公司財務預警模型之探討-應用動態財務危機機率門檻值

The Study on Corporate Financial Distress Forecasting Model- An Application of Dynamic Distress Threshold Value

吳國瑋(GUO-WEI WU)

指導教授 ： 邱國欽 ； 李見發

朝陽科技大學/管理學院/財務金融系/碩士(2017年)

摘要

本研究使用財務比率、公司治理和智慧資本等因素來建構公司財務危機預警模型。其中智慧資本因素包含每人營收、每人配備率、營業費用率和營收成長率等4個變數。研究期間為2012~2015年，使用年資料，樣本選取上市、櫃電子業18家發生財務危機公司，並以公司規模相近之正常公司36家。在判別公司發生財務危機與否，有別於一般的二分之一法則 (即成功機率值為0.5)，本研究採用整體判別準確率極大化或錯誤率總和極小化的原則來決定最適門檻值以增加財務危機模型之預測能力。研究結果找出模式判別整體準確率之門檻值大部份比一般門檻值為0.5之整體準確率都來的高，而模式判別兩個錯誤率總和皆比一般門檻值為0.5之兩個錯誤率總和都來的低。另外，本研究再加入智慧資本因素之後，此財務預警模式確實可提高整體預測準確率與降低預測兩個錯誤率總和。

關鍵字

財務危機 ； 智慧資本 ； 動態財務危機機率門檻值 ； Logistic迴歸模型

並列摘要

In the present study, we constructed a financial distress prediction model on the basis of a set of financial ratios, corporate governance variables and intellectual capital. We took sales per employee, per employee equipment, operating expense ratio and sales growth ratio as the proxies of intellectual capitals. This paper obtained 18 financially distressed electronics firms and 36 regular firms which listed in Taiwan Stock Exchange and over the counter during the periods from 2012 to 2015. Instead of the general one-half criteria (the probability of success is 0.5), we adopted the criteria of the dynamic distress threshold value to improve the prediction accuracy or reduce the prediction error of the model. The empirical results show that mostly the total prediction accuracy and error based on the dynamic distress threshold value is higher and lower than those of the general threshold value of 0.5, respectively. By adding the intellectual capital, we could improve the prediction accuracy and reduce the prediction error of the model.

並列關鍵字

Financial Distress ； Intellectual Capital ； Dynamic Distress Threshold Value ； Logistic Regression Model

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