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題名：產業差異與企業財務危機模型
書刊名：臺灣金融財務季刊
作者：張大成 引用關係／林郁翎 引用關係／黃繼寬
作者(外文)：Chang, Ta Cheng／Lin, Yu Ling／Huang, Chi Kuan
出版日期：2006
卷期：7:4
頁次：頁1-28
主題關鍵詞：財務危機模型；產業差異；交叉驗證；Logit模型；Merton模型；Financial distress model；Industry effect；Cross validation；Logit model；Merton model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:47
  • 點閱點閱:74
當前國內財務危機模型的研究發展大多討論如何使用不同的計量模型，或是如何運用與會計變數不同領域的變數於模型中，以提高模型在樣本內的配適力與樣本外的預測力。本文加入以下兩個重要因素於財務危機模型中，依序為：1.產業差異對財務危機模型之影響；2.長期試行下模型效力之分析。首先對變數進行標準化過程，探討產業差異對財務危機模型的影響，接著以交叉驗證的方式進行長期試行下模型效力之分析。 實證結果顯示考慮不同產業間的差異，對變數進行標準化過程，將有助於提高整體模型的預測力與穩定力，使財務危機模型發揮其預警功效，並確實預測出財務品質較差的公司。
In order to raise the discriminative power of financial distress model with in-sample and prediction accuracy ratio of financial distress model with out-sample, studies of financial distress model in Taiwan now focus in how to use different econometric model and different kind of variables, such as the frequency of changing accountant and manager's age, to compare with accounting variable in such model. This study discusses two important factors, the industry effect and the stability of financial distress model. We standardize all variables in the model according to different industries to analize the industry the effect in financial distress model, and use cross validation for the stability of the model. This study suggests strongly that the industry effect should be considered when applying the financial distress model. The process of standardizing variable can improve the discriminative power of the model with in-sample and prediction accuracy ratio similarly with out-sample.
期刊論文
1.Chava, S.、Jarrow, R. A.(2004)。Bankruptcy Prediction with Industry Effects。Review of Finance，8(4)，537-569。  new window
2.林金賢、陳育成、劉沂佩、鄭育書(20040600)。具學習性之模糊專家系統在財務危機預測上之應用。管理學報，21(3)，291-309。new window  延伸查詢new window
3.薛立言、張志向(20040600)。信用評等：期間與產業差異分析。中山管理評論，12(2)，307-336。new window  延伸查詢new window
4.Ohlson, J. A.(1980)。Financial ratios and probabilistic prediction of bankruptcy。Journal of Accounting Research，18(1)，109-131。  new window
5.Deakin, Edward B.(1972)。A discriminant analysis of predictors of business failure。Journal of Accounting Research，10(1)，167-179。  new window
6.黃振豊、呂紹強(20001100)。企業財務危機預警模式之研究--以財務及非財務因素構建。當代會計，1(1)，19-40。new window  延伸查詢new window
7.Platt, H. D.、Platt, M. B.(1990)。Development of a class of stable predictive variables: The case of bankruptcy prediction。Journal of Business Finance and Accounting，17(1)，31-51。  new window
8.Blum, M. P.(1974)。Failing Company Discriminant Analysis。Journal of Accounting Research，12(1)，1-25。  new window
9.Beaver, W. H.(1966)。Financial Ratios as Predictors of Failure。Journal of Accounting Research，4(3)，71-111。  new window
10.Altman, E. I.、Marco, G.、Varetto, F.(1994)。Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks (the Italian Experience)。Journal of Banking and Finance，18(3)，505-529。  new window
11.Shleifer, Andrei、Vishny, Robert W.(1992)。Liquidation values and debt capacity: A market equilibrium approach。The Journal of Finance，47(4)，1343-1366。  new window
12.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance，29(2)，449-470。  new window
13.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
14.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance，23(4)，589-609。  new window
研究報告
1.Sobehart, Jorge R.、Keenan, Sean C.、Stein, Roger M.(2000)。Benchmarking Quantitative Default Risk Models: A Validation。Global Credit Research, Moody's Investors Service。  new window
圖書
1.Fitzpatrick, P.(1932)。A Comparison of the Ratios of Successful Industrial Enterprises with those of Failed Companies。Washington：The Accountants Publishing Company。  new window
2.Gujarati, Damodar N.(1995)。Basic Econometrics。McGraw-Hill, Inc.。  new window
其他
1.周大中(1995)。台灣地區景氣變動對製造業財務之影響。  延伸查詢new window
2.Altman, E.(1984)。Identifying Corporate Distress in Australia: An Industry Relative Analysis。  new window
3.Back B.(1996)。Choosing Bankruptcy Predictors: Using Discriminant Analysis, Logit Analysis, and Genetic Algorithms。  new window
4.Berg, D.(2005)。Bankruptcy Prediction by Generalized Additive Models。  new window
5.Berkovitch, E.(1998)。The Bankruptcy Decision and Debt Contract Renegotiations。  new window
6.Chen, K. H.(1981)。An Empirical Analysis of Useful Financial Ratios。  new window
7.Crouhy, M.(2001)。Prototype Risk Rating System。  new window
8.Dambolena, I.(1980)。Ratio Stability and Corporate Failure。  new window
9.Engelmann, B.(2003)。Measuring the Discriminative Power of Rating Systems。  new window
10.Etebari, A.(1978)。To Be or Not To Be Reaction of Stock Returns to Sudden Deaths of Corporate Chief Executive Officers。  new window
11.Falkenstein, E., A. Boral and L. Carty(2000)。RiskCalc Private Model: Moodys Default Model for Private Firms，Moodys Investors Services。  new window
12.Hillegeist, S.(2004)。Assessing the Probability of Bankruptcy。  new window
13.Izan, H.(1984)。Corporate Distress in Australia。  new window
14.Kahya, E.(1999)。Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology。  new window
15.Lettmayr, C.(2001)。Bilanzkennzahlen - Handbuch für Praktiker, Österreichisches Institut für Gewerbe- und Handelsforschung.。  new window
16.Maksimovic, V.(1997)。Asset Efficiency and Reallocation Decisions of Bankrupt Firms。  new window
17.Mays, E.(2000)。Handbook of Credit Scoring，Chicago：Glenlake。  new window
18.Odom, M.(1990)。Bankruptcy Prediction Using Neural Networks。  new window
19.Rumelhart, D. E.(1986)。Parallel Distributed Processing: Explorations in the Microstructure of Cognition, 1:2，Cambridge, MA：MIT Press。  new window
 
 
 
 
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