Title

建立財務危機預警模型 – 以台灣電子業為例

Translated Titles

An Empirical Study of Financial Distress Prediction Model – Evidence from Electronics Industries in Taiwan

DOI

10.6844/NCKU201900250

Authors

張博丞

Key Words

羅吉斯 ; 財務危機 ; 公司治理 ; 總體經濟 ; KMV ; Logistic regression ; Distress ; Corporate governance ; Macroeconomics ; KMV

PublicationName

成功大學財務金融研究所學位論文

Volume or Term/Year and Month of Publication

2019年

Academic Degree Category

碩士

Advisor

梁少懷

Content Language

繁體中文

Chinese Abstract

本論文透過台灣電子業在2005至2007年之半年資料,建立財務危機預警模型,並用於檢測短期三年間全球性金融海嘯造成之系統性風險是否影響公司財務狀況,且檢測該模型在長期時間下是否能維持良好的區別能力。本研究結合過往研究,財務危機是有其階段可循,以及各式各樣的指標對於模型區別有著不同的效果,最後選擇透過半年財報之財務比率、公司治理變數、總體經濟、KMV所計算之違約距離等因子,建立三分類羅吉斯迴歸之財務危機預警模型。研究目的是找出結合公司各方面資訊與總體經濟之區別效果較好的模型,不僅區別效果好,同時也能有效降低型一誤差的誤判機率。研究結果顯示,三分類羅吉斯迴歸模型之正確區別率多數為維持78%以上,且有效降低健全公司與危機公司彼此間誤判之機率,其誤判機率不超過1.1%,不論短期、長期,本研究建構之模型皆有一定程度之可信度與參考價值。KMV變數中的違約距離為顯著影響,且影響的方向與預測相同,當公司財務狀況距離違約距離越遠,表示違約機率越小,財務狀況越健全。因企業的財務狀況有一定的發展歷程,對於非屬財務危機的公司而言,並不是全部都屬於財務健全的狀態。因此,透過三分類羅吉斯迴歸模型可以將財務中等的類別區分出來,以降低二分類羅吉斯迴歸模型中,可能存在錯誤樂觀或錯誤悲觀之判斷。

English Abstract

This paper established a financial distress prediction model through the electronics industry in Taiwan from 2005 to 2007. We examine whether the systemic risk caused by the Financial Crisis affected the financial status company in the short term. Also, we detected the accurate prediction of the model whether it can maintain a good accuracy in the long-term. We built a financial distress prediction model using the three-categories logistic regression with financial ratios, corporate governance variables, macro-economy variables, and the default distance calculated by KMV. The purpose of the research is to find a model which not only distinguishes the effects well but also effectively reduces the probability of misjudgment. The results show that the correct prediction rate of the three-categories logistic regression model was mostly maintained at more than 78% and effectively reduces the probability of misjudgment which is no more than 1.1%. The model is trustworthy. Because of the financial development of the company, there are certain developmental processes. We can distinguish the financial process through three-categories logistic regression model. In this way, it can reduce the probabilities of type I error and type II error.

Topic Category 管理學院 > 財務金融研究所
社會科學 > 財金及會計學
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