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題名 總體、產業經濟及財務指標對企業發生財務危機之影響:以食品及營建類股為例 作者 林佑任 貢獻者 張元晨
林佑任關鍵詞 財務預警模式
總體經濟變數
個別產業變數
財務變數
營建業
食品業日期 2009 上傳時間 9-五月-2016 15:16:05 (UTC+8) 摘要 近年來許多財務預警模式的研究提供了各種變數對公司財務危機預測能力的研究，其中財務變數屬於個別風險，總體經濟變數屬於系統風險，考慮到個別產業特性的差異，影響的因素也會隨著產業各有不相同，本研究透過加入個別產業變數，分別去探討個別產業變數對企業發生財務危機是否會有顯著的影響。在實證研究部分，本研究嘗試以受到總體經濟變數影響差異較大的食品業及營建業為例，說明影響企業發生財務危機的因素。本研究依據離散涉險模型以及羅吉斯模型進行廻歸分析後發現，受到景氣循環影響波動甚巨的營建業以及較不受景氣影響的食品業，在加入個別產業因素後，模型的解釋能力提高，而各項總體以及個別產業經濟指標不論在長期、短期都具有參考的意義，在未來分析師進行產業以及公司評價時，我們建議可以依據總體、產業指標、公司財務狀況來進行分析，將會比只考慮總體經濟變數以及財務變數，得到較為準確的判斷。
Financial and Macro economic variables are two factors always being discussed in past default forecasting researches. Financial variables are idiosyncratic risk and Macro economic variables are systematic risk. Despite above two factors, there might still exist great difference between varied industries and each industry could be affected by different events. The theme of this research will be discussing this issue, and this research could provide some empirical and theoretical value in this issue. In our research, we will test one industry which is affected by macro economic variables and the one which is not been affected so much. Construction and Food industries will be considered in our research. No matter the construction industry or the food industry are not only been affected by macro economic factors but also been affected by individual industry factors. In addition, when we added them together into the model, the ability of explanation increased. The conclusion of our research is that when Analyst making comments on the companies default, they need to analyze with macro economic, individual industry and financial factors separately according to different industries.參考文獻 一、中文部分1. 白欽元，“國內中小企業財務危機預警模型之研究”，交通大學經營管理研究所碩士論文，民國九十二年。2. 財團法人食品工業發展研究所，“2008食品產業年鑑”，台北，財團法人食品工業發展研究所，民國九十七年。3. 陳彥翰，“Logistic Discrete Hazard model 在信用風險上的應用”，台灣大學會計研究所碩士論文，民國九十三年。4. 陳建宏，陳麗芬，戴錦周，“樣本偏誤對財務危機預警模型影響之研究”， 朝陽科技大學財務金融研究所碩士論文，東吳經濟商學學報，民國九十六年，29-47。5. 詹益宗，“財務危機預警模型的比較”，國立交通大學財務金融研究所碩士論文，民國九十五年。6. 蔡鍠銘，“總體經濟與產業因素對信用風險影響之研究”，私立淡江大學財務金融學系在職專班碩士論文，民國九十二年。7. 潘秋梅，“企業違約機率預測-使用羅吉斯廻歸模型”，國立高雄應用科技大學金融資訊研究所碩士在職專班碩士論文，民國九十六年。8. 謝劍平，“財務管理新觀念與本土化”，四版，台北，智勝文化事業有限公司，民國九十五年。二、英文部分1. Altman, E.I., 1968, “Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy”, Journal of Finance, 23:289-609.2. Altaman, E. I., R. 1977, “Haldeman and P. Narayanan, ZETA analysis: A New Model to Identify Bankruptcy Risk of Corporations”, Journal of Banking and Finance, 1:29-54.3. Altaman, E. I., G. Macro, and F. Varetto 1994, “Corporate Distress Diagnosis: Comparisons using Linear Discriminant Analysis and Neutral Networks (The Italian Experience)” Journal of Banking and Finance, 18, 505-519.4. Bernhardsen. E., 2001, “A model of Bankruptcy Prediction”, Norges bank working paper 2001/10.5. Benito, A., Javier Delgato, F., Mart’inez Pag’es. J., 2004, “A synthetic Indicator of Financial Pressure for Spanish Firms”, Banco de Espan’a working paper 411.6. Bonfim, B., 2009, “Credit risk drivers: Evaluating the Contribution of Firm Level Information and Macro Economic Dynamics”, Journal of Banking and Finance,33:281-2997. Couderc. F., Renault. O., 2005, “Time-to-Default: Life cycle, Global and Industry Cycle Impacts”, FAME research paper 142.8. Cox, D. R., and Oakes, D., 1984, “Analysis of Survival Data “(New York, Chapman & Hall). Hopwood, W., Mckeown, J. C. and Mutchler, J. F. 1994. A reexamination of Auditor versus Model Accuracy within the Context of the Going-Concern Opinion Decision, Contemporary Accounting research, 10:409-431.9. Eklund, T., Larsen, K., Benhardsen, E., 2001, “Model for analysis credit risk in the enterprise Sector”. Norge Nank Economic Bulletin, Q301.10. Forest, L. R., B. Belkin, and S. Suchower, 1998,”A One-Parameter Representation of Credit Risk and Transition Metrics”, Monitor, Third Quarter, JP Morgan, New York, pp46-56.11. Jim’enez, G., Saurina, J., 2004, “Collateral, Type of Lender and Relationship Banking as Determinants of Credit Risk”. Journal of Banking and Finance, 28, 2191-2212.12. Kent, C., D’Arcy, P., 2001, “Cyclical Prudence-credit Cycle in Australia”, BIS paper 1:58-90.13. Ohlson, J. S., 1980, “Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting research, 19:109-131.14. Pagano, M., F. Penetta, and L. Zingalas, 1998, “Why Do Companies Go Public? An Empirical Analysis”, Journal of Finance, 52:27-64.15. Pederzoli, C., Torricelli, C., 2005, “Capital Requirements and Business Cycle regimes: Forward-looking Modeling of Default Probabilities”. Journal of Banking and Finance, 29:3121-3140.16. Shumway, T., 2001, “Forecasting Bankruptcy more Accurately: A simple Hazard Model”, The Journal of business, 74:101-124.a17. Zmijewski, M. E., 1984, “Methodological Issues Related to the Estimation of Financial Distress Prediction Models” Journal of Accounting Research, 22:59-82. 描述 碩士
國立政治大學
財務管理研究所
96357001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357001 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.author (作者) 林佑任 zh_TW dc.creator (作者) 林佑任 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 9-五月-2016 15:16:05 (UTC+8) - dc.date.available 9-五月-2016 15:16:05 (UTC+8) - dc.date.issued (上傳時間) 9-五月-2016 15:16:05 (UTC+8) - dc.identifier (其他 識別碼) G0096357001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95139 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 96357001 zh_TW dc.description.abstract (摘要) 近年來許多財務預警模式的研究提供了各種變數對公司財務危機預測能力的研究，其中財務變數屬於個別風險，總體經濟變數屬於系統風險，考慮到個別產業特性的差異，影響的因素也會隨著產業各有不相同，本研究透過加入個別產業變數，分別去探討個別產業變數對企業發生財務危機是否會有顯著的影響。在實證研究部分，本研究嘗試以受到總體經濟變數影響差異較大的食品業及營建業為例，說明影響企業發生財務危機的因素。本研究依據離散涉險模型以及羅吉斯模型進行廻歸分析後發現，受到景氣循環影響波動甚巨的營建業以及較不受景氣影響的食品業，在加入個別產業因素後，模型的解釋能力提高，而各項總體以及個別產業經濟指標不論在長期、短期都具有參考的意義，在未來分析師進行產業以及公司評價時，我們建議可以依據總體、產業指標、公司財務狀況來進行分析，將會比只考慮總體經濟變數以及財務變數，得到較為準確的判斷。 zh_TW dc.description.abstract (摘要) Financial and Macro economic variables are two factors always being discussed in past default forecasting researches. Financial variables are idiosyncratic risk and Macro economic variables are systematic risk. Despite above two factors, there might still exist great difference between varied industries and each industry could be affected by different events. The theme of this research will be discussing this issue, and this research could provide some empirical and theoretical value in this issue. In our research, we will test one industry which is affected by macro economic variables and the one which is not been affected so much. Construction and Food industries will be considered in our research. No matter the construction industry or the food industry are not only been affected by macro economic factors but also been affected by individual industry factors. In addition, when we added them together into the model, the ability of explanation increased. The conclusion of our research is that when Analyst making comments on the companies default, they need to analyze with macro economic, individual industry and financial factors separately according to different industries. en_US dc.description.tableofcontents 第壹章 緒論 1第一節 研究背景 1第二節 研究動機與目的 3第三節 研究架構與流程 4第貳章 文獻回顧 6第一節 信用風險預測模型的研究與發展 6第二節 選擇離散涉險模型來驗證 9第三節 總體經濟變數以及市場因子 10第參章 研究資料與研究方法 12第一節 羅吉斯及離散風險模型 的理論基礎 12第二節 資料來源及資料整理 18第三節 樣本變數選取 22第四節 研究方法 32第肆章 實證結果 33第一節 會計變數違約及無違約公司比率差異顯著與否探討 33第二節 財務變數羅吉斯模型離散涉險模型探討: 37第三節 總經變數羅吉斯模型探討 47第五章 實證結果 56第一節 結論 56第二節 研究限制 56參考文獻 59 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357001 en_US dc.subject (關鍵詞) 財務預警模式 zh_TW dc.subject (關鍵詞) 總體經濟變數 zh_TW dc.subject (關鍵詞) 個別產業變數 zh_TW dc.subject (關鍵詞) 財務變數 zh_TW dc.subject (關鍵詞) 營建業 zh_TW dc.subject (關鍵詞) 食品業 zh_TW dc.title (題名) 總體、產業經濟及財務指標對企業發生財務危機之影響:以食品及營建類股為例 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分1. 白欽元，“國內中小企業財務危機預警模型之研究”，交通大學經營管理研究所碩士論文，民國九十二年。2. 財團法人食品工業發展研究所，“2008食品產業年鑑”，台北，財團法人食品工業發展研究所，民國九十七年。3. 陳彥翰，“Logistic Discrete Hazard model 在信用風險上的應用”，台灣大學會計研究所碩士論文，民國九十三年。4. 陳建宏，陳麗芬，戴錦周，“樣本偏誤對財務危機預警模型影響之研究”， 朝陽科技大學財務金融研究所碩士論文，東吳經濟商學學報，民國九十六年，29-47。5. 詹益宗，“財務危機預警模型的比較”，國立交通大學財務金融研究所碩士論文，民國九十五年。6. 蔡鍠銘，“總體經濟與產業因素對信用風險影響之研究”，私立淡江大學財務金融學系在職專班碩士論文，民國九十二年。7. 潘秋梅，“企業違約機率預測-使用羅吉斯廻歸模型”，國立高雄應用科技大學金融資訊研究所碩士在職專班碩士論文，民國九十六年。8. 謝劍平，“財務管理新觀念與本土化”，四版，台北，智勝文化事業有限公司，民國九十五年。二、英文部分1. Altman, E.I., 1968, “Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy”, Journal of Finance, 23:289-609.2. Altaman, E. I., R. 1977, “Haldeman and P. Narayanan, ZETA analysis: A New Model to Identify Bankruptcy Risk of Corporations”, Journal of Banking and Finance, 1:29-54.3. Altaman, E. I., G. Macro, and F. Varetto 1994, “Corporate Distress Diagnosis: Comparisons using Linear Discriminant Analysis and Neutral Networks (The Italian Experience)” Journal of Banking and Finance, 18, 505-519.4. Bernhardsen. E., 2001, “A model of Bankruptcy Prediction”, Norges bank working paper 2001/10.5. Benito, A., Javier Delgato, F., Mart’inez Pag’es. J., 2004, “A synthetic Indicator of Financial Pressure for Spanish Firms”, Banco de Espan’a working paper 411.6. Bonfim, B., 2009, “Credit risk drivers: Evaluating the Contribution of Firm Level Information and Macro Economic Dynamics”, Journal of Banking and Finance,33:281-2997. Couderc. F., Renault. O., 2005, “Time-to-Default: Life cycle, Global and Industry Cycle Impacts”, FAME research paper 142.8. Cox, D. R., and Oakes, D., 1984, “Analysis of Survival Data “(New York, Chapman & Hall). Hopwood, W., Mckeown, J. C. and Mutchler, J. F. 1994. A reexamination of Auditor versus Model Accuracy within the Context of the Going-Concern Opinion Decision, Contemporary Accounting research, 10:409-431.9. Eklund, T., Larsen, K., Benhardsen, E., 2001, “Model for analysis credit risk in the enterprise Sector”. Norge Nank Economic Bulletin, Q301.10. Forest, L. R., B. Belkin, and S. Suchower, 1998,”A One-Parameter Representation of Credit Risk and Transition Metrics”, Monitor, Third Quarter, JP Morgan, New York, pp46-56.11. Jim’enez, G., Saurina, J., 2004, “Collateral, Type of Lender and Relationship Banking as Determinants of Credit Risk”. Journal of Banking and Finance, 28, 2191-2212.12. Kent, C., D’Arcy, P., 2001, “Cyclical Prudence-credit Cycle in Australia”, BIS paper 1:58-90.13. Ohlson, J. S., 1980, “Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting research, 19:109-131.14. Pagano, M., F. Penetta, and L. Zingalas, 1998, “Why Do Companies Go Public? An Empirical Analysis”, Journal of Finance, 52:27-64.15. Pederzoli, C., Torricelli, C., 2005, “Capital Requirements and Business Cycle regimes: Forward-looking Modeling of Default Probabilities”. Journal of Banking and Finance, 29:3121-3140.16. Shumway, T., 2001, “Forecasting Bankruptcy more Accurately: A simple Hazard Model”, The Journal of business, 74:101-124.a17. Zmijewski, M. E., 1984, “Methodological Issues Related to the Estimation of Financial Distress Prediction Models” Journal of Accounting Research, 22:59-82. zh_TW
