財務比率與董監持股比率的危機預警能力—以實施庫藏股危機公司為例

The Crisis Alarming Abilities of Financial Ratios and Stocks Holding Ratio by Directors and Supervisors: Evidence from Crisis Companies Adopting Stock Repurchases

張士晏(Shih-Yen Chang)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200790

摘要

自2008年金融海嘯以來，世界各地公司破產的例子層出不窮，造成投資大眾極大的損失，促使危機預警的議題持續發酵。然而，傳統的預警模型鮮少針對實施庫藏股之危機公司進行研究，且通常針對單一縱斷面時間序列或橫斷面資料進行分析，亦即較少使用追蹤資料的概念建立預警模型。因此，本研究使用追蹤資料的概念針對曾實施庫藏股之危機公司進行研究分析，試圖研究其財務比率與董監持股比率與危機發生之關聯，提供投資人及公司進行決策之參考。

本研究以Panel Logit方法估計危機預警模型，其中解釋變數包括：負債比率、總資產週轉率、速動比率與稅後淨值報酬率等四項財務比率，並加入公司治理之代理變數－董監持股比率。研究對象為2000年1月至2007年12月台灣上市公司中17家曾實施庫藏股之危機公司，再依「1：2」配對比較法選取相同性質或產業之正常公司共34家，總計51家公司進行研究。

實證結果顯示，負債比率、總資產週轉率、稅後淨值報酬率及董監持股比率與實施庫藏股危機公司發生財務危機之間皆呈現顯著的關係，而速動比率可能因配對樣本不佳而造成與預期不符之結果形成。

關鍵字

財務危機 ； 庫藏股 ； Panel Logit模型

並列摘要

Since the occurrence of financial tsunami in 2008, there have appeared many bankruptcy companies around the world. The phenomenon has caused great loss of investors and has attracted the attention of researchers in terms of the accurate estimation of crisis alarming models. Previous studies on crisis alarming of company rarely estimate crisis alarming models with the crisis companies that have adopted the policy of stock repurchases, and often estimate the models in a time series or cross-sectional data framework. That is, few of them have ever used panel data approach to estimate crisis alarming models. Thus, this study uses the estimation method of panel data and selects the crisis companies that have adopted the policy of stock repurchases as sample objects to assess how financial ratios and the variable of corporate governance influence the probability of the crisis occurrence.

In this study, we apply a panel logit approach to estimate the crisis warming model. The independent variables include four financial ratios－debt ratio, total asset turnover ratio, quick ratio, return on shareholders' equity, and the proxy of corporate governance－stocks holding ratio by directors and supervisors. The sample objects are 17 crisis companies in Taiwan security exchange company that have adopted the policy of stock repurchases over the period January 2000 to December 2007, and 34 normal companies with similar industrial characteristic.

The empirical results show that the debt ratio, total asset turnover, return on shareholders' equity, and the stocks holding ratio by directors and supervisors significantly influence the probability of the crisis occurrence for the companies that have adopted stock repurchases policy. However, the quick ratio has an unexpected effect on the probability of the crisis occurrence due to poor matching companies.

並列關鍵字

Financial Crisis ； Treasury Stock ； Panel Logit Model

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