| dc.contributor.advisor | 謝淑貞 | zh_TW |
| dc.contributor.advisor | Shieh,Shwu Jane | en_US |
| dc.contributor.author (作者) | 曾士懷 | zh_TW |
| dc.contributor.author (作者) | Tseng,Shih Huai | en_US |
| dc.creator (作者) | 曾士懷 | zh_TW |
| dc.creator (作者) | Tseng,Shih Huai | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-九月-2009 20:01:11 (UTC+8) | - |
| dc.date.available | 18-九月-2009 20:01:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 20:01:11 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0953510131 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36879 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 95351013 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | Bankruptcy prediction has been of great interest to academics in the fields of accounting and finance for decades. Prior literatures focus mostly on investigating the covariates that lead to bankruptcy. In this thesis, however, we extend the issue of interest to what are the possible covariates that cause significant jumps in bankruptcy probability for a company. We consider the BSM-probability measure examined by Hillegeist, Keating, Cram, and Lundsedt (2004) to help us calculate the variation in bankruptcy probabilities for companies. In addition, recurrent event data analysis is applied to explore these jumps in bankruptcy intensity. By investigating the S&P500 constituents with sample consists of 343 S&P500-listed companies and 17,836 quarter observations starting from 1994 to 2007, we find that, in three of our models, all of these six covariates are negatively related to the recurrences of event that a company will suffer significant jumps in its bankruptcy probability during the next quarter. Additionally, macroeconomic covariates have greater explanatory power as factors affecting the probability of these jumps, while company-specific covariates contribute less to these recurrences of events. In comparison, we conduct another estimation based on the observation of slight increases in bankruptcy probability for companies. Contrary to what we find on the prior dataset, our empirical results suggest the factors that evoke these events are less prominent and their influences on the event recurrence are mixed. | zh_TW |
| dc.description.tableofcontents | I. IntroductionII. Related LiteraturesIII. Methodology 3.1 BSM and the Probability of Bankruptcy 3.2 Cox Proportional Hazard Model 3.3 Semiparametric General Model 3.4 Empirial ModelIV. Empirical Analysis 4.1 Data 4.2 Model Estimations 4.3 Hazard functionsV. Concluding RemarksReferences | zh_TW |
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| dc.format.mimetype | application/pdf | - |
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| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0953510131 | en_US |
| dc.subject (關鍵詞) | 重複事件 | zh_TW |
| dc.subject (關鍵詞) | 破產機率 | zh_TW |
| dc.subject (關鍵詞) | Recurrent Event | en_US |
| dc.subject (關鍵詞) | Bankruptcy Probability | en_US |
| dc.title (題名) | 以重複事件模型分析破產機率 | zh_TW |
| dc.title (題名) | Recurrent Event Analysis of Bankruptcy Probability | en_US |
| dc.type (資料類型) | thesis | en |
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