研究生: |
余建忠 Chien-Chung Yu |
---|---|
論文名稱: |
臺灣企業危機之研究-應用財務指標建立預警模型 Research of Taiwanese Enterprise Crisis – Applying Financial Ratios to Establish Early Warning Models |
指導教授: |
謝亦泰
Yi-Tai Sieh |
口試委員: |
張譯尹
Yi-Ying Chang 郭啟賢 Chii-Shyan Kuo |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 企業管理系 Department of Business Administration |
論文出版年: | 2020 |
畢業學年度: | 108 |
語文別: | 中文 |
論文頁數: | 54 |
中文關鍵詞: | 財務危機 、財務比率 、羅吉斯迴歸 |
外文關鍵詞: | financial crisis, financial ratios, logistic regression |
相關次數: | 點閱:552 下載:4 |
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摘要
本研究選取2008年至2019年間,上市、上櫃、興櫃公司曾發生過財務危機之公司,並採集發生危機當年度之前三年的財務資料,並透過Beaver (1966) 1:1法配對正常與危機公司。透過羅吉斯(Logistic regression)迴歸的建立,試圖瞭解公司發生財務危機之前三年分別演變的過程。未來在檢視財務指標時,對事前風險及預警的控制能有所掌握。
本研究最終依財務五大構面,選取九項財務變數建立迴歸模型。實證結果發現,發生危機的前三年間,若能提升總資產週轉率及現金流量比率,且降低負債比率,能降低發生財務危機可能性,提升公司的經營能力。
最後,研究再將公司分成兩組,上市及上櫃公司、興櫃公司。發現上市櫃公司的營業成長率在危機前三年、危機前二年完全無顯著,但在危機前一年達到正向的5%顯著水準,代表財務惡化的公司,越傾向在前一年釋出正面消息,可能存在自媒體操弄的現象。但是在興櫃公司中,則無此現象發生。
關鍵字: 財務危機、財務比率、羅吉斯迴歸
ABSTRACT
This study selected companies that have experienced financial crises from 2008 to 2019 listed in Taiwan Stock Exchange (TSE), Over-The-Counter (OTC), and emerging stock markets. The study collected financial ratios for the three years prior to the year in which the crisis occurred, and paired the financially healthy and distressed companies by following Beaver (1966) 1: 1 matching method. The study use logistic regression to examine how companies evolved during the first three years before the financial crisis occur. In this way, we can master the control of prior risks and early warning when reviewing financial indicators.
This study chose nine financial variables based on the five major aspects of firms’ finance position and financial performance to establish a financial crisis warning model. The empirical results found that during the first three years before the crisis, the asset turnover ratio, debt ratio and cash flow ratio play important role in predicting possibility of financial crisis.
Lastly, we partitioned the sample into two groups, companies listed in TSE and OTC markets, and those in emerging stock market. We found that only group 1(TSE and OTC) revenue growth rate in the year before the crisis reached a significant level of 5%. It may occur that TSE and OTC companies under financial deterioration are more likely to release positive news in the previous year. There may exist a phenomenon of media manipulation.
Keywords: financial crisis, financial ratios, logistic regression
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