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題名:樣本選擇偏誤於企業財務危機預警模型之研究:以臺灣上市公司為例
書刊名:經濟研究. 臺北大學經濟學系
作者:林郁翎 引用關係張大成 引用關係黃士賓
作者(外文):Lin, Yu-lingChang, Ta-chengHuang, Shin-pin
出版日期:2010
卷期:46:2
頁次:頁285-319
主題關鍵詞:樣本選擇拒絕推論財務危機警模型Probit模型Sample selectionReject inferenceFinancial distress prediction modelProbit 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(2) 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:2
  • 共同引用共同引用:7
  • 點閱點閱:40
傳統財務危機預警模型建立,皆是以已通過審核申請者樣本建立模型,忽略未通過審核申請者樣本,然而以這些樣本所建構出來的模型,因為不能反映母體的變動程度與變數間的相互影響效果,亦未考慮樣本選擇偏誤問題,故會影響模型的配適度與預測能力。本文則是加入拒絕推論技術建立修正後Heckman 兩階段樣本選擇模型,以台灣上市公司為例,與傳統財務危機預警模型進行比較;研究結果發現,財務危機模型建構中的審核模型與違約模型兩階段間存在顯著之相關,若不採取樣本選擇模型,將對模型預測結果產生很大的偏誤;而觀察模型的配適度與預測能力後亦可發現,修正後Heckman 兩階段樣本選擇模型的配適度與預測能力確實優於傳統的財務危機預警模型。
Traditionally, most scholars use the sample of accepted applicants in building financial distress prediction models and neglect the sample of rejected applicants. These models cannot reflect the variation of population and the interactive effects among all variables, and do not consider the problem of sample selection bias. Therefore, the fitness and prediction ability of the models would be affected. In this paper, the reject inference technology is considered in the financial distress prediction as building the modified Heckman two-stage sample selection model. Using the modified model and Taiwan’s listed companiesexamples, we could find that the application and the default stages as are highly correlated in distress prediction. In other words, if the modified model is not used, the sample selection bias would result. After observing the fitness and prediction ability of our modified Heckman two-stage sample selection model relative to traditional financial distress prediction models, we discover that the prediction performance of the former is superior.
期刊論文
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28.Van de Ven, W. P. M. M. and B. M. S. van Praag(1981)。“The Demand for Deductibles in Private Health Insurance: A Probit with Sample Selection,”。Journal of Econometrics,17,229-252。  new window
29.Crook, J.、Banasik, J.(2004)。Does Reject Inference Really Improve the Performance of Application Scoring Models?。Journal of Banking and Finance,28(4),857-874。  new window
30.Greene, W. H.(1998)。Sample Selection in Credit-Scoring Models。Japan and the World Economy,10(3),299-316。  new window
31.Engelmann, B.、Hayden, E.、Tasche, D.(2003)。Testing Rating Accuracy。Risk,16(1),82-86。  new window
32.Copas, J. B.、Li, H. G.(1997)。Inference for Non-random Samples。Journal of the Royal Statistical Society,59(1),55-95。  new window
33.Meng, C.、Schmidt, P.(1985)。On the Cost of Partial Observability in the Bivariate Probit Model。International Economic Review,26(1),71-85。  new window
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會議論文
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研究報告
1.Charitou, A. and L. Trigeorgis(2000)。“Option-Based Bankruptcy Prediction,”。  new window
2.Chen, G. and T. Astebro(2001)。“The Economic Value of Reject Inference in Credit Scoring,”。  new window
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6.Hand, D. J.(1998)。Reject Inference in Credit Operations。Credit Risk Modeling: Design and Application。New York。  new window
 
 
 
 
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