题名

以Logit模式預測企業財務危機

并列篇名

A Model for Enterprise Financial Distress Prediction with Cross-Section and Vertical-Section Methods

DOI

10.6338/JDA.201304_8(2).0004

作者

李永新(Yung-Hsin Lee)；李天行(Tian-Shyug Lee)；陳義文(Yi-Wen Chen)；陳怡妃(I-Fei Chen)

关键词

違約距離 ； 過度配適 ； 財務危機 ； Default distance ； Over-fitting ； Financial distress ； Financial risk

期刊名称

Journal of Data Analysis

卷期/出版年月

8卷2期（2013 / 04 / 01）

页次

71 - 91

内容语文

英文
中文摘要

對企業財務危機預測而言，預測時效及預測準確率為決定預測模型優劣，因此如何提高模型較率並降低過度配適問題是一重要的課題。本研究採用Logit預測模型進行比較橫斷面及縱斷面方式建構模型之預測效率。考慮財務資訊的不夠完備，除一般財務指標外，本研究納入類股虛擬變數及市場面因素變數，如選擇權評價之違約距離（default distance, DD值）做為解釋變數。實證結果顯示，以縱斷面方式建構之模型在預測時效、準確率、過度配適的降低及穩定度上均優於傳統橫斷面方式建構之模型。
英文摘要

The method of improving model efficiency and reducing over-fitting is an essential issue in establishing a model for predicting corporate financial distress. The purpose of this research is adopting Logit model to establish a financial prediction model comparing the prediction performance between the cross-section and vertical-section methods. The cross-section method use the data in the same year which are divided into training samples and testing samples and the vertical-section method built up using a longitudinal method which contained data for default and non-default companies. In addition to the financial variables, this study adds two non-financial variables, default distance (DD value) and industry dummy variables, in the model to supplement the insufficient financial variables. The empirical findings reveal that the prediction model established from the vertical-section method is superior to the cross-section procedure in prediction efficiency, accuracy, over-fitting reduction, and stabilization.
主题分类 基礎與應用科學 > 資訊科學
基礎與應用科學 > 統計
社會科學 > 管理學
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