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題名：財務危機、違約指標、違約距離與系統風險
書刊名：朝陽商管評論
作者：許可達 引用關係／王安平 引用關係／王言 引用關係／嚴宗銘 引用關係
作者(外文)：Hsu, Ker-tah／Wang, An-ping／Wang, Yale／Yan, Tzung-ming
出版日期：2013
卷期：12:2
頁次：頁1-32
主題關鍵詞：財務危機；違約距離；系統風險；Financial distress；Default distance；Systematic risk
原始連結：連回原系統網址new window
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有關公司財務危機預測的模型可以大別為兩類：會計基礎模型與市場基礎模型。在本文中，選取的會計基礎模型變數為Altman (1968) 的Z-score 模型與Zmijewski (1984) 的ACF，與Merton (1974) 市場基礎模型中的違約機率同為本文中的自變數。本文的重點不在檢視這些模型本身有的預測能力，而是在檢視模型是否可以提供有效資訊預測公司是否陷入財務危機。此外，一些研究指出財務危機為系統風險，為了證實此一假說，本文也將CAPM模型中公司的Beta值作為自變數。研究結果指出：會計基礎模型變數Z-Score與ACF在所有的模型中均具有解釋能力；對於預測公司是否陷入財務危機，市場基礎模型變數違約機率與系統風險變數Beta值並未包含有用資訊。
Two major types of models are used for predicting financial distress, i.e. accounting based models and market based models. The accounting based variables selected in this study are Z-score borrowed from Altman(1968) and ACF borrowed from Zmijewski（1984）; the market based variable chosen is distance to default borrowed from Merton(1974). The focus of this study is whether the above mentioned variables contain useful information to distinguish normal companies from companies in financial distress rather than how we can apply accounting based models and market based models to predict financial distress of companies. For testing whether financial distress is attributable to systematic risk, the beta values derived from CAPM enter into the models as independent variables. The results show that Z-Score and ACF contain useful information to predict financial distress, while distance to default and beta do not.
期刊論文
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12.Duffie, D.、Lando, D.(2001)。Term structures of credit spreads with incomplete accounting information。Econometrica，69(3)，633-664。  new window
13.Reisz, A. S.、Perlich, C.(2007)。A market-based framework for bankruptcy prediction。Journal of Financial Stability，3(2)，85-131。  new window
14.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。  new window
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18.Mensah, Yaw M.(1984)。An examination of the stationarity of multivariate bankruptcy prediction models: A methodological study。Journal of Accounting Research，22(1)，380-395。  new window
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20.Beaver, W. H.(1966)。Financial Ratios as Predictors of Failure。Journal of Accounting Research，4(3)，71-111。  new window
21.Platt, Harlan D.、Platt, Marjorie B.(2002)。Predicting Corporate Financial Distress: Reflections on Choice-Based Sample Bias。Journal of Economics and Finance，26(2)，184-199。  new window
22.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
23.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
24.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
25.Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research，18(1)，109-131。  new window
26.Lang, Larry H. P.、Stulz, René M.(1992)。Contagion and Competitive Intra-industry Effects of Bankruptcy Announcements。Journal of Financial Economics，32(1)，45-60。  new window
27.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance，23(4)，589-609。  new window
28.Chan, Ka Keung Ceajer、Chen, Nai Fu(1991)。Structural and Return Characteristics of Small and Large Firms。Journal of Finance，46(4)，1467-1484。  new window
29.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
30.Opler, Tim C.、Titman, Sheridan(1994)。Financial distress and corporate performance。The Journal of Finance，49(3)，1015-1040。  new window
31.Zmijewski, Mark E.(1984)。Methodological Issues Related to the Estimation of Financial Distress Prediction Models。Journal of Accounting Research，22(Supplement)，59-82。  new window
32.Agarwal, V.、Taffler, R.(2008)。Comparing the performance of market-based and accounting-based bankruptcy prediction models。Journal of Banking and Finance，32(8)，1541-1551。  new window
33.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance，29(2)，449-470。  new window
研究報告
1.Campbell, J. Y.、Hilscher, J.、Szilagyi, J.(2005)。In Search of Distress Risk。U.S.A：Harvard University。  new window
圖書
1.Altman, E. I.(1993)。Corporate Financial Distress and Bankruptcy。New York：Willey。  new window
2.Tabachnick, Barbara G.、Fidell, Linda S.(2007)。Using multivariate statistics。Pearson/Allyn and Bacon。  new window
3.Hair, Joseph F. Jr.、Black, William C.、Babin, Barry J.、Anderson, Rolph E.、Tatham, Ronald L.(2009)。Multivariate Data Analysis: A Global Perspective。Prentice-Hall。  new window
 
 
 
 
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