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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-tahWang, An-pingWang, YaleYan, 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 distressDefault distanceSystematic risk
原始連結:連回原系統網址new window
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  • 共同引用共同引用:10
  • 點閱點閱:46
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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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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