林修葳臺灣大學：國際企業學研究所Liu, Shien-Hui AliceShien-Hui AliceLiu2007-11-282018-06-292007-11-282018-06-292004http://ntur.lib.ntu.edu.tw//handle/246246/60355本研究檢測董監事持股質押比率與外資投資比重兩項非會計變數對於企業發生財務危機之預測力。實證結果顯示：無論就Altman Z指標或是Lee (2003) 模型，該兩項變數對於預測國內企業財務危機，均具邊際解釋力。The purpose and objective of this study is to examine given financial variables, whether pledge ratio by board members and foreign investment ratio have incremental explanatory power in predicting financial distress. Specifically, I integrate accounting and two capital market variables, pledge ratio by board members and foreign investment ratio, to build up multiple regression models and binary logistic regression model (Logit) for the prediction of financially distress firms. Debt ratio and fixed ratio are found to be the most explanatory financial variables across years and models. Pledge ratio by board members and foreign investment ratio are found to have positive contribution to the probability of financial distress; and unexpectedly foreign investment ratio seems to have more explanatory power than pledge ratio. In Logit model, I find that both Pledge ratio by board members and foreign investment ratio have increased the hit rate or classification accuracy and lowered both Type I and Type II errors substantially. For the purposes of obtaining more realist and practical prediction, I develop an out-sample predication. Out-sample predication appears to have high classification accuracy rate.Content Acknowledgement………………………………………………I Abstract (Chinese)…………………………………………II Abstract (English) ………………………………………III Content ………………………………………………………IV List of Tables ………………………………………………V I. Introduction ……………………………………………1 1.1 Research motives and purposes ……………………1 1.2 Hypothesis ………………………………………………8 II. Samples and Operating Variables …………………10 2.1 Definition of “corporate financial distress”10 2.2 Sample Selection………………………………………11 2.3 Variable Selection……………………………………13 2.3.1 Financial variables ………………………………13 2.3.2 Non-financial variables …………………………15 II. Research Method and Empirical Results …………18 3.1 Research method ………………………………………18 3.2 Data Samples …………………………………………20 3.3 Empirical Findings …………………………………29 3.4 Out-Sample Prediction ………………………………46 3.5 Test Incorporating TCRI As an Explanatory Variable 47 IV. Conclusion………………………………………………49 V. Suggestion to further researches …………………50 References……………………………………………………51en-US財務危機預測模型董監事持股質押比率外資投資比重foreign investment ratiofinancial distress prediction modelpledge ratio by board membersthesis