企業財務危機預警機制之實證—以「財務重點專區」為例

A Study of Enterprises’ Financial Distress Warning System: An Application of "Financial Reference Database"

張加樺(Chia-Hua Chang)

指導教授 ： 李瓊映

長榮大學/管理學院/經營管理研究所/碩士(2009年)

https://doi.org/10.6833/CJCU.2009.00091

摘要

企業財務危機預警機制之實證—以「財務重點專區」為例
2007年七月二日，台灣證券交易所於公開資訊觀測站各項專區中增設「財務重點專區」以供投資人做投資參考指標。此專區主要為提供投資人做為其投資之警示參考，內容為台灣上市櫃公司所公開之財務資訊。專區內原有八大指標，於2008年九月一日，台灣證券交易所再增設一項指標，成為九大指標，可用於建構現行台灣上市櫃公司之財務預警系統。因此，本研究利用此專區所提供之指標建構為企業財務危機預警模型，驗證此專區所提供之指標相對於國內外學者所實證之結果，對於預測企業財務危機是否有較高的準確率。
本文使用Logistic Regression Model建構財務預警模型，其中無加入向後條件式Logistic Regression Model為「模型一」，加入為「模型二」，研究資料取已經發生財務危機之企業，再分別收集各企業發生財務危機時點之前一期與前兩期樣本資料做實證分析。研究結果顯示，此專區所提供之指標對於預測企業是否發生財務危機之準確率低於國內外學者使用同模型實證之結果；而採用向後條件式Logistic Regression Model進一步驗證，發現「負債比率」與「營運現金流量」為最佳的預測變數，兩者皆為財務比率變數。

關鍵字

財務重點專區 ； 財務預警模型 ； 羅吉斯迴歸

並列摘要

A Study of Enterprises’ Financial Distress Warning System: An Application of "Financial Reference Database"
Taiwan’s stock exchange corporation established "Financial reference database" which could provide entire zones of the market observation post system (MOPS) from June 2, 2007 and could offer investment indicators to the investors. The contents of the zones were the integrated financial information from listed and OTC firms that turned into investment indicators. Above contents contained eight dimensions initially, and then transferred to nine dimensions consequently after increasing the new one. The reference indicators of the zones were adopted to gain an enterprises’ financial reference database on this research, and to confirm predicted accuracy of enterprise finance distress while higher precision rate being gathered from using reference indicators of the zone. The research applied logistic regression model to set up financial distress warning models. Traditional regression and logistic regression model were defined as Model 1 and 2, respectively. Key study information was selected and evaluated from all financial distress companies. Then data collection of sample companies included pre-one periods and pre-two periods before the financial distress events happened.
The results demonstrated the discriminate rate of enterprises’ financial distress with our reference indicators seemed too lower while comparing outcomes of similar methodology in recent literatures. The evidences were supported that “debt ratio” and “operating cash flow” could be the best predicted variables from further test with logistic regression model and both of them could be attributed to financial dimensions.

並列關鍵字

Financial reference database ； financial distress warning model ； logistic regression

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