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題名:企業危機預測模型在臺灣的應用與比較
書刊名:臺灣銀行季刊
作者:張大成 引用關係
出版日期:2003
卷期:54:4
頁次:頁147-163
主題關鍵詞:企業危機預警區別分析Logit迴歸倒傳遞類神經
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:28
有鑑於企業危機預警的重要性,本文利用區別分析法、Logit迴歸法、Probit迴歸法,以及倒傳遞類神經模型,進行臺灣企業危機模型之架構。並採用臺灣上市櫃所有公司為樣本,利用90年企業違約與否的資料進行預測。我們以董監事質押比率作為大股東財務狀況的代理變數,並佐以其他財務比率。實證結果發現,在不考慮董監事質押比率的情況下,以Logit迴歸分析法的預測績效最佳。而當考慮?監事質押比率作為投入度數時,發現可以有效地提昇不同皆析法的預測正確率,以及降低型一與型二誤差。申言之,本文認為由於臺灣特有的企業經營文化,公司大股東的財務狀況對於企業未來是否會發生財務危機是具有預測能力。
期刊論文
1.Lee, Kun-Chang、Han, Ingoo、Kwon, Youngsig(1996)。Hybrid Neural Network Models for Bankruptcy Predictions。Decision Support Systems,18(1),63-72。  new window
2.Back, B.、Laitinen, T.、Sere, K.(1996)。Neural networks and genetic algorithms for bankruptcy predictions。Expert Systems with Applications,11(4),407-413。  new window
3.Fernandez, E.、Olmeda, I.(1995)。Bankruptcy Prediction with Artificial Neural Networks。Lecture Notes in Computer Science,930,1142-1146。  new window
4.McKee, T.、Greenstein, M.(2000)。Predicting Bankruptcy Using Recursive Partitioning and a Realistically Proportioned Data Set。Journal of Forecasting,19(3),219-230。  new window
5.Belkaoi, Ahmed(1980)。Industrial Bond Ratings: A New Look。Financial Management,9(3),44-51。  new window
6.Chaveesuk, R.、Srivaree-Ratana, C.、Smith, A.(1997)。Alternative Neural Network Approach to Corporate Bond Rating。Journal of Engineering Valuation and Cost Analysis,2(2),117-131。  new window
7.Horrigan, J. O.(1965)。Some Empirical Bases of Financial Ratio Analysis。The Accounting Review,40(3),558-568。  new window
8.Kiviluptp, K.(1998)。Predicting Bankruptcies with the Self Organizing Map。Neurocomputing,21(1-3),191-201。  new window
9.Leshno, M.、Spector, Y.(1996)。Neural Network Prediction Analysis: The Bankruptcy Case。Neruocomputing,10(2),125-147。  new window
10.Ederington, Louis H.(1985)。Classification models and bond ratings。The Financial Review,20(4),237-262。  new window
11.Altman, E. I.、Marco, G.、Varetto, F.(1994)。Corporate distress diagnosis: comparisons using linear discriminant analysis and neural networks。Journal of Banking and Finance,18(3),505-529。  new window
12.Boritz, J. Efrim、Kennedy, D. B.(1995)。Effectiveness of Neural Network Types for Prediction of Business Failure。Expert System with Applications,9(4),503-512。  new window
13.Tam, K. Y.、Kiang, M. Y.(1992)。Managerial applications of the neural networks: The case of bank failure predictions。Management Science,38(7),926-947。  new window
14.Atiya, A. F.(2001)。Bankruptcy Prediction for Credit Risk using Neural Networks: A Survey and New Results。IEEE transactions on neural networks,12(4),929-935。  new window
15.Coats, Pamela K.、Fant, L. Franklin(1993)。Recognizing Financial Distress Patterns Using a Neural Network Tool。Financial Management,22(3),142-155。  new window
16.Salchenberger, L. M.、Cinar, E. M.、Lash, N. A.(1992)。Neural Networks: A New Tool for Predicting Thrift Failures。Decision Sciences,23(4),899-916。  new window
17.Zhang, Guo-Qiang、Hu, Michael Y.、Patuwo, B. Eddy、Indro, Daniel C.(1999)。Artificial Neural Networks in Bankruptcy Prediction: General Framework and Cross-validation Analysis。European Journal of Operational Research,116(1),16-32。  new window
18.Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research,18(1),109-131。  new window
19.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
會議論文
1.Altman, E.、Katz, S.(1976)。Statistical Bond Rating Classification Using Financial and Accounting Data。The Conference on Topical Research in Accounting。New York:New York University。205-239。  new window
2.Odom, M.、Sharda, R.(1990)。A neural network model for bankruptcy prediction。The International Joint Conference on Neural networks。San Diego, CA。163-168。  new window
3.Alici, Y.(1995)。Neural Networks in Corporate Failure Prediction: The UK Experience。Third International Conference Neural Networks in The Capital Markets。London。393-406。  new window
4.Martinelli, E.、de Carvalho, A.、Rezende, S.、Matias, A.(1999)。Rules Extractions from Banks' Bankrupt Data Using Connectionist and Symbolic Learning Algorithms。Computational Finance Conference。New York。  new window
圖書論文
1.Dutta, S.、Shekhar, S.(1988)。Bond Rating: A Non-conservative Application of Neural Networks。Neural Networks in Finance Investing : Using and Artificial Intelligence to Improve Real-Word Performance。New York:Irwin。  new window
2.Surkan, A.、Singleton, J. C.(1990)。Neural Networks for Bond Rating Improved by Multiple Hidden Layers。Neural Networks in Finance Investing: Using and Artifical Intelligence to Improve Real-Word Performance。New York:Irwin。  new window
 
 
 
 
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