應用時間相依共變數Cox模型預測公司破產事件研究

The Application of Time-dependent Covariates Cox Model for Predicting Bankruptcy

施智中(Jr-Jung Shr)

指導教授 ： 鍾麗英

國立臺北大學/商學院/統計學系/碩士(2008年)

摘要

企業的經營與社會的動脈是息息相關的，一旦企業遭遇財務危機而面臨倒閉時，勢必會造成社會的不安。建立一套公司財務預警制度，以預防公司發生財務危機是非常重要的。本研究採用存活分析中的時間相依共變數Cox模型(Time-dependent covariates Cox model)及分層時間相依共變數Cox模型(Stratified time-dependent covariates Cox model)，以1989年至2006年美國公司的財報資料預測模型的正確率。

此研究中有兩個主要的發現。第一，以Shumway所取的變數，採用時間相依共變數Cox模型(Time-dependent covariates Cox model)，考慮每間公司每一個時點的共變數與存續期間相關性來做破產預測。其模型的預測正確率與離散時間危險模型(Discrete-time hazard model)相當。第二，採用分層時間相依共變數Cox模型(Stratified time-dependent covariates Cox model)，以公司資產大小為干擾因子來分層，，此模型能更進一步提高破產預測的正確性。

關鍵字

破產 ； 存活分析 ； 離散時間危險模型 ； 時間相依共變數Cox模型 ； 分層時間相依共變數Cox模型

並列摘要

Management business is closely associated with society, since if a large company went bankrupt it could have a negative effect on the society. It is crucial to establish a financial warning system to prevent financial institutions from blindly going down the path of financial distress. This paper investigates the forecasting accuracy by employing time-dependent covariates Cox model, and stratified time-dependent covariates Cox model in survival analysis using U.S. firms data during 1989-2006.

There are two main findings in this research. First, the time-dependent covariates Cox model with Shumway's variables is used to incorporate the relation between covariates and the survival duration of each firm at each point in time for predicting bankruptcy. The forecasting ability of this model is as accurate as discrete-time hazard model. Second, the stratified time-dependent covariates Cox model stratified with confounded factor, firm size, can further improve the forecasting accuracy for predicting bankruptcy.

並列關鍵字

Bankruptcy ； Survival analysis ； Discrete-time hazard model ； Time-dependent covariates Cox model ； Stratified time-dependent covariates Cox model

參考文獻

Allison, P.D., 1982. Discrete-time methods for the analysis of event historics. Sociological Methodology, 13: 61-98.

Allison, P.D., 1995. Survival Analysis Using the SAS System: A Practical Guide, SAS Publishing.

Altman, E.I., 1968. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance, 23: 589-609.

Altman, E.I., Haldeman, R., and Narayanan, P., 1977. ZETA analysis: A new model to Identify Bankruptcy Risk of Corporations. Journal of Banking and Finance, 10(1): 29-54.

Beaver, W.H., 1968. Market Price, Financial ratios, and prediction of Failure. Journal of Accounting Research, (Supp): 71-102.