台灣企業財務危機之預測：信用評分法與選擇權評價法孰優？

本文探討信用評分法與選擇權評價法在預測台灣企業之財務危機上何者較為有效。實證結果發現，無論由群內分析法、迴歸分析或是檢定力曲線來看，代表信用評分法的Altman's Z-Score 在預測能力上均顯著優於依照Merton（1974）中選擇權評價模型所計算出的違約距離。我們進一步討論兩種方法在財務危機預測能力上的差距是否由財務危機公司的護盤動作或是由股市泡沫所造成。實證結果顯示公司護盤動作及股市泡沫均無法解釋兩者間的差異。This paper compares Altman's Z-Score with the distance to default calculated from Merton (1974) on their abilities in predicting corporate financial distress. Using the data of Taiwan's listed companies from 1997 to 2000, we investigate which measure contains more information about financial distress. The empirical results of the intra-cohort analysis, logit regressions, and power curves all reach the same conclusion that Z-Score significantly outperforms distance to default. We also test whether this difference in predicting power is caused by stock price manipulations undertaken by the distressed firms' controlling shareholders, or by stock market bubbles. However, neither hypothesis is supported by our empirical results.