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研究生： 屈筱苓
Chu, Hsiao-Ling
論文名稱： 會計面與市場面資訊對於破產機率預測模型之影響
The Effects of Accounting-based and Market-based Information on Bankruptcy Probability Prediction:Highbred versus Hybrid Models
指導教授： 黎明淵
Li, Ming-Yuan
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2011
畢業學年度： 99
語文別： 英文
論文頁數： 38
中文關鍵詞： 破產預測 、z-score 、違約距離 、裁決性應計項目
外文關鍵詞： Bankruptcy prediction, z-score, distance-to-default, Discretionary accruals
相關次數： 點閱：212  下載：3 
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    • 過去的財務危機預測模型通常僅考慮了單一的資訊來源。本篇論文則同時結合了會計面與市場面的資訊來進行破產機率之預測。而且，我們也納入了三個會影響預測表現的因子來進行討論，分別是盈餘管理、股票交易量及公司規模。我們的樣本包含了226家美國非財務型公司，其中包括了66家破產公司及160家非破產公司。我們的資料由1999年第一季至2009第四季。我們的實證結果如下:首先，我們證明了混和模型的預測能力優於僅考慮單一資訊的模型。另外，在混和模型之下，我們可發現市場面資訊所占之比重應高於市場面資訊。最後，盈餘管理與會計面資訊的權重有負向的關係，而股票交易量及公司規模與市場面資訊有正向的關係。

    Different with the previous bankruptcy prediction models that only consider one source of risk factors, this paper combines accounting-based and market-based information. We also consider three factors which also affect information’s predictive performance, namely earnings management, trading volume, and firm size. We include 226 US public non-finance firms, 66 bankrupt firms and 160 non-bankrupt firms. Our data cover from 1999Q1 to 2009Q4. Our empirical findings are consistent with the following ideas. First, the hybrid model has better predictive ability than the highbred model. Second, for the hybrid model, the loading of market-based information is higher than that of accounting-based information. Finally, earnings management has a negative relationship with accounting-based information’s loading, and trading volume and firm size have positive relationship with market-based information’s loading.

    摘要 I Abstract II 誌謝 III Contents IV Tables VI Figures VII 1. Introduction 1 2. Literature Review 3 2.1 Accounting-based versus Market-based Models 3 2.2 Highbred versus Hybrid Models 4 2.3 Determinants of loadings 5 2.3.1 Earnings management 5 2.3.2 Trading volume 6 2.3.3 Firm size 6 3. Variable Definition and Methodology 8 3.1 Definition of Variables 8 3.1.1 Accounting-ratio-based information 8 3.1.2 Market-based information 8 3.1.3 Determinants of loadings 9 3.2 Methodology 12 3.2.1 Model specifications: The logit Model 12 3.2.2 Model evaluation methods 14 4. Empirical Results 16 4.1 Data 16 4.2 Highbred versus Hybrid Models 17 4.2.1 Results of model estimation 18 4.2.2 Measure of predictive power 18 4.2.3 Optimal loadings of the hybrid model 19 4.3 Optimal loadings across various conditions 19 4.3.1 Optimal Loadings and Earnings Management 20 4.3.2 Optimal loadings and Trading Volume 20 4.3.3 Optimal loadings and Firm Size 21 5. Conclusions 22 References 23 Appendix 25

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