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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王泰昌 | zh_TW |
| dc.contributor.advisor | Taychang Wang | en |
| dc.contributor.author | 余彥霆 | zh_TW |
| dc.contributor.author | Yen-Ting Yu | en |
| dc.date.accessioned | 2025-07-16T16:14:09Z | - |
| dc.date.available | 2025-07-17 | - |
| dc.date.copyright | 2025-07-16 | - |
| dc.date.issued | 2025 | - |
| dc.date.submitted | 2025-06-25 | - |
| dc.identifier.citation | Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015). Systemic risk and stability in financial networks. American Economic Review, 105(2), 564–608. https://doi.org/10.1257/aer.20130456
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97778 | - |
| dc.description.abstract | 本研究探討企業集團關聯性指標與財務危機預測之關聯，以臺灣經濟新報(TEJ)資料庫中2011至2021年的企業資料為樣本，運用特徵值分解(Eigenvalue decomposition)方法，透過企業集團內部各公司營業毛利率的相關係數矩陣提取最大特徵值作為集團關聯程度的量化指標。實證結果顯示，集團關聯程度與財務危機發生機率呈顯著負相關，即集團關聯程度越高，企業發生財務危機的可能性反而越低。此發現與Khanna and Yafeh (2005)關於台灣企業集團具風險分攤特性的觀察相符，支持Myers and Majluf (1984)與Fazzari et al. (1987)提出的內部資本市場理論。本研究進一步透過敏感性分析證實此結果對不同窗期長度與標準化方法的穩健性，並採用產業固定效果檢測與集群標準誤等方法驗證其一致性。研究發現拓展了Billio et al. (2012)的系統風險理論至非金融企業集團，為投資者、債權人和監管機構提供更全面的風險評估工具，同時為企業集團風險管理策略的制定提供理論支持。 | zh_TW |
| dc.description.abstract | This study investigates the relationship between intra-group financial correlation and financial distress prediction by analyzing a sample of companies from the Taiwan Economic Journal (TEJ) database spanning from 2011 to 2021. Using eigenvalue decomposition methodology, the study extracts the maximum eigenvalue from the correlation matrix of gross profit margins across group companies as a quantitative indicator of intra-group correlation. Empirical results demonstrate a significant negative relationship between group correlation and the probability of financial distress, indicating that higher group correlation is associated with lower likelihood of financial crisis. This finding aligns with Khanna and Yafeh's (2005) observations on the risk-sharing characteristics of Taiwanese business groups and supports the internal capital market theory proposed by Myers and Majluf (1984) and Fazzari et al. (1987). Through sensitivity analyses, the study confirms the robustness of these results across different time windows and standardization methods, and verifies their consistency using Heckman selection models, industry fixed effects, and clustered standard errors. The findings extend Billio et al.'s (2012) systemic risk theory to non-financial business groups, providing investors, creditors, and regulatory authorities with more comprehensive risk assessment tools while offering theoretical support for business group risk management strategies. | en |
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| dc.description.tableofcontents | 誌謝 i
摘要 ii Abstract iii 目次 iv 表次 v 第一章 緒論 1 第二章 文獻回顧 3 第一節 財務危機之定義 3 第二節 營業毛利率 6 第三節 特徵值(Eigenvalue) 7 第四節 財團間的風險傳遞 9 第五節 集團定義 10 第六節 財務危機預測模型 12 一、傳統統計方法(Z-Score、Logit、Probit和MDA) 12 二、機器學習方法(決策樹與隨機森林、SVM、ANN和XGBoost) 15 第三章 研究設計 19 第一節 假說 19 第二節 資料來源及樣本選取 20 第三節 變數介紹 23 一、應變數 23 二、自變數 24 三、控制變數 24 第四節 研究方法及模型建構 25 一、集團關聯性指標衡量 25 二、Logit 模型 26 第四章 實證結果分析 30 第一節 敘述性統計分析 30 第二節 模型結果 34 第三節 敏感性分析與模型穩健性檢驗 37 一、集團關聯指標標準化方法比較 37 二、窗期長度敏感性分析 41 三、White異質變異數和共線性測試 44 四、樣本相關性檢測 46 五、產業固定效果之檢測 49 六、穩定性測試以及敏感性分析總結 50 第五章 結論與建議 52 第一節 研究結論 52 第二節 研究貢獻 53 第三節 研究限制 54 第四節 未來研究建議 55 參考文獻 57 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 風險傳導 | zh_TW |
| dc.subject | 集團效應 | zh_TW |
| dc.subject | 特徵值分解 | zh_TW |
| dc.subject | 集團關聯性指標 | zh_TW |
| dc.subject | 財務危機預警 | zh_TW |
| dc.subject | Group Effect | en |
| dc.subject | Financial Distress Prediction | en |
| dc.subject | Intra-Group Correlation | en |
| dc.subject | Eigenvalue Decomposition | en |
| dc.subject | Risk Transmission | en |
| dc.title | 企業財務危機預警模型— 集團關聯性指標對於財務危機之影響 | zh_TW |
| dc.title | Financial Early Warning Model — The Effect of Intra-Group Financial Correlation on the Occurrence of Financial Crises | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 林瑞青;曾怡潔 | zh_TW |
| dc.contributor.oralexamcommittee | Ruey-Ching Lin;Yi-Jie Tseng | en |
| dc.subject.keyword | 財務危機預警,集團關聯性指標,特徵值分解,風險傳導,集團效應, | zh_TW |
| dc.subject.keyword | Financial Distress Prediction,Intra-Group Correlation,Eigenvalue Decomposition,Risk Transmission,Group Effect, | en |
| dc.relation.page | 65 | - |
| dc.identifier.doi | 10.6342/NTU202501269 | - |
| dc.rights.note | 未授權 | - |
| dc.date.accepted | 2025-06-25 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 會計學系 | - |
| dc.date.embargo-lift | N/A | - |
| 顯示於系所單位： | 會計學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-113-2.pdf 未授權公開取用 | 1.03 MB | Adobe PDF |
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