English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52047/87178 (60%)
Visitors : 8674362      Online Users : 123
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31612

    Title: 企業財務危機之預測─以傳統選擇權與下出局式買權評價法為例
    Other Titles: Predicting corporate financial distress-using merton and down-and-out call frameworks
    Authors: 魏富田;Wei, Fu-tien
    Contributors: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-yung
    Date: 2005
    Issue Date: 2010-01-11 01:02:49 (UTC+8)
    Abstract: 本研究用傳統選擇權(Merton)模式與下出局式買權(DOC)模式,以台灣地區的上市以及上櫃公司1999至2003年資料,求算2000年至2004年公司發生預期違約機率(EDF)的大小,並以Logit迴歸模型及檢定力曲線進行不同指標對財務危機預測效率的比較。實證結果證明在以DOC算出來的預期違約機率值都高於Merton模式所算出來的預期違約機率值,這是考慮到權益為路徑相依的特性,即違約不僅是視到期日是否發生的結果。此外,由Logit迴歸模式與檢定力曲線結果得知,在違約點為流動負債加上二分之一長期負債情況下,DOC模式都較Merton模式的危機預測效率為好。
    This paper uses the data of Taiwan’s listed companies form 1999 to 2003 to estimate the probabilities of default based on Merton (1974) and Down-and-Out Call (DOC) frameworks. We also apply the logit regression and power curve to investigate which measure contains more information about corporate financial distress.The empirical results show that DOC approach has higher probabilities than Merton’s model. This is because DOC which considers corporate securities are path-dependent, default depends not only at the maturity but also on the particular path followed by the underlying asset. Besides, according to the results of logit regression and power curves, DOC outperforms Merton when the default point denotes the sum of total short-term liabilities plus half of long-term liabilities significantly.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback