「企業財務危機」向來為銀行及企業體所關注的重大課題，學術界對於此危機預警模型之研究篇幅亦不少，惟實務上卻甚少有金融機構將此等模型實際應用於授信決策。歸納其原因主要為樣本收集與統計方法運用的配合問題。本研究主要目的即擬藉廣泛蒐集銀行「逾期」與「正常」往來企業授信案，分別業別，分別建立一套能實際運用於銀行授信決策之企業財務危機預警模型。 　　本文以問卷收集省屬七行庫授信案件為樣本，其中包括紡織工業、金屬製品業、電工器材業、進出口貿易業及建築材料業等五個行業171家逾期公司及配對之171家正常公司，以其各項財務比率先作常態分配檢定，再分行業別分別比較逾期公司與正常公司財務特質有無差異，然後運用逐步迴歸分析法萃取關鍵變數，建立各行業之Logit迴歸預警模型。最後，確立各模型之臨界點，測試各模型之區別能力及預測能力，並比較整體公司模型與各行業別模型之預測能力。 　　研究結論： 　　（一）銀行授信戶財務比率分配均違反常態性。 　　（二）逾期公司相對於正常公司大部份財務特質均有顯著差異，且逾期公司具有較低變現性，高的財務槓桿性，低的經營能力及低的獲利力。 　　（三）本研究各行業別預警模型之預測正確率分別為：紡織工業88.24%、金屬製品業90%、電工器材業90.48%、進出口貿易業88.89%、建築材料業90%。 　　（四）最後以各行業之後期樣本測試整體公司模型，發現除金屬製品業及進出口貿易業其行業別預警模型與整體公司預警模型之預測正確率相同外，餘三種行業預警模型之預測正確率均較整體公司模型為高。顯示為有效提昇銀行授信財務危機預警模型的預測能力，依行業別分別建立模型，實有必要。

國內企業失敗的研究大都定位在財務危機的領域，且幾乎完全以股票上市 公司為研究對象。因受限於國內證券市場規模太小，研究樣本受到相當大 的限制，歷年來發生財務危機的案例甚少，所以財務預警系統只說明模式 本身區別成效，至於樣本外的測試，則付之闕如，無法了解此一模式對不 同時期的樣本是否仍有相同的區別能力，模式穩定性也就無從得知了。本 研究採用洪榮華（民82）的研究，擴大解釋危機的定義，以企業發生虧損 為一觀察事件，找尋足夠的樣本來建構財務危機預測模式，並從事樣本外 的預測，以驗證區別模式的穩定性。前人的研究結果顯示：大多數的預測 模式在樣本內的測試均有相當不錯的區別能力，樣本外的預測能力卻大幅 下降。Platt & Platt（1990）對於模式不穩定的原因歸納出兩個結論： 財務報表資料會隨時間的經過產生不穩定的現象、產業間財務資料的差異 ，經由產業相對財務比率的調整可以消除產業效果使得模式的區別能力趨 於穩定。Marquette（1980） 指出，良好的預測模型必須具有動態模型、 經得起時間考驗、以及不受時間約束等特性。也就是說，一個優良的財務 預警模型不會受到產業與時間因素的影響，可以適用在不同產業、時期， 即模式具有高度的穩定性。因此，基於上述理由本研究之目的有三：1.比 較以產業相對財務比率與公司財務比率所建立的預警模式對企業財務危機 的預測，何者有較佳的區別能力。2.驗證由原始樣本所建立區別模式對同 一時期的保留樣本，是否有顯著的區別能力，用以了解模式是否有同期的 適用性。3.驗證由原始樣本所建立區別模式對後期樣本，是否有顯著的預 測能力，用以了解模式是否有跨期的適用性。結論有四：1.公司財務比率 模型並非一穩定模型。模式本身具有區別能力，但卻不具有同期的適用性 與跨期的適用性。2.相對而言，產業相對財務比率模型為一穩定模型。模 式本身不僅具有區別能力，也同時具有跨期的適用性。3.就模式的區別能 力與預測能力而言，除危機前一年外，產業相對財務比率模型的區別效果 ，並未顯著優於公司財務比率模型。4.從本研究中發現，無論公司或產業 相對比率模型，對財務危機事件的預測，短期的預測能力高，長期則顯著 下降。

規模效應是資本資產定價模型所無法解釋的報酬異常現象中，最常被討論的一個。本文首先將探討台灣股市是否具有規模效應情形，若有，再進一步檢視其型態為何。接下來，本文試圖了解是否公司發生財務危機的機率高低會與規模溢酬有所關連，亦即，小公司因為較容易發生財務危機事件，因此平均而言，較大公司有更高的報酬率。本研究將採用Shumway(2001)的羅吉斯迴歸模型來估算公司發生財務危機事件之機率，並且比較不同變數之預測能力如何。 經由實證結果，發現1986年至2009年的台灣股市具有規模效應情形，此結果與之前幾位研究者之研究結果相符。而在財務危機事件機率的部份，亦可看出發生財務危機機率較高的投資組合享有較高的報酬率，此情形在小市值規模的公司身上尤其明顯。從以上發現，我們可以推論財務危機風險確實為構成規模效應的因素之一。 / Size effect is one of wildly-discussed pricing anomalies that cannot be explained by capital assets pricing model, we would like to exam whether it exists in Taiwan stock markets and how its pattern is. Furthermore, we assume the higher financial distress risk a company has, the higher expected return it will earn. That is, there is positive correlation between financial distress risk and return. Following the logistic model developed by Shumway(2001), we explore the list of variables which have greater explanatory power in prediction. Through empirical data with stocks listed and ever listed on Taiwan Stock Exchange and GreTai Securities Market, we find size effect does exist. The result is consistent with previous study. We also see firms with higher distress risk tend to have higher returns, this condition is especially obvious in small companies. So we can infer that having higher distress risk is one of the reasons why small companies can earn higher returns, they are consistent with our conjecture.

In Sweden, firms that file for bankruptcy are all auctioned off either piecemeal or as going concerns. Upon filing, managers lose control of the firm. In contrast, in the U.S. managers retain control by selecting to renegotiate the financial claims on the firm under court-supervision (Chapter 11). This thesis addresses the ongoing debate as to whether a Chapter 11-style renegotiation option is valuable to the firm’s securityholders. The optimal bankruptcy system depends on how well the auction system itself functions as well as on the extent to which managers misuse the renegotiation option to their own benefit (the agency problem). While there is substantial evidence on Chapter 11 cases, the thesis provides some first evidence on the workings of a pure auction system using Swedish data. The first essay examines direct costs, creditor recovery rates and auction premiums in Sweden, and compares the results to extant evidence on U.S. Chapter 11 cases. Overall, the results suggest that mandatory auctions provide a relatively cost-efficient bankruptcy procedure, producing recovery rates that are similar to those reported for much larger firms in Chapter 11. Moreover, auction premiums are significant and tend to increase with industry distress, which contradicts arguments that financially distressed firms sell assets below their true value. The second essay provides some first evidence on managerial compensation, turnover and corporate performance following Swedish bankruptcy auctions. The evidence indicates that mandatory auctions act as a substantial managerial disciplinary force: CEOs typically incur significant compensation losses and a majority of CEOs lose their job through the auction. Nevertheless, the operating profitability of the auctioned firms is typically at par with industry norms. Thus, although CEO wealth effects and turnover rates are dramatic, there is little support for the argument that managers in an auction bankruptcy system tend to delay filing at the detriment of the firm's going concern value. Essays three and four take a broader perspective on corporate restructurings. The third essay examines alternative econometric explanations for the lack of stock market gains to bidder firms reported in the literature. The analysis, which uses a large sample of Canadian targets, provides new evidence consistent with the proposition that the measured gains to relatively large, frequent acquirors reflect an attenuation bias produced by event-study econometrics. Moreover, the results suggest that mergers between relatively equal-sized firms, and which have not generated anticipation of future acquisition activity, tend to produce significantly positive bidder gains. This supports the use of mergers also as an alternative to bankruptcy. / <p>Diss. Stockholm : Handelshögskolan, 1998</p>

A causa delle conseguenze che il fenomeno comporta, sia sul piano finanziario sia sul fronte dell'economia reale, l'analisi e la previsione delle insolvenze societarie continua a rappresentare un argomento attuale nell'ambito della ricerca economica. I recenti sforzi condotti dal Comitato di Basilea verso la diffusione di criteri di valutazione del rischio di credito più precisi ed oggettivi, hanno ulteriormente accresciuto l'importanza della materia. L'obiettivo del presente studio è l'analisi del fenomeno del fallimento sul territorio italiano, al fine di valutare quali variabili sono più efficaci nell'individuazione di una situazione di dissesto dell'impresa. Per l'analisi si sono sviluppati dei modelli di previsione delle insolvenze in grado di individuare i segnali early warning di dissesto finanziario. L'analisi econometrica è basata su un campione ampio ed originale di fallimenti rilevati negli anni 2003 e 2004: a tal fine sono stati costituiti dei campioni comparabili di imprese fallite e non fallite ed è stato verificato, mediante l'applicazione di una metodologia logit, il potere previsivo di diversi indici di bilancio e di variabili di tipo non finanziario. I risultati ottenuti sono stati validati su un campione hold-out. L'analisi si evidenzia l'importanza delle caratteristiche del settore di attività nel determinare la forma del processo di fallimento: i modelli sector specific ottengono risultati migliori rispetto ai modelli generali stimati. Inoltre, alcuni fattori comuni ai diversi settori di attività si dimostrano particolarmente efficaci nella previsione dei dissesti aziendali: l'età, il livello di leverage e la composizione del debito d'impresa, così come la sua redditività. / Due to the consequences that the phenomenon entails both on the financial and real sides of the economy, the analysis and prediction of corporate failures continue to be a current topic in economic research. The recent efforts laid by the Basel Committee towards the diffusion of more precise and objective ways of assessing credit risk have further increased the importance of this matter. The purpose of the study is to analyse the bankruptcy phenomenon among Italian firms, in order to assess what firm-specific and industry variables are more important in determining corporate failure events. We develop a bankruptcy prediction model that aims at detecting early signals of financial distress. The econometric analysis is based on a wide and unique sample of recent failure events: comparable sets of bankrupt and non-bankrupt firms are identified and several prior balance-sheet and economic indicators are tested for their power in predicting failure probabilities in a logit modelling framework; model performances are cross-validated on hold-out samples. The analyses provide evidence of the importance of industry membership in determining and shaping corporate failure processes: sector-specific models produce a better assessment of financial distress than general ones. Also, some common factors emerge as important predictors of corporate collapse across different industries: age, gearing and the composition of a firm's debt, as well as its capability of generating profits.

El objetivo de esta tesis doctoral es analizar las repercusiones que, sobre el valor de mercado, tiene la orientación de la legislación concursal, así como su influencia sobre el reparto de ese valor entre los distintos agentes. Además se tratan de delimitar las características concretas que afectan al valor de la empresa, a través del estudio de la eficiencia de la legislación, para finalizar estudiando la evolución del riesgo de los títulos y la importancia relativa del componente sistemático y específico del mismo. A través de un análisis empírico internacional se obtiene evidencia de la relación entra la orientación de la legislación concursal y el valor de mercado, de la valoración que éste hace de los diferentes tipos de eficiencia de la normativa y de la relevancia del riesgo específico como factor principalmente afectado por los problemas de insolvencia. / The aim of this Thesis is to analyse the implications of the orientation of the bankruptcy law over the market value, and its influence in the share of this value between the stakeholders of the firm. We try to specify the characteristics that affect the value of the firm by the efficiency of the law. Finally, we study the risk and the importance of the systematic and specific component. With an international empirical analysis, we get evidence about the relationship between the orientation of the bankruptcy law and the market value of insolvent firms, about he valuation of the different types of efficiency of the bankruptcy law and the relevance of the specific risk, which appears specially affected by the insolvency problems.

This paper describes and develops a trade off model of optimal capital structure by Bradley et al. (1984). The model is then tested to examine how changes in corporate tax rates affect the optimal capital structure of firms. Based on theoretical implications of the model, four hypotheses are derived stating that firms’ optimal debt-to-value ratio is (1) negatively related to financial distress costs, (2) negatively related to non-debt tax shields, (3) negatively related to firm volatility and (4) positively related to the corporate tax rate. Based on the results of two regression models applied on 753 Scandinavian and German firms, we find empirical support for hypothesis 1 and 3 while we find no empirical support for hypothesis 2 and 4. These results can be explained by problematic empirical proxies and in the light of the pecking-order theory.

Problem: Konkurser drar med sig höga kostnader på olika sätt, och genom åren har många försök gjorts att finna modeller som kan förutse konkurser och därigenom undvika dem. Några av de mest beprövade modellerna är Altmans olika Z-scoremodeller, som genom åren visat olika resultat. Allt fler företag blir också verksamma inom tjänstesektorn, och forskningen menar att dessa företag skiljer sig från tillverkande företag när det gäller dess nyckeltal, vilket alltså borde påverka möjligheterna att förutse konkurser enligt de modeller som idag finns. Syfte: Kontrollera huruvida Altmans Z´´-scoremodell fungerar på små- och medelstora tjänsteföretag i Sverige, men även om korrelation mellan ett företags kreditbetyg och dess Z´´-score föreligger. Metod: Uppsatsen är skriven utifrån ett positivistiskt synsätt med deduktiv ansats, och bygger på kvantitativ sekundärdata. Analyser görs genom hypotesprövning. Slutsats: Altmans Z´´-scoremodell fungerar dåligt på tjänsteföretag inom segmentet små- och medelstora företag i Sverige. Resultatet blir detsamma, även om modellen tillämpas på    tillverkande företag och handelsföretag. Däremot går det se skillnad på nyckeltal i företag försatta i konkurs och friska företag, bland annat genom att konkursföretag har sämre lönsamhet, balanslikviditet och skuldsättningsgrad. Fortsatt forskning: Forskningen går isär när det gäller möjligheterna att förutse konkurser, och det finns fortfarande många aspekter att pröva. Förslag på fortsatt forskning är därför att undersöka hur nyckeltalen verkligen skiljer sig åt, och om det därigenom är möjligt att undvika konkurser. Ytterligare alternativ kan vara att undersöka variablerna i Z´´-scoremodellen, och eventuellt justera dessa för bättre utfall. / Problem: Bankruptcy is associated with a high cost in different ways, and over the years, many attempts have been made to find models that can predict failures and thru that avoid them. Some of the most proven models are Altmans Z-score in various forms, which over the years have shown different results. More and more companies work with services, and research says that these companies differ from manufacturing companies when it comes to its economic ratios, which should affect the possibilities in predicting bankruptcy according to today available models. Purpose: Check whether the Altman Z´´-score model works on small- and medium-sized services companies in Sweden, but also check if correlation exist between a company's credit rating and its Z´´-score. Method: The thesis is written with a positivist and deductive approach, based on quantitative secondary data. Analyses are made by hypothesis testing. Conclusion: Altman's Z´´-score does not work on small- and medium-sized service companies in Sweden. The result is the same, even if the model is applied to manufacturing and trading companies. However, it is possible to see differences between bankrupt companies and healthy companies. Some ratios that show differences are profitability, balance sheet liquidity and leverage, which all are lower in bankrupt companies. Continued research: Researchers are divided when it comes to the possibilities to predict bankruptcy, and there are still many aspects to consider. Suggestions for continued researchis to examine how ratios really differ, and if it is thru that is possible to avoid bankruptcy. Another angle might be to examine the variables of the Z´´-score-model, and maybe adjust them for more accurate result.

Corporate Financial Planning--A System Dynamic Approach.

會計保守性為盈餘品質特性之一，其已存在好幾個世紀，且有證據顯示在過去三十年間有增加的趨勢，對於會計實務影響深遠。會計保守性會造成資產的帳面價值被低估，但卻提高會計盈餘品質。 本研究探討會計保守程度與財務困難機率之關係、機構投資人對於公司之持股與會計保守性之關係以及財務困難機率與機構投資人持股之關係。實證結果發現：會計保守程度較高之公司其財務危機機率較低，顯示會計保守程度較高之公司其財務體質較佳；公司財務困難機率愈低，則機構投資人持股愈多；而會計保守程度對於機構投資人之持股行為亦有顯著之影響。 / Conservatism is an attribute of accounting earnings, which has been present in accounting practice for centuries and appears to be more popular in the last 30 years. It persistently understates the book value of net assets while increases earnings quality. The influence of conservatism on accounting is significant. This study examines the relations among accounting conservatism, financial distress, and institutional holding. The findings indicate that the higher the accounting conservatism the lower the financial distress probability, the lower the financial distress probability the more the institutional holding, and the accounting conservatism has also significant effect on institutional holding.