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題名 | 臺灣上市上櫃電子公司經營財務階段判別模式之建立=An Evaluation Model Study on Financial Administration Stages of the Electronic Stock Listing in the Taiwan Security Exchange |
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作者 | 鄭文英; 李勝榮; 葉憲弘; | 書刊名 | 風險管理學報 |
卷期 | 8:1 民95.03 |
頁次 | 頁71-96 |
分類號 | 553.977 |
關鍵詞 | 財務危機; 風險管理; 吸收性馬可夫鏈; 拔靴複製法; 電子業; Financial distress; Risk management; Absorbing Markov chain; Bootstrap method; Electronic companies; |
語文 | 中文(Chinese) |
中文摘要 | 本文以台灣上市上櫃電子公司之財務比率資料為研究對象,修正Lau (1987) 所提出財務危機之五階段歷程,將各公司予以歸類至所隸屬之經營財務階段中,以瞭解上市上櫃電子公司的財務狀態分佈;並透過吸收性馬可夫鏈分析,以估算出上市上櫃電子公司經營財務階段的移轉情形及各財務階段進入破產階段前平均可存活時間。另外,透過Kruskal-Wallis檢定、Mann-Whitney 檢定評核出可偵測上市上櫃電子公司屬於不同財務危機歷程的財務性指標;再結合bootstrap 分析建構台灣上市上櫃電子公司經營財務階段之投資判別模式。研究結果顯示,一、財務危機五階段平均分佈機率為:階段0財務穩定階段佔87.18%、階段1未支付或較前一年減少股利達40%以上階段佔9.51%、階段2無法償付貸款階段佔1.57%、階段3受破產法保護下階段佔1.25%及階段4 破產階段佔0.49%。二、由階段1至階段4不同程度財務危機階段重回至財務穩定階段之機率分別為5.47%、0.06%、0%及0%,顯示一脫離財務穩定階段則不易再回復。三、財務穩定、未支付或較前一年減少股利達40%以上、無法償付貸款及受破產法保護下等各經營階段,進入破產階段前平均存活時間分別為23.098 年、9.237年、3.121年及2.512年。四、股東權益佔資產比率、速動比率及稅前純益佔實收資本比率可區分經營財務階段。五、以股東權益佔資產比率及稅前純益佔實收資本比率所建立之投資判別模式,其建模樣本之整體預測正確率為88.34%,而將危機公司誤判為正常公司的比率僅為1.46%;於模式測試樣本之整體預測正確率為84.36%,而將危機公司誤判為正常公司的比率為0%。希冀透過上市上櫃電子企業財務狀態分佈情形、經營階段移轉機率之估算及建構投資判別模式,以供投資者作為投資決策時之參考,進而使投資風險降低。 |
英文摘要 | The purposes of this paper are to calculate transition probabilities and average survival times of five financial distress stages, and to construct a stage rating model for investors. First, we modify the Lau's financial distress five stages defined as financial stability, omitting or reducing dividend payments, default on loan payments, protection under the law of Taiwan, and bankruptcy and liquidation. From the Securities and Futures Institute network, we collect the financial data of the stock listing electronic companies in the Taiwan Security Exchange (TSE) from 1983 to 2002. We use absorbing Markov-chain to compute transition probabilities and the expected number of time steps before absorption of five financial distress stages. Through Kruskal-Wallis test and Mann-Whitney test, we find out financial indices that have significant difference in different financial stages. Finally,we utilize bootstrap method to construct a rating model of financial administration stages for investors. The conclusions are: 1. The distribution probabilities of five financial distress stages from stage 0 to stage 4 are 87.18%, 9.51%, 1.57%, 1.25% and 0.49%, respectively. 2. The transition probabilities of financial distress stages, which go with stage 1 to stage 4 to financial stability stage are 5.47%, 0.06%, 0%, and 0%. 3. The five stages of average survival time before entering bankruptcy and liquidation of financial distress stages from 0 to 3 are 23.098, 9.237, 3.121 and 2.512 years, respectively. 4. On the trichotomous classification test, the indices of equity to asset, acidtest, and pre-tax income to sales have significant difference between financial administration stages. 5. We construct a rating model on financial administration stages for investors by bootstrap method. The distinguishable prediction validity on all companies is 88.34%, and the misclassified rate of distress companies to financial stability companies is only 1.46%. |
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