财务危机预警文献,仅供学习研究
prediction models. As to macroeconomic factors, we examine: currency (M1b) supply change ratio, 1-year depositary interest rate change ratio, and consumer price index change ratio. Interest rate change ratio is of our special interest because one-year CD interest rate in Taiwan has experienced some dramatic fluctuations in our study period, ranging from 1.4%-9.5%. Such a large magnitude of fluctuation provides an ideal setting to examine the influence of interest rate on companies’ credit risk. In regards to industry level factors, we particularly focus on electronics industry because Taiwanese market, as one of the world’s leading producer for electronic products including computer monitors, semiconductors, and integrated circuits, provides an excellent setting for studying financial distress in emerging electronics industry. Our study uses public companies traded on Taiwan stock exchanges from 1986-2005, with year 1986-2004 as the training period and year 2005 as the test period. Bankruptcy (exchangeable with term “financial distress” in the paper) is defined according to definitions provided by Balse Committee on Banking Supervision (2001). Our models are developed using discrete-time hazard model, which has been argued to perform better than static logit model (Shumway 2001). Based upon different combinations of financial ratios, auditors’ opinions, industry factors, and macroeconomic factors, various bankruptcy prediction models are developed using the training sample and their prediction accuracies are compared in the test sample.
Our empirical results show that (1) auditors’ opinions have incremental contribution in explaining and predicting bankruptcy. Specifically, “going-concern”
