陳業寧胡星陽臺灣大學：蘇郁茹Su, Yu-ruYu-ruSu2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60865本篇論文主要比較選擇權評價法(Option pricing model)與信用評分法(Z-score)對財務危機的預測力。研究資料根據1990 年至2002 年美國公開發行上市公司。為了檢視對網路泡沫財務危機的預測力，觀察值樣本分成不同時點與不同類型分別檢驗。從檢定力曲線(Power curve)，發現選擇權評價法(Option pricing model)預測力在網路泡沫前與網路泡沫後均顯著優於信用評分法(Z-score)。群內分析法(Intra-cohort analysis)則無明顯差異。This paper examines the prediction power between Z-score (Z) and Option pricing model (Distance to Default, DD) over 1990 to 2002 by US listed company data. In order to figure out the internet bubble effect, the firm-year observation values are divided by different time period and two types of companies. In intra-cohort analysis, we can not find strong evidence to support which model is better. In power curve analysis, we discover that Option Pricing Model performs better than Z-score for all firms in the whole period, before and after the internet-bubble. For internet-related, electronic and telecommunication firms,Option Pricing Model still dominates in any period.I.Introduction…………………………………………………………1 II. Samples and Variables Description …………………………4 1. The sample ……………………………………………………4 2. Financial crisis firms…………………………………… 4 3. Calculation of Distance to Default (DD) …………….4 4. Calculation of Z-score ……………………………………8 III. Methodology………………………………………………………9 1. Intra-cohort analysis ……………………………………9 2. Power Curve analysis ……………………………………10 IV. Empirical Results………………………………………………12 1. Descriptive Statistics……………………………………12 2. Empirical results by Intra-cohort analysis…………14 3. Power Curve analysis ……………………………………36 V. Conclusion ………………………………………………………40 Reference………………………………………………………………41 Appendix ………………………………………………………………42898850 bytesapplication/pdfen-US財務危機檢定力曲線Power curvePrediction powerthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60865/1/ntu-94-R91723045-1.pdf