestic construction industry for the financial crisis may be the correct identification of the high percentage of 93%; while the overall construction company for the correct identification of its success to reach as high as 93.3%. Therefore supports the Ohlson (1980) model is applicable to the construction industry in Taiwan listed and OTC financial crisis and has a good ability to identify. Secondly, the multivariate discriminant analysis used in this paper, only the Z-Score model of Altman (1968) for the domestic construction industry can identify the correct percentage of the financial crisis reaching a high of 73%; while the overall construction company for the correct identification of its success percentage reached 86.7%. From a more predictable results, can be found logit regression analysis will have a better ability to identify predicted than Multivariate discriminant analysis is used to the occurrence of financial crisis in Taiwan''s construction industry .

並列關鍵字

construction industry ； logit regression model ； multivariate discriminant analysis ； forecast financial distress

參考文獻

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