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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 謝德宗(Der-Tzon Hsieh) | |
dc.contributor.author | Pei-Chun Lin | en |
dc.contributor.author | 林珮君 | zh_TW |
dc.date.accessioned | 2021-06-07T17:51:14Z | - |
dc.date.copyright | 2012-09-28 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-09-27 | |
dc.identifier.citation | 一、中文部分
1. 李進生等編著(2001),風險管理-風險值(VaR)理論與應用,初版, 清蔚科技出版事業部。 2. 沈智偉(2002),臺灣上市公司危機預警-羅吉斯模型與類神經方法之比 較,高雄第一科技大學金融營運所碩士論文。 3. 柳佳君(2001),公司財務危機預警模式之研究,逢甲大學保險學研究所 碩士論文。 4. 陳肇榮(1983),運用財務比率預測企業財務危機之實證研究,政治大學 財政研究所博士論文。 5. 陳明賢(1986),財務危機預測之計量分析研究,國立臺灣大學商學研究 所碩士論文。 6. 張謙諒(2004),我國上市公司財務危機預警資訊之研究-考慮公司治理因 素,銘傳大學財務金融學系碩士在職專班碩士論文。 7. 黃振豐、呂紹強(2000),企業財務危機預警模型之研究─以財務及非財 務因素構建,當代會計,第6 卷第2 期,19-40 頁。 8. 黃建華(2006),加入公司治理變數建構臺灣上市上櫃公司之財務危機預 警模型,東吳大學國際貿易學系金融組碩士論文。 9. 潘玉葉(1990),臺灣股票上市公司財務危機預警分析,淡江大學管理科 學研究所博士論文。 10. 蘇文娟(2000),臺灣上市企業財務危機預測之實證研究,東華大學國際 經濟研究所碩士論文。 二、英文部分 1. Altman, E. I.(1968), “Financial Ratios, Discriminate Analysis and The Prediction of Corporate Bankruptcy,” Journal of Finance, 23, pp.589-609. 2. Altman, E. I., Haldeman, R. and Narayanan, P.(1977), “ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations”, Journal of Banking and Finance, 1, pp.29-54. 3. Beaver, W. H.(1966), “Financial Ratios as Predictors of Failure”, Journal of Accounting Research, 4, pp.72-102. 4. Blum, M.(1974), “Failing Company Discriminate Analysis”, Journal of Accounting Research, 12, pp.1-25. 5. Cremers, K. J. M. and V. B. Nair(2005), “Governance Mechanisms and Equity Prices.” Journal of Finance, 60, pp.2859-2894. 6. Deakin, E. B.(1972), “A Discriminant Analysis of Predictors of Failure”, Journal of Accounting Research, 10, pp.167-179. 7. Efron, B.(1979), “Bootstrap Method:Another Look at Jackknife”, Ann Statist, 7, 1-26. 8. Fama, E.(1980), “Agency Problems and the Theory of the Firm”, Journal of Political Economy, 88, pp.288-307. 9. Fama, E. F. and M. C. Jensen(1983), “Separation of Ownership and Control”, Journal of Law & Economics, 14, pp.301-325. 10. Foreman, .D.(2003), “A Logistic Analysis of Bankruptcy within the US Local Telecommunications Industry”, Journal of Economics and Business, 55, pp.135-166. 11. Fu, Chung-Jen, “Executive Compensation, Ownership, and Firm Performance”, Sun Yat-Sen Management Review, 2001 International Issue, 2001, pp.95-116. 12. Gompers, Ishii and Metrick(2003), “Corporate Governance and Equity Prices”, Quarterly Journal of Economics, 118, pp.107-155。 13. Hill, C.W.L. and Scott A. Snell(1988), “External Control, Corporate Strategy, and Firm Performance in Research Intensive Industries”, Strategic Management Journal, 9, pp.577-590. 14. Jensen, M.C. and Meckling, W.H.(1976), “Theory of the firm:Managerial behavior, agency costs and ownership structure.” Journal of Financial Economics, 3, pp.305-360. 15. Jorion, Philippe(1997), “Value at Risk:the New Benchmark for Controlling Marker Risk. ” IRWIN. 16. Lee, T. S. and Y. H. Yeh. (2004), “Corporate governance and finance distress: Evidence from Taiwan”, Corporate Governance: An International Review 12,pp.378-388. 17. Lemmon, M. L. and K. V. Lins.(2003), “Ownership structure, corporate governance, and firm value: Evidence from the East Asian financial crisis.” Journal of Finance 58, pp.1445-1468 18. Ohlson, J. A.(1980), “Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, 18, pp.109-131. 19. Prowse, S.(1998), “Corporate Governance: Emerging Issues and Lessons from East Asia” Responding to the Global Financial Crisis-World Bank mimeo. 20. Rajan, R. G. and Zingales, L.(1998), “Which Capitalism? Lessons from the East Asian Crisis”, Journal of Applied Corporate Finance vol.11, pp.40-48 21. Zmijewski, M. E.(1984), “Methodological Issues Related to the Estimation of Financial Distress Prediction Models”, Journal of Accounting Research, 22, pp.59-82. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15747 | - |
dc.description.abstract | 本研究主要探討在考慮風險值變數後,是否可以有效提高公司財務預警模型
的預測能力。 研究結論:隨著預測時間的增加,模型的預測能力越差;就傳統財務比率變 數而言,主要影響變數在前一季為股東權益報酬率與每股盈餘,而在前兩季以後, 負債比率都達1%顯著水準以上,其他顯著變數包括純益率、資本營業報酬率等獲 利能力的變數,在前兩年則為應收帳款週轉率變數。在危機發生前一季,當傳統 財務比率變數模型引進風險值後,所有風險值都超越1%顯著水準。在危機發生前 兩季在測試樣本中都有提高模型的預測能力;但前三季、前一年、前兩年都沒有 顯著提升模型的預測能力。 | zh_TW |
dc.description.abstract | VaR is treated as additional variables to enhance the predictive ability of alert mode
in this study. The additional variables of the VaR index are: Sample Moving Average, Exponentially Weighted Moving Average, Historical Simulation, Boostrap, and Monte Carlo Simulation. The results are summarized as follows: From the viewpoint of traditional financial variable, the significant variables of the season before are the return of equity and earning per share. With two former seasons considered, the results of the alert model showed that variables of debt ratio all reached the 1% significant level. Two years before the distress, the most significant variable is the receivables turnover ratio. Taking one season before the distress, the alert model with VaR variable among the models studied, reaches the 1% significant level. The VaR of Sample Moving Average method, Boostrap method and Monte Carlo Simulation method could comparatively induce more the predictive ability. Two seasons before the distress, the alert model with VaR variable could not significantly increase the predictive ability in the retained sample. However, by using the testing sample, the predictive ability for all model are enhanced. As to three seasons, the one-year and the two years before the distress, none model showed increasing predictive ability. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T17:51:14Z (GMT). No. of bitstreams: 1 ntu-101-P99323026-1.pdf: 546307 bytes, checksum: 9c48c92a35ca4ce6f1819f75d3d2f626 (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 口試委員會審定書 ........................................................................................................... i
誌謝 .................................................................................................................................. ii 中文摘要 ......................................................................................................................... iii 英文摘要 ......................................................................................................................... iv 圖目錄 ............................................................................................................................ vii 第一章 緒論 .................................................................................................................... 1 1.1 研究背景與動機 ....................................................................................................1 1.2 研究目的 ................................................................................................................4 1.3 研究架構 ................................................................................................................4 第二章 文獻探討 ............................................................................................................ 6 2.1 財務預警 ................................................................................................................6 2.2 公司治理 ..............................................................................................................11 第三章 實證方法與資料處理 ...................................................................................... 14 3.1 研究樣本來源 ......................................................................................................14 3.2 研究變數內容與資料來源 ..................................................................................15 3.3 實證方法介紹 ......................................................................................................22 第四章 實證結果分析 .................................................................................................. 28 4.1 常態性檢定 ..........................................................................................................28 4.2 均數檢定 ..............................................................................................................29 4.3 Logit 模型的實證結果 ..........................................................................................36 第五章 結論與建議 ...................................................................................................... 52 5.1 結論 ......................................................................................................................52 5.2 研究限制與建議 ..................................................................................................53 | |
dc.language.iso | zh-TW | |
dc.title | 公司財務預警與風險值關係之研究 | zh_TW |
dc.title | The Relationship of the Company's Financial Early Warning and the VaR | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李顯峰,黃淑惠 | |
dc.subject.keyword | 財務危機,財務預警,風險值,羅吉斯模型, | zh_TW |
dc.subject.keyword | Financial Distress,Financial Early Warning,Value at Risk,Logistic Model, | en |
dc.relation.page | 57 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-09-27 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
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