資料探勘技術於繼續經營能力評估模型之應用－媒體情緒之分析

Abstract

本研究以資料探勘技術中的Random Forest、Support Vector Machine和傳統統計模型的Logistic Regression建立繼續經營能力評估模型，並以情緒詞彙分析（sentiment word analysis）剖析媒體內容，探討新聞媒體對於會計師出具查核意見決策的影響。 實證結果發現，前述三種方法皆是在選用關鍵特徵變數後預測表現達到最佳。Random Forest不論在何種變數組合下，預測績效皆較其他方法準確，其中Recall平均值最高約為0.92，代表在所有確實被出具繼續經營有重大疑慮意見之公司中，Random Forest之預測準確度超過九成。 然而從Random Forest的特徵變數重要性評估結果可以發現，會計師在衡量受查公司繼續經營能力時，主要還是以財務和營運資訊為判斷依據，公司治理、審計品質和媒體情緒變數的重要性都相對較低。從模型的預測結果亦顯示，不論是否將樣本限縮在第一年被出具繼續經營疑慮意見之公司，媒體情緒對於會計師查核意見的決策皆無顯著影響。 推論原因可能為國內會計師在出具查核意見時，僅以受查公司內部提供的財務和營運資訊為主要考量，抑或是媒體新聞所內含的消息已經可以從受查公司給予的資訊中取得，故外界新聞報導的增額資訊價值較低。

This study applies both data mining techniques（Random Forest and Support Vector Machine）and the traditional statistical method（i.e., Logistic Regression）to construct a going concern diagnostic model. This study also tries to assess the impact of media coverage on auditors’ going concern opinion by using sentiment word analysis. The empirical results show that all methods above achieve the best predictive performance after selecting key features from 72 variables. Among the three methods, Random Forest has the highest Recall value, about 0.92, indicating among all companies receiving going concern opinion, the prediction accuracy of Random Forest is over 90%. However, the empirical results from Random Forest show that financial and operational variables remain the most important factors considered by auditors while assessing the likelihood of going concern. The importance of variables related to corporate governance, audit quality, and media sentiment, however, is relatively low. Specifically, this study finds that the media information has no significant effect on the issuance of going concern audit opinion, whether samples are confined to the companies receiving going concern opinion in the first year or not. In sum, these results may suggest that media coverage adds little incremental value beyond the operating and financial information already considered by auditors in making going concern opinion decision. One possible reason might be that most of media content has been incorporated in the operating and financial information disclosed by clients.