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來源文獻資料
摘要
外文摘要
引文資料
題名:
財務危機預測模型之比較分析
書刊名:
當代會計
作者:
蔡璧徽
/
黃鈺萍
作者(外文):
Tsai, Bi-huei
/
Huang, Yu-ping
出版日期:
2010
卷期:
11:1
頁次:
頁51-78
主題關鍵詞:
型一誤差
;
型二誤差
;
概似比率
;
總體經濟
;
Voung測試
;
Type І error
;
Type Ⅱ error
;
Likelihood ratio
;
Macroeconomic
;
Voung test
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
3
共同引用:0
點閱:34
過去財務危機預警模型多未考量總體經濟要素;然而,財務危機事件的發生與總體經濟景氣相關。故本文採用多期總體經濟離散時間涉險模型預測財務危機,模型中亦納入會計師出具「對繼續經營假設有疑慮」、「違反一致性」、「或有事項」、「投資損益依未查核財報認列」與「長期投資由其他會計師查核」之五種會計師意見,測試會計師意見與財務危機的攸關性,進而選用2005年與2006年為測試期間,比較該時期不同模型財務危機預測的精確度。研究結果發現貨幣供給量、利率、消費者物價指數均與財務危機攸關,總體經濟離散時間涉險模型對財務危機預測較單期Logit模型為精確。會計師「對繼續經營假設有疑慮」或「長期投資由其他會計師查核」意見亦能增額解釋財務危機,模型若包涵該兩項意見能降低財務危機公司誤判為正常公司的程度,亦即降低型一誤差率,提升模型的精確度。
以文找文
The probability of financial distress is related to the macroeconomic circumstances. However, previous prediction models, such as Ohlson (1980) prediction models, failed to take account of macroeconomic factors when differentiating distressed and non-distressed firms. Thus, this study devises a macroeconomic discrete-time hazard model for predicting financial distress base on data collected from Taiwanese listed firms. Five types of auditors' opinions are adopted in our models: going concern, consistency, contingency, long-term investment audited by other auditors (other auditor), and realized investment income based on non-audited financial statements (no auditor). The results of Voung test demonstrate that macroeconomic discrete-time hazard models perform better than single-period Logit models. The results illustrated the usefulness of currency (M1b) supply change ratio, one-year depositary interest rate change ratio, and consumer price index change ratio in forecasting financial distress. In addition, we find not only going concern but also other auditor opinions are relevant to the likelihood of financial distress. We conclude that the predicting models, which incorporate going concern or other auditor opinions, are more accurate. Both macroeconomic factors and auditor opinions provide incremental information content to enhance the accuracy of financial distress prediction.
以文找文
Other
1.
Hopwood, W., McKeown, J. and Mutchler, J.(1989)。A test of the incremental explanatory power of opinions qualified for consistency and uncertainty。
期刊論文
1.
Altman, E. I.、McGough, T. P.(1974)。Evaluation of a company as a going concern。Journal of Accountancy,138(6),50-57。
2.
Geiger, M. A.、Raghunandan, K.、Rama, D. V.(2005)。Recent changes in the association between bankruptcies and prior audit opinions。Auditing: A Journal of Practice & Theory,24(1),21-35。
3.
Hwang, D. Y.、Lee, C. F.、Liaw, K. T.(1997)。Forecasting bank failures and deposit insurance premium。International Review of Economics and Finance,6(3),317-334。
4.
Koh, H. C.、Killough, L. N.(199003)。The use of multiple discriminant analysis in the assessment of the going-concern status of an audit client。Journal of Business Finance and Accounting,17(2),179-192。
5.
Ward, T. J.(1994)。An empirical study of the incremental predictive ability of beaver's naïve operating flow measure using four-state ordinal models of financial distress。Journal of Business Finance and Accounting,21(4),547-561。
6.
Begley, Joy、Ming, Jin、Watts, Susan(1996)。Bankruptcy classification errors in the 1980s: An empirical analysis of Altman's and Ohlson's models。Review of Accounting Studies,1(4),267-284。
7.
Altman, E. I.、Haldeman, R. G.、Narayanan, P.(1977)。Zeta Analysis: A New Model to Identify the Bankruptcy Risk of Corporations。Journal of Banking and Finance,1(1),29-54。
8.
Tirapat, Sunti、Nittayagasetwat, Aekkachai(1999)。An Investigation of Thai Listed Firms' Financial Distress Using Macro and Micro Variables。Multinational Finance Journal,3(2),103-125。
9.
Hopwood, W.、McKeown, J. C.、Mutchler, J. F.(1994)。A reexamination of auditor versus model accuracy within the context of the going-concern opinion decision。Contemporary Accounting Research,10(2),409-431。
10.
Levitan, A. S.、Knoblett, J. A.(1985)。Indicators of exceptions to the going concern assumption。Auditing: A Journal of Practice and Theory,5,26-39。
11.
Dechow, Patricia M.(1994)。Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals。Journal of Accounting and Economics,18(1),3-42。
12.
Shumway, Tyler(2001)。Forecasting Bankruptcy More Accurately: A Simple Hazard Model。Journal of Business,74(1),101-124。
13.
Lennox, C. S.(1999)。Audit quality and auditor size: An evaluation of reputation and deep pockets hypotheses。Journal of Business Finance & Accounting,26(7/8),779-805。
14.
Vuong, Quang H.(1989)。Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses。Econometrica,57(2),307-333。
15.
Francis, J. R.、Krishnan, J.(2002)。Evidence on auditor risk-management strategies before and after the Private Securities Litigation Reform Act of 1995。Asia-Pacific Journal of Accounting and Economics,9(2),135-157。
16.
Healy, Paul M.(1985)。The Effect of Bonus Schemes on Accounting Decisions。Journal of Accounting and Economics,7(1-3),85-107。
17.
Degeorge, François、Patel, Jayendu、Zeckhauser, Richard J.(1999)。Earnings management to exceed thresholds。Journal of Business,72(1),1-33。
18.
Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research,18(1),109-131。
19.
Beck, Nathaniel、Katz, Jonathan N.、Tucker, Richard(1998)。Taking Time Seriously: Time-Series-Cross-Section Analysis with a Binary Dependent Variable。American Journal of Political Science,42(4),1260-1288。
20.
Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。
21.
Ashbaugh, H.、LaFond, R.、Mayhew, B.(2003)。Do non-audit services compromise auditor independence? Further evidence。The Accounting Review,78,611-639。
22.
Zmijewski, Mark E.(1984)。Methodological Issues Related to the Estimation of Financial Distress Prediction Models。Journal of Accounting Research,22(Supplement),59-82。
圖書
1.
Balse Committe on Banking Supervisions(2001)。The internal ratings-based approach。Bank for International Settlements。
其他
1.
R. Antle, P. A. Griffen, D. J. Teece and O. E. Williamson(1997)。An economic analysis of auditor independence from a multi-client, multi-service public accounting firm。
2.
B. Foster, T. Ward and J. Woodroof(1998)。An analysis of the usefulness of debt defaults and going concern opinion in bankruptcy risk assessment。
3.
A. Fuertes and E. Kalotychou(2007)。Optimal early warning systems for sovereign debt crises。
4.
T. Lancaster(1990)。The Econometric Analysis of Transition Data。
5.
L. Sun(2007)。Are-evaluation of auditors’ opinions versus statistical models in bankruptcy prediction。
6.
L. Sun, M. Ettredge and R. Srivastava(2003)。Predicting bankruptcy among distressed firms。
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