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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41247
標題: | 尋找財務危機公司 Search For Financially Distressed Companies |
作者: | Chih-Che Fang 方志哲 |
指導教授: | 洪茂蔚(Mao-Wei Hung) |
關鍵字: | 財務危機風險,羅吉斯迴歸分析法,逐步迴歸分析法, financial distress risk,logistic regression,stepwise regression, |
出版年 : | 2009 |
學位: | 碩士 |
摘要: | 公司發生財務危機或是治理問題,一直是股東跟投資人最頭痛的問題,由於充滿資訊不對稱的問題導致利用財務報表做窗飾的弊案層出不窮。從2002年發生安隆企業和世界通訊財務作假弊案,印度第四大的外包軟件公司Satyam Computer Service Ltd.也承認一直在偽造公司財務報表,因此不只有大企業會發生財務危機,小企業一樣有此問題。
本研究方法,首先進行常態性檢定,之後依照一對一的配對方式分成為正常和危機公司,接著再以「逐步迴歸分析法」從26項財務變數中分別選取適合建立財務危機發生前一年、前兩年與前三年的財務變數。最後就利用「羅吉斯迴歸分析法」建立財務危機發生前一年、前兩年與前三年的危機預警模型,並且檢測其正確判別率。整體正確率分別為95.1%、89.6%、86.4%。Nagelkerke 分別為0.823、0.751與0.736,所以模型的解釋能力是相當好的。 Financial distressed companies make investors lose lots of money. Those always use “window-dressing” to improve their performance before presenting it to investors or share- holders. The fourth software outsourcing company “Satyam Computer Service Ltd” admitted that they exactly hide the performance about financial statements. Although financial state- ments are not good enough for investors to judge distress company immediately, those are still an important media to search financial distressed risk. I use Mann-Whitney U test for assessing whether variables of financial ratios come from the normal distribution. And I use stepwise regression to choose “statistically significant” financial ratio to establish financial distressed prediction models. The third step is to use logistic regression to establish the first, second, third year financial distressed prediction models. The overall prediction correct are 95.1%、89.6%、86.4%. Nagelkerke are 0.823、0.75 and 0.736. The distressed prediction models bring a good forecast about financial distressed companies. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41247 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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