| dc.contributor.advisor | 翁久幸 | zh_TW |
| dc.contributor.advisor | Weng,Ruby Chiu-Hsing | en_US |
| dc.contributor.author (Authors) | 卜志豪 | zh_TW |
| dc.contributor.author (Authors) | Pu, Chih-Hao | en_US |
| dc.creator (作者) | 卜志豪 | zh_TW |
| dc.creator (作者) | Pu, Chih-Hao | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:10:30 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:10:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:10:30 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095354019 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36926 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 統計研究所 | zh_TW |
| dc.description (描述) | 95354019 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究延續Shumway (2001) 從存活分析(Survival Analysis)觀點切入，利用離散型風險模型(Discrete-time Hazard Model)──亦即Shumway 所稱之多期邏輯斯迴歸模型(Multi-period Logistic Regression Model)，建立企業財務危機預警模型。研究選取1986 年至2008 年間718 家上市公司，其中110 家發生財務危機事件，共計6,782 公司/年資料 (firm-year)。有別於Shumway 提出的Log 基期風險型式，本文根據事件發生率圖提出Quadratic 基期風險型式，接著利用4組（或基於會計測量，或基於市場測量）時間相依共變量 (Time-dependent Covariate)建立2 組離散型風險模型(Log 與Quadratic)，並與傳統僅考量單期資料的邏輯斯迴歸模型比較。實證結果顯示，離散型風險模型的解釋變數與破產機率皆符合預期關係，而傳統邏輯斯迴歸模型則有時會出現不符合預期關係的情況；研究亦顯示離散型風險模型預測能力絕大多數情況下優於傳統邏輯斯迴歸模型，在所有模型組合中，以Quadratic 基期風險型式搭配財務變數、市場變數的解釋變數組合而成的離散型風險模型，擁有最佳預測能力。 | zh_TW |
| dc.description.abstract (摘要) |
Based on the viewpoint of survival analysis from Shumway (2001), the presentthesis utilizes discrete-time hazard model, also called multi-period logistic regression model, to forecast corporate financial distress. From 1986 to 2008, this research chooses 718 listed companies within, which includes 110 failures, as the subjects, summing to6,782 firm-year data. Being different from Shumway’s log baseline hazard form,we proposed to use quadratic baseline hazard form according to empirical evidence. Then, four groups of time-dependent covariates, which are accounting-based measure or market-based measure, are applied to build two sets of discrete-time hazard model, which is comparedwith the single-period logistic regression model. The results show that there exists the expected relationship between covariates and predict probability in discrete-time hazard model, while there sometimes lacks it in single-period logistic regression model. The results also show that discrete-time hazard model has better predictive capability than single-period logistic regression model. The model, which combines quadratic baseline hazard form with market and accounting variables, has the best predictive capability among all models. | en_US |
| dc.description.tableofcontents | 第一章 緒論 .................................... 1 第一節 研究背景與動機 .......................... 1 第二節 研究目的 ................................ 2 第三節 本文編排 ................................ 3 第四節 相關文獻 ................................ 4第二章 研究方法 .... ............................ 8 第一節 邏輯斯迴歸模型 ...... .................... 8 第二節 離散型風險模型(多期邏輯斯迴歸模型) ........ 10第三章 實證資料 ..... .......................... 17 第一節 研究設計 ............................... 17 第二節 企業財務危機定義 ........................ 17 第三節 解釋變數 ............................... 19 第四節 模型預測能力評比 ........................ 22第四章 實證結果 ................................ 25 第一節 資料描述性統計量 ........................ 25 第二節 模型訓練結果 ........................... 30 第三節 模型預測結果 ........................... 40第五章 結論與建議 .............................. 45 第一節 結論 .................................. 45 第二節 建議與未來研究方向 ...................... 46參考文獻 ...................................... 47附錄 .......................................... 49 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095354019 | en_US |
| dc.subject (關鍵詞) | 離散型風險模型 | zh_TW |
| dc.subject (關鍵詞) | 多期邏輯斯迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | 財務危機 | zh_TW |
| dc.subject (關鍵詞) | 存活分析 | zh_TW |
| dc.subject (關鍵詞) | discrete-time hazard model | en_US |
| dc.subject (關鍵詞) | multi-period logistic regression model | en_US |
| dc.subject (關鍵詞) | financial distress | en_US |
| dc.subject (關鍵詞) | survival analysis | en_US |
| dc.title (題名) | 多期邏輯斯迴歸模型應用在企業財務危機預測之研究 | zh_TW |
| dc.title (題名) | Forecasting corporate financial distress：using multi-period logistic regression model | en_US |
| dc.type (資料類型) | thesis | en |
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