| 摘要Abstract | 過去財務危機預警模型多未考量總體經濟要素；然而，財務危 機事件的發生與總體經濟景氣相關。故本文採用多期總體經濟離散時 間涉險模型預測財務危機，模型中亦納入會計師出具「對繼續經營假 設有疑慮」、「違反一致性」、「或有事項」、「投資損益依未查核 財報認列」與「長期投資由其他會計師查核」之五種會計師意見，測 試會計師意見與財務危機的攸關性，進而選用 2005 年與 2006 年為測 試期間，比較該時期不同模型財務危機預測的精確度。研究結果發現 貨幣供給量、利率、消費者物價指數均與財務危機攸關，總體經濟離 散時間涉險模型對財務危機預測較單期 Logit 模型為精確。會計師「對 繼續經營假設有疑慮」或「長期投資由其他會計師查核」意見亦能增 額解釋財務危機，模型若包涵該兩項意見能降低財務危機公司誤判為 正常公司的程度，亦即降低型一誤差率，提升模型的精確度。The probability of financial distress is related to the macroeconomic circumstances. However, previous prediction models, such as Ohlson (1980) prediction models, failed to take account of macroeconomic factors when differentiating distressed and non-distressed firms. Thus, this study devises a macroeconomic discrete-time hazard model for predicting financial distress base on data collected from Taiwanese listed firms. Five types of auditors’ opinions are adopted in our models: going concern, consistency, contingency, long-term investment audited by other auditors (other auditor), and realized investment income based on non-audited financial statements (no auditor). The results of Voung test demonstrate that macroeconomic discrete-time hazard models perform better than single-period Logit models. The results illustrated the usefulness of currency (M1b) supply change ratio, one-year depositary interest rate change ratio, and consumer price index change ratio in forecasting financial distress. In addition, we find not only going concern but also other auditor opinions are relevant to the likelihood of financial distress. We conclude that the predicting models, which incorporate going concern or other auditor opinions, are more accurate. Both macroeconomic factors and auditor opinions provide incremental information content to enhance the accuracy of financial distress prediction. |