營造業違約邊界之研究

Abstract

造成公司違約是藉由經濟危機或財務危機所引發的，且違約常假設發生在當公司資產市值低於違約邊界(Default boundary)時。根據這個假設，儘管有較佳的流動性，一些低資產市值之公司也會發生違約；然而，當高資產市值之公司對外無法額外增加舉債額度，即受到外部財務限制時，公司的流動性不佳則會加速促使其發生違約。 本研究針對經濟危機與財務危機兩方面，探討台灣營造業的違約因子與時機，藉由台灣營造業上市上櫃公司的資料，依據BS、Leland & Toft、流動性、舉債能力等理論之相關財務危機預警模型文獻，依其理論為背景找出影響營造業違約之因子，並對某些參數設定合理代理參數以利分析，接著利用離散時間危險模型(Discrete-time hazard model)的方法建構迴歸模型，找出有解釋能力之因子。經由模型實證分析找出影響營造業違約之顯著因子後，本研究利用接受者操作特性（Receiver Operating Characteristic，ROC）曲線，鑑別迴歸模型中三種理論模型（BS模型、Leland-Toft模型、KMV模型）違約邊界之效度，再進一步評估各效度是否具有足夠的辨識能力，以得到對於預測台灣營造業違約機率具有多少解釋能力，並找出台灣營造業的違約邊界，提供營造公司對於違約風險評估之參考，使其能預測與掌握違約決策之時機點。

Making firms to default is triggered by economic distress or financial distress. Default is often assumed to occur when firms’ market assets fall below the default boundary. Consistent with this hypothesis, some low-value firms default despite sufficient liquidity. However, liquidity shortages can precipitate default at high asset values when firms are restricted from accessing external financing. In this study, the economic distress and financial distress in two areas to explore Taiwan's construction industry non-compliance with the factors and timing, the construction industry by Taiwan companies listed on the OTC data, based on BS, Leland & Toft, liquidity and borrowing capacity, and other relevant theories of financial distress prediction model literature. According to the theory of the background to identify the factors impact of the construction industry default, and certain parameters set reasonable parameters for the benefit of agents. Then use discrete-time hazard model to construction regression models, the ability to identify the factors explained. Empirical analysis by the model to identify the impact of a breach of the significant factor, this study use Receiver Operating Characteristic （ROC） curve, identification of regression models in three theoretical models’ default boundary validity(BS model, Leland-Toft model, KMV model). Further assess the validity of the identification have sufficient capacity, and to identify the default boundary of Taiwan's construction industry, creating a company to provide risk assessment of the default reference, to enable them to forecast and control the timing of the decision-making point of default.