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| 研究生： |
蘇凡晴 |
|---|---|
| 論文名稱： |
台灣股市中下市公司之預測–歷史事件研究法 |
| 指導教授： |
江振東
郭維裕 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 統計學系 Department of Statistics |
| 論文出版年： | 2003 |
| 畢業學年度： | 91 |
| 語文別： | 英文 |
| 論文頁數： | 31 |
| 中文關鍵詞： | 歷史事件研究法 、Cox迴歸模型 、Logit模型 、上市公司 、下市公司 |
| 外文關鍵詞： | Event history analysis, Cox regression model, Logit model, Listed firms, Delisted firms |
| 相關次數： | 點閱：188 下載：0 |
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本論文主要目地是在研究財務比率對上市公司發生下市事件之預測。我們運用歷史事件研究法和Cox迴歸模型去研究上市公司發生下市事件之原因。同時，我們也針對Cox迴歸模型和Logit模型在發現對下市事件有顯著影響的財務比率作比較。
This study applies the event history analysis and the Cox regression model to examine the causes of firm delisting, and also compares the performance of the Cox regression model with that of the logit model in detecting factors that have a statistically significant impact on the delisting event. The empirical results show that the hazard rate of firm delisting increases with the ratio of current liabilities to current assets, a binary variable indicating if the total liabilities of a firm is greater than its total assets, and a binary variable indicating if the net income of a firm was negative for the last two quarters, while the hazard rate of firm delisting decreases with increases in the firm size and the ratio of funds provided by operations to total liabilities.
Section 1 Introduction …………………………………………… 1
Section 2 Event History Methodology …………………………… 5
Section 3 Sample and Variable
3.1 Sample Selection and Data Collection ………… 9
3.2 Variable Selection ………………………………… 11
Section 4 Empirical Results
4.1 Cox Regression Model ……………………………… 15
4.2 Comparison of the Cox Regression Model and
the Logit Model …………………………………… 19
Section 5 Goodness of fit of the Cox Regression Model and
the Logit Model ………………………………………… 25
Section 6 Conclusion ……………………………………………… 27
References …………………………………………………………… 29
Appendix I The 48 delisted Corporations …………………… 31
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