公司治理、盈餘管理、與衍生性商品避險之使用對財務預警模型影響之實證分析

Abstract

傳統上在建構財務危機預警模型時，主要使用財務報表中“表內”的會計比率變數資訊。但由於破產前管理當局往往容易進行盈餘操弄之動作，加上此時公司治理若不佳，則財報上的數據往往失真，同時投資大眾亦容易忽略了資產負債表外之資訊，而造成預警系統無法發揮作用，因此，本研究以財務比率為基礎，另外加入公司治理、盈餘管理變數以及資產負債表外資訊的衍生性金融商品避險，並以logistic模型進行分析企業財務危機發生之機率。此外，由於文獻指出經理人為平穩損益（Income smoothing）下，盈餘管理與避險的衍生性金融商品工具之間在正常公司為一替代的工具，因此本文想進一步探討破產公司在使用這兩項平穩損益的工具上其關係如何。 研究結果發現：1.衍生性金融商品避險程度與財務危機的機率呈現顯著的負相關，而盈餘管理、外部公司治理指標（G-index）與財務危機的機率則呈現顯著的正相關。2.加入這些變數後比只用財務比率預測的預警模型為佳，分類正確率亦較高。3. 對於財務危機公司而言，在使用盈餘管理及衍生性商品避險這兩樣平穩損益的工具上將呈現顯著的正相關（互補關係）。

Traditionally, researchers construct the financial distress model using “on-balance-sheet” financial ratios which may be manipulated by the managers prior to bankruptcy. Furthermore, the “off-balance-sheet” information is often overlooked by investors.Therefore, this study takes into account the financial ratios, derivatives hedging, earnings management of the discretionary accruals, and corporate governance to process empirical examination with logistic model. As well, we study whether a complementary relation exists between the use of discretionary accruals and derivatives for income smoothing in a financially distressed corporation. The result indicates that the derivatives hedging index has significantly negative effects on financial distress, but discretionary accruals and G-index have significantly positive effects. In addition, adding these variables to the model can enhance the predicting power and lower the sum of error rate. Moreover, there exists a complementary relation between the use of derivatives to hedge and the use of discretionary accruals to manage earnings.