上市公司的財務預警、違約指標、違約距離與系統風險

Credit Scores, Distance to Default and Systematic Risk of the TSE listed companies

施佩辰(Pei-chen Shi)

指導教授 ： 嚴宗銘 ； 許可達

朝陽科技大學/管理學院/保險金融管理系/碩士(2010年)

摘要

因美國次級房貸危機引起金融海嘯，使得我國上市、上櫃公司因投資失利接連傳出財務危機消息，企業經營困難消息頻傳，且部份企業面臨需進行重整、股票暫停交易或下市之情形，不僅波及企業本身資產價值減損，對外部投資大眾更是報酬率減低。為防止企業財務危機的發生，過去這類相關研究有財務預警模型來預測，其模型包含：會計基礎模型及市場基礎模型等。
而本文研究目的是針對台灣上市公司進行違約風險發生與否作風險預警的實證研究，資料來源則以台灣經濟新報資料庫裡定義財務危機及準財務危機者，擷取出樣本期間(1992年到2008年)內違約事件，整合這些公司在違約前一年的財務資訊，並隨機選取相同年度、相同產業別之正常上市公司以1：1的比例進行配對。在配對標準中，產業別為最優先之準則，其次才是資產價值，其中排除一些資料不全(例如：產業別不同、時間點有缺，資產相差太多等因素)。
本研究特色在於避開一般傳統系統分析需要大量的資料以建立系統模型，先利用市場基礎模型中的違約距離(DD值)與會計基礎模型中的違約指標(Z-Score、AFC)及系統風險(Beta值)作為自變數與依變數違約與否，並以之間的相關性，進行計算建構一個最適羅吉斯(Logit)迴歸模型，針對上市健全之公司與違約公司進行樣本配對驗證，希望以最少變數之數量，來檢視模型是否能提供有效資訊來預測公司是否陷入財務危機及因應市場資訊變化的反映能力。

關鍵字

系統風險 ； 市場基礎模型 ； (準)財務危機 ； 會計基礎模型

並列摘要

In 2007, a big financial tsunami occurred due to the U.S. Sub-prime crisis. Because of wrong investments, many TSE and OTC companies in Taiwan faced the financial crisis problems. The management of these companies became difficult.
The objective of this study is to propose a prediction financial model to analysis and validate the probability of the financial crisis in an enterprise. We retrieved all the financial crisis events from 1992 to 2008 in the TEJ database, and integrated them with one year financial information of the specified companies before the event occurred. We also randomly selected 1:1 pairing information of the same period and the companies of the same industry.
In this study, we proposed a financial crisis prediction model based on the Logit Regression intervention model. In our proposed model, we have three independent variables and one dependence variable. The independent variables are the distance to default in the market based models (Merton model), the variable in the accounting based models (Z-Score、AFC), and the Beta value of the companies. We use the occurrence of the financial crisis as the dependent variable. We plan to check the modules produced the effective information to predict which company falls into financial crisis and reaction of marketing information changes by the minimum set of variables. By using our model, we can improve the drawbacks of the previous studies, which required large among of data. Then the market based models are better than accounting based models. Also, we found the bankruptcy is not predicted by a systematic risk.

並列關鍵字

Systematic Risk ； Market Based Models ； Accounting Based Models ； (Quasi-)Financial Distress

參考文獻

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