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    題名: 台灣上市公司貸款違約的資訊內涵: 財務資訊與信用評等指標的比較
    其他題名: The information contents of the loan defaults in Taiwan listed corporations: a comparison of financial information and credit score index
    作者: 黃易華;Huang, Yi-Hua
    貢獻者: 淡江大學管理科學學系企業經營碩士在職專班
    莊忠柱;Chuang, Chung-Chu
    關鍵詞: 貸款違約;台灣企業信用風險指標;財務資訊;羅吉斯迴歸模型;Loan Defaults;Taiwan Corporate Credit Risk Index;Financial Information;Logistic Regression Model
    日期: 2016
    上傳時間: 2017-08-24 23:39:37 (UTC+8)
    摘要: 借貸市場中存在著資訊不對稱,因而常會產生「逆選擇」及「道德危機」的問題。信用評等模型的發展將有助於解決資訊不對稱所產生的問題。本研究以1999年到2014年間在台灣經濟新報被評等的上市公司為研究對象,利用羅吉斯迴歸模型分析方法,探討台灣上市公司的財務資訊與TCRI對公司貸款違約的預測能力。
    研究發現合併財務資訊與企業信用風險評等為解釋變數時,總資產報酬率與信用評等指標皆可以增加公司貸款違約預測的有效性,顯示除了財務資訊變數的篩選外,公司的會計品質、產業前景、經營者風險偏好與財務壓力度也都是影響預測結果的因素之一。因此,除了利用貸款違約預測能力的財務資訊變數外,應加入其他非財務資訊,將有助於公司貸款違約的預測能力。
    The existence of information asymmetry in the lending market always caused problems of adverse selection and moral hazard. Further development of credit rating model could help solve problems caused by information asymmetry.The listing corporations were chosen as study objects from 1999 to 2014 in Taiwan Economic Journal. Logistic regression model was used to identify the prediction ability of companies’loan defaults among financial information and Taiwan Corporate Credit Risk Index.
    The resultants show that the return on total asset and credit score index could enhance the effectiveness of forecasting loan default when financial information and corporate credit risk index are the explanatory variables in the empirical model.Hence, Besides the filtering of financial information as variables, companies’accounting quality, outlook of industries, risk preferences of the company owners and financial pressure levels could also be the determinants of the forecast ability.Therefore, although the financial information can be used to evaluate the possibility of loan defaults, the non-financial factors should be incorporated in the evaluation system for promoting the effectiveness of evaluation system.
    顯示於類別:[管理科學學系暨研究所] 學位論文

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