財務比率與總體經濟因素對財務危機預警之影響

Abstract

本論文之主要目的在研究財務比率與總體經濟因素對財務危機預警之影響。根據公司的財務比率資料以及總體經濟相關指標，以Logit模型來研究公司的財務狀況和預測未來的破產機率。本文用1992到2007年的歷史資料來估計建立模型參數，並將建立之預測模型，針對2008-2009年期間樣本公司分析違約機率來驗證所建立財務預測模型之準確性。本論文採用加入與未加入總體經濟因素的兩種模型，來判斷經濟指標對財務危機預警模型之影響，實證結果顯示出總體經濟因素對於預測模型的重要性。此研究指出對於破產預測、投資組合管理和公司的內部與外在表現分析的應用可能性，並可提供給投資者做參考避免重大損失發生。

The purpose of this paper is to investigate the impact of financial ratios and macroeconomic variables on financial distress. According to the information with respect to the financial ratios and macroeconomic related indicators, Logit model can research on the firms’ financial situation and predict the bankruptcy probability in the future. The parameters are estimated by the historical data from 1992 to 2007, and then the model can be constructed and verified by the evaluation the default probability of the firms during 2008-2009 and the detection whether firms fail or not. This paper adopts two models with and without macroeconomical factors to detect the influence of macroeconomic indicators on financial distress prediction model. The empirical results show the importance of macroeconomic factors within the failure prediction model. This study indicates the potential important application on the failure prediction, management portfolio and the internal and external performance analysis of the companies. Moreover, this paper provides the suggestion to investors and avoids the enormous loss occurring.