Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 黃瑞卿 | en_US |
dc.contributor.author | 蕭兆祥 | en_US |
dc.contributor.author | 李昭勝 | en_US |
dc.contributor.author | Ruey-Ching Hwang | en_US |
dc.contributor.author | Jhao-Siang Siao | en_US |
dc.contributor.author | Jack C. Lee | en_US |
dc.date.accessioned | 2015-01-12T12:53:29Z | - |
dc.date.available | 2015-01-12T12:53:29Z | - |
dc.date.issued | 2007-01-01 | en_US |
dc.identifier.issn | 1023-9863 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/107982 | - |
dc.description.abstract | 在本文中,我們收集國內股票上市公司的產業效應變數(industry effects;Chava and Jarrow,2004)、市場導出變數(market-driven variables;Shumway,2001)、以及財務比率變數(financial ratios),將其應用至離散型模式(discrete-time model;Allison,1982),以建立財務危機模式。我們應用最大概似法(maximum likelihood method)估計模式的參數值,導出參數估計式的漸近常態分配(asymptotic normal distribution)。實證研究結果顯示,本文所介紹的離散型財務危機模式(discrete-time financial distress model),對公司財務危機的預測,比羅吉特模式(logit model;Ohlson,1980)以及機率單位模式(probit model;Zmijewski,1984),有更好的樣本外(out-of-sample)預測能力。 | zh_TW |
dc.description.abstract | In this paper, the discrete-time model (Allison, 1982) is applied to predict financial distress using industry effects (Chava and Jarrow, 2004), market-driven variables (Shumway, 2001), and financial ratios for companies listed in Taiwan Stock Exchange. The maximum likelihood method is employed to estimate the values of parameters of the discrete-time financial distress model. The resulting estimates are analyzed through their asymptotic normal distributions. Empirical studies demonstrate that our strategy developed from the discrete-time financial distress model can yield more accurate out-of-sample forecasts than alternatives based on the logit model of Ohlson (1980) and the probit model of Zmijewski (1984). | en_US |
dc.subject | 危險函數 | zh_TW |
dc.subject | 產業效應 | zh_TW |
dc.subject | 市場導出變數 | zh_TW |
dc.subject | 縱橫資料 | zh_TW |
dc.subject | Hazard Function | zh_TW |
dc.subject | Industry Effect | zh_TW |
dc.subject | Market-driven Variable | zh_TW |
dc.subject | Panel Data | zh_TW |
dc.title | 產業效應與市場導出變數在離散型財務危機模式之研究 | zh_TW |
dc.title | On Study of Discrete-time Financial Distress Model with Industry Effects and Market-driven Variables | en_US |
dc.identifier.journal | 管理與系統 | zh_TW |
dc.identifier.journal | Journal of Management and Systems | en_US |
dc.citation.volume | 14 | en_US |
dc.citation.issue | 1 | en_US |
dc.citation.spage | 71 | en_US |
dc.citation.epage | 94 | en_US |
dc.contributor.department | Institute of Business and Management | en_US |
dc.contributor.department | 經營管理研究所 | zh_TW |
Appears in Collections: | Journal of Management and System |
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