財務風險評估與異常報酬－中國上市公司之實證研究

Financial Risk Assessing and Abnormal Return: An Empirical Study of the Listed Companies in China

周百隆(Pai-Lung Chou)；郭和益(Ho-I Kuo)

財務危機 ； 特別處理公司 ； 羅吉斯迴歸 ； 異常報酬 ； financial distress ； special treatment company ； logit regression ； abnormal return

企業管理學報

69期（2006 / 06 / 01）

1 - 38

繁體中文

本研究首先以羅吉斯迴歸建立中國股票市場之財務危機預警模型，以2003年上海與深圳股票市場中A股公司為研究對象，實證結果發現五項解釋變數皆顯著，且整體正確區別率達96.28%。再以2004及2005年特別處理公司進行驗證，其正確區別率各為84.38%與96.29%，顯示模型具相當之穩定性；而第二部份研究發生特別處理事件前累積異常報酬的產生與探討影響異常報酬的原因，觀察結果發現，以事件發生前20天至前一天之累積異常報酬的產生最為明顯，且在以危機機率及相關的變數所建構的模型中，危機機率與事前資訊揭露程度變數呈現顯著。

At first, this paper uses logit regression to construct a financial distress prediction model in the stock market of China. The research samples are the companies of the A-share in the stock market of Shanghai and Shenzhen at 2003. The empirical result finding that there are five explanatory variables significantly, and uses special treatment companies of 2004 and 2005 to test predictable ability of model. By the model, the correct classified rates of 2004 and 2005 are 84.38% and 96.29% respectively. The secondly, our research will discuss the cumulative abnormal returns before ST event. The results, the production of the cumulative abnormal returns from previous 20 days to the last day before special treatment event was most obvious. The distress probability and proxy for predisclosure information are signifying in the model.

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