產業差異與企業財務危機模型

Credit Risk Model with Industry Effect

10.6985/TBFQ.200612.0028

張大成(Ta Cheng Chang)；林郁翎(Yu Ling Lin)；黃繼寬(Chi Kuan Huang)

財務危機模型 ； 產業差異 ； 交叉驗證 ； Logit模型 ； Merton模型 ； financial distress model ； industry effect ； cross validation ； logit model ； merton model

台灣金融財務季刊

7卷4期（2006 / 12 / 01）

1 - 28

繁體中文

當前國內財務危機模型的研究發展大多討論如何使用不同的計量模型，或是如何運用與會計變數不同領域的變數於模型中，以提高模型在樣本內的配適力與樣本外的預測力。本文加入以下兩個重要因素於財務危機模型中，依序為：1.產業差異對財務危機模型之影響；2.長期試行下模型效力之分析。首先對變數進行標準化過程，探討產業差異對財務危機模型的影響，接著以交叉驗證的方式進行長期試行下模型效力之分析。 實證結果顯示考慮不同產業間的差異，對變數進行標準化過程，將有助於提高整體模型的預測力與穩定力，使財務危機模型發揮其預警功效，並確實預測出財務品質較差的公司。

In order to raise the discriminative power of financial distress model with in-sample and prediction accuracy ratio of financial distress model with out-sample, studies of financial distress model in Taiwan now focus in how to use different econometric model and different kind of variables, such as the frequency of changing accountant and manager's age, to compare with accounting variable in such model. This study discusses two important factors, the industry effect and the stability of financial distress model. We standardize all variables in the model according to different industries to analize the industry the effect in financial distress model, and use cross validation for the stability of the model. This study suggests strongly that the industry effect should be considered when applying the financial distress model. The process of standardizing variable can improve the discriminative power of the model with in-sample and prediction accuracy ratio similarly with out-sample.

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