本研究利用離散時間涉險模型，分析台灣上市公司之多角化程度、公司治理與財務危機之關係。本研究分為三階段逐步加入多角化程度變數、公司治理與多角化程度之交叉相乘項及控制變數。首先探討相關或非相關多角化程度是否與公司發生財務危機之可能性具有關聯性。接著納入公司治理之考量，探究公司治理、相關或非相關多角化程度與公司發生財務危機可能性間之關係。 實證結果顯示，無論是相關多角化或是非相關多角化均可顯著降低公司發生財務危機之可能性。當納入公司治理之考量後，實證結果顯示，當公司的董監質押比率、控制股東持股比率、關係人進貨比率、關係人融資比率、席次控制比率、董事席次等6項公司治理指標愈差時，公司的相關多角化程度愈高，發生財務危機的可能性也會提高；而當公司的控制股東持股比率、關係人進貨比率、關係人融資比率、席次控制比率、董事席次等5項公司治理指標愈差時，公司的非相關多角化程度愈高，發生財務危機的可能性也會愈高。 / This study employs discrete-time hazard model to investigate how the distress-diversification sensitivity is moderated depending on the level of corporate governance in nested models which sequentially incorporate diversification and then corporate governance as a moderator. The findings show that diversification reduces the possibility of financial distress while corporate governance moderates the diversification effect on financial distress.

1999年新巴塞爾協定規定鼓勵銀行採用內部信用評等法(internal ratings based approach)，以衡量貸款者無法償還之風險以計提最低資本。為因應此一授信風險控管之需要，銀行亟需建立一套有效之財務危機預警系統，以判定銀行授信客戶發生財務危機之機率。 本研究運用羅吉斯迴歸分析(logistic regression analysis)與離散時間涉險分析(discrete-time survival analysis)分法於三種相互具有巢狀式關連性之財務危機預測模型，逐步加入財務、非財務及公司治理變數，以便在同一種分析方法下比較三種模型，以及在同一種模型下比較兩種分析方法。實證結果顯示，就樣本期間內而言，同一種分析方法下模型之財務危機預測能力，隨著不同種類解釋變數之加入而逐步提高。然而，就樣本期間外而言，同一種分析方法下模型之財務危機預測能力，並未隨著不同種類解釋變數之加入而逐步提高，但分類能力皆十分優良；而在同一種模型下離散時間涉險分析方法之整體分類能力皆高於羅吉斯迴歸分析方法。 / The 1999 Basel II Accord suggests banks measure the impossibility of reimbursement of debtors to calculate capital minimums by internal ratings-based approach. To reduce the credit risk, it is important that banks construct accurate financial distress prediction systems to determine the probability of financial distress of debtors. This study employs logistic regression and discrete-time hazard analysis to construct nested models to which the financial, non-financial, and corporate governance corporate variables are added step by step. I therefore make comparison of the performance of three models under logistic regression and discrete-time hazard analysis, respectively. Meanwhile, the comparison of the performance of logistic regression and discrete-time hazard analyses under each of three models is also made. The empirical results show that the in-sample predictive ability of financial distress is enhanced by gradually incorporating different kinds of variables in both analyses. Although the out-of-the-sample predictive ability of financial distress is not improved by gradually incorporating different kinds of variables in one analysis, the model performance is quite well overall. The entire discriminability of discrete-time hazard analysis is better than logistic regression under each model.

本研究將財務危機分為『經營不善型財務危機』以及『掏空型財務危機』兩種類型，運用離散時間涉險方法，分析公司在不同財務狀況以及公司治理機制下，發生『經營不善型財務危機』的可能性。另外，本研究也探討『經營不善型財務危機』對公司獲利能力的敏感性，是否也受到公司治理的影響。 以民國85-94年上市櫃公司為研究對象，實證結果顯示當公司治理機制強，而財務狀況弱時，最有可能發生『經營不善而非掏空型』財務危機。再者，公司治理機制，會增強財務危機對財務狀況的敏感程度。 / This study classifies financial distress into two types: operating-failure financial distress and fraud financial distress. Based on business performance and corporate governance while employing discrete-time survival model, it analyzes the probability of the operating-failure financial distress. Furthermore, this study also examines if the sensitivity of operating-failure financial distress to profitability is moderated by corporate governance. Firms listed in Taiwan Stock Exchange during 1996-2005 are selected as sample. The empirical results indicate that firms with good corporate governance and bad business performance are most likely to encounter operating-failure financial distress. Furthermore, the corporate governance moderates the sensitivity of the operating-failure financial distress to profitability.