The Development of Construction Industry Failure Prediction from Integration of Accounting and Market Stock Price Information
|Keywords:||財務危機;危機預測;營建業;Logit模型;Merton 模型;financial distress;failure prediction;Construction Industry;Logit model;Merton model||Issue Date:||2009||Abstract:||
傳統的營建業財務危機預警模型以會計資訊為基礎，其方法有單變量、多變量分析、Logit 廻歸等等。Merton 於1974年 將Black 及Scholes的選擇權評價理論運用到公司信用風險評估，其觀念係由市場股價資訊推估公司資產價值與資產變異，再和帳面負債金額比較而得到公司違約機率；由於股票在市場交易的價格，係假設已經充分反應所有可用的資訊，此即理論上有效率之市場，價格變化係取決於隨機新資訊的發生，股價呈隨機之常態分配。然而，真實的市場常和理論假設不全吻合。以會計報表或是市場資訊之財務危機各有其缺點，會計報表較容易經過潤飾美化，導致其預警能力備受影響，Merton違約機率模型易遭受到市場不效率及資產價值非為常態分配的批評。研究以北美地區117家營建業為樣本，將Merton模型計算出的二種違約機率加入傳統Logit廻歸模型當中，並比較其二種違約機率對於傳統Logit廻歸模型的影響，期望透過結合上述會計及市場股價二類資訊以達更高的營建業財務危機預測能力。研究結果顯示，利用Merton模型計算出的違約機率不僅能區分危機企業與正常企業，將Merton模型違約機率代入Logit廻歸模型時，亦能有效提升模型預測準確率。
The traditional corporation financial failure model is based on accounting information, and it provides different methods, such as single variable analysis, multivariate analysis, logistical regression model, etc. In 1997, Merton develop a company failure prediction based on Black and Scholes’s option price theory, whose concept was to estimate the asset value and its variability by the information of the market stock price and compared with the debt of accounting sheet to obtain the company failure probability. Theoretically, the market stock price is the hypothesis of full response to all the given information, which means the efficient market and the stock’s price is decided by the new random information and represents the random normal distribution. However, the real market is not the same as the theory, so some criticism is existed both base on accounting information and market stock information. The prediction based on accounting information would be strongly influenced because the accounting sheet could be easily manipulated. However, On the other hand, the Merton model based on the information of market price is also under the criticism of market inefficiency and inappropriate assumptions of value distribution.here are 117 contractors as research sample come from the north America in this research. We put the two procedure type of Expected Default Frequency (EDF), as a predicting variable, generated from Merton model, into the traditional logistic regression model. The combination of the two information mentioned above will be applied to predict the corporation financial distress of Construction Industry. We highly expect that we can reach the more precise prediction of corporation distress by combining the accounting with the market price of stocks. According to the result of this research, we can not only tell that Expected Default Frequency variable is significant in the failure prediction but also improve the accuracy of the failurerediction with logistic regression model.
|Appears in Collections:||土木工程學系|
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