碩士 / 國立東華大學 / 會計與財務金融碩士學位學程 / 98 / Investors who worried the holding stocks would become landmine stocks during the Subprime Mortgage Crisis dramatically shut down the global market.
Due to this event, it's critical to figure out how the systematic risk affects the companies default risk.
The purpose of this research is to construct the financial distress prediction model by using the financial ratios, stock market information, and macro economic variables. This model will provide some information to investor in order to evaluate the firm’s financial default risk.
The research employs Shumway(2001) discrete-time hazard model ,using multi-period logistic regression model to construct financial distress prediction model. The samples in this study were collected from 1991 to 2008 TSEC and OTC for including 1113 normal companies and 226 financial distress companies in Taiwan, which amounts to 44,961 firm-quarter data.
According to the results of this paper, distance to default, macro economic factors, stock market related variables and financial ratios can improve the accuracy of the failure prediction of multi-period logistic regression model.
| Identifer | oai:union.ndltd.org:TW/098NDHU5385018 |
| Date | January 2010 |
| Creators | Ya-Ping Huang, 黃雅苹 |
| Contributors | Jin-Lung Lin, 林金龍 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 48 |
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