淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1405200915413600
中文論文名稱 台灣企業違約風險影響因素之探討-以股權結構與監督機制分析
英文論文名稱 The Factors of Default Risk in Taiwan-Analysis of Ownership Structure and Monitoring mechanism
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 鄭盛元
研究生英文姓名 Sheng-Yuan Cheng
學號 696530020
學位類別 碩士
語文別 中文
口試日期 2009-05-16
論文頁數 66頁
口試委員 指導教授-邱建良
共同指導教授-鄭婉秀
委員-俞海琴
委員-李命志
委員-姜淑美
中文關鍵字 違約風險  股權結構  監督機制  KMV  混合迴歸 
英文關鍵字 Default risk  Ownership structure  KMV  Monitoring mechanism  Pooled regression 
學科別分類 學科別社會科學商學
中文摘要 近年來經營不善或財務周轉失靈而導致失敗的公司分布於台灣各產業中,對廣大的投資人與債權人造成傷害,對社會將會造成嚴重的衝擊,公司員工也會因失業而使生計陷入困境。在整體投資環境與公司治理經營中,風險控管一直是監督機制非常重要的一環。從公司角度來看,公司的經營績效及風險控管,皆能反映出公司風險的高低。
本文選定於2000年到2007年之台灣上市公司作為研究樣本,探究其公司股權結構與內外部監督機制,是否對公司違約風險有顯著影響。其中,資料型態以縱橫資料特性(panel data)進行估計,對於違約風險的推估,則採用KMV模型進行估計。實證結果顯示,台灣上市公司內部監督比外部監督機制,對於違約風險的降低有較高的顯著效果。並且在獨立董監事的制度建立下,更能發揮內部監督機制的實行,不僅在公司經營績效上有良好的提升,最重要的是能夠有效降低公司的違約風險。
英文摘要 In recent years, the firm bankruptcy referred to poor management or the financial turnover malfunction in Taiwan, caused the damage to the general investors and the creditors, will have the serious impact on the society. The company staffs will fall into the difficult position because of being unemployed. In the whole investment environment and the corporate governance, the risk control has been an important link in the corporation supervisory. From company standpoint, firm performance and the risk control can reflect the height of default risk. The study investigated whether shareholder structure and supervisory are affected firm’s default risk by KMV model in the securities market of Taiwan during 2000 to 2007 years. Empirical results show that the inside monitoring mechanism has more significant effect on decreasing default risk than the outside. Moreover, the effect of the independent directors and supervisors can display the internal supervising mechanism implementation. Most importantly, the role of the independent directors and supervisors is effective not only in improving firm performance but also in decreasing default risk.
論文目次 目 錄
第壹章 緒論
第一節 研究動機………………………………………………………………1
第二節 研究目的………………………………………………………………3
第三節 研究架構………………………………………………………………5
第貳章 文獻探討
第一節 風險的定義與衡量……………………………………………………7
第二節 公司特性與違約風險…………………………………………………16
第三節 股權結構與經營績效…………………………………………………20
第四節 董監事特性與違約風險………………………………………………24
第三章 研究方法
第一節 縱橫資料迴歸模型……………………………………………………27
第二節 縱橫迴歸模型檢定……………………………………………………31
第三節 模型變數定義…………………………………………………………32
第四節 實證迴歸模型…………………………………………………………40
第四章 實證結果與分析
第一節 資料處理………………………………………………………………43
第二節 相關係數檢定…………………………………………………………48
第三節 實證結果分析…………………………………………………………50
第五章 結論與建議
第一節 結論……………………………………………………………………56
第二節 研究限制與未來研究建議……………………………………………57
參考文獻………………………………………………………………………59

表目錄
【表1】各變數之基本統計量…………………………………………………44
【表2】各變數之相關係數……………………………………………………49
【表3】全樣本縱橫資料迴歸模型估計結果:應變數EDF……………………55
參考文獻 參考文獻

中文部分:
王健聰、闕河士,2004,「台灣與大陸企業資本結構決定因素比較之研究」,
輔仁管理評論,第十二卷第一期,頁93-120。
石勁磊,2003,「上市公司股權結構與治理效率的實證分析」,經濟評論,
第四期,頁33-38。
呂麒麟、洪嘉聲、范麗雪、陳淑貞,2005,「金融機構所有權結構、公司特性與
逾放比率之研究」,會計與公司治理,第二卷,第一期,頁61-79。
林妙宜,2002,「公司信用風險之衡量」,國立政治大學金融研究所碩士論文。林信鴻,2005,「董監事會特性與會計師獨立性之相關實證分析」,中國文化大
學會計研究所未出版之碩士論文。
吳懿娟,2003年,「我國金融危機預警系統之研究」,中央銀行季刊,第二十五卷
第三期,頁5-42。
何里仁,2003,「公司治理之資訊透明度與績效評核關聯性之研究」,逢甲大
學會計與財稅研究所碩士論文。
高蘭芬,2002年,「董監事股權質押之代理問題對會計資訊與公司績效之影響」,國立成功大學會計研究所博士論文。
陳碧滋,2001,「我國上市公司股價行為與董監因素關連性之探討」,台灣大學會計學研究所未出版之碩士論文。
陳曉蓉,2003,「台灣銀行業公司治理機制與風險承擔行為之關係」,風險管理
學報,第五卷,第三期,頁363-391。
陳家馴,2004,「董事會組成、公股角色與企業績效之關聯性研究」,成功大學
企業管理研究所未出版之碩士論文。
陳麗婷,2005,「財務報表重編與公司治理特性之研究」,交通大學經營管理研
究所未出版之碩士論文。
陳麗娟,2004,「董事會組成、股權結構、關係人交易與企業績效關係之研究-
以紡織業及電子業為實證」,成功大學高階管理研究所在職專班未出版之碩
士論文。
張大成,2003,「企業危機預測模型在臺灣的應用與比較」,臺灣銀行季刊,
第五十四卷,第四期,頁147-163。
熊大中,2000,「我國企業財務危機與董監股權質押關聯性之研究」,成功大學
會計研究所未出版之碩士論文。
廖秀梅,2004,「董事會結構特性與公司績效關係之研究-探討台灣家族控制企
業因素的影響」,台北大學會計學研究所未出版之碩士論文。
鄭伶如,2006,不良債權與經營績效關係性之研究-以臺灣銀行業為例,聖約翰
學報,第二十三期,頁189-202。
歐陽豪、許溪南、廖瑞芹、曹惠婷,2004,「股權結構、獨立董事與公司價值創
造之實證分析-以台灣上市電子業為例」,2004 科技整合管理國際研討會,
頁748-762。

英文部分:
Abbott, L. J., Parker, S., & Peters, G. F. (2004). Audit committee characteristics and
restatements. Auditing: A Journal of Practic & Theory, 23(1), 69-87.
Agrawal, A. and N.J. Nagarajan (1999), Corporate capital structure, agency costs and
ownership control: the case of all-equity firms, Journal of Finance, 45, 9, pp.
1325-1331.
Altman, E.I. (1968), Financial ratios, discriminant analysis and the prediction of
corporate bankruptcy, Journal of Finance, 23, pp.578-609.
Amihud, Y., and B. Lev. (1981), Risk reduction as a managerial motive for
conglomerate mergers, Journal of Economics, 12, pp. 605-617.
Barclay, M.J. and C.W. Smith (1995), The maturity structure of corporate debt,
Journal of Finance, 50, pp. 609-631.
Bettis, R. A. 1981. Performance Differences in Related and Unrelated Diversified
Firms. Strategic Management Journal 2(4): 379-394.
Ben-Zion, U. and S. S. Shalit, 1975,“Size, Leverage and Dividend Record as
determinants of Systematic Risk”, Journal of Finance30, pp.1015-1026.
Black, F. and M. Scholes. (1973), The pricing of options and corporate liabilities,
Journal of Political Economy, 81, pp.637-659.
Booth, L., Aivazian, V., Demirgüç-Kunt, A., and V. Maksimovic (2001), Capital
structures in developing countries, Journal of Finance, 56, pp. 87-130.
Bushaman, R., Q. Chen, E. Engel, and A. Smith (2000), The sensitivity of corporate
governance systems to the timeliness of accounting earnings, Working paper,
University of Chicago.
Chang, Rosita P. and Ghon S. Rhee, 1990,“The Impact of Personal Taxes on
Corporate Dividend Policy and Capital Structure Decisions”,Financial
Management 19, pp.21-31.
Chen, Y. and S. Hu (2001), The controlling shareholder’s personal stock loan and
firm performance. Working paper, National Taiwan University.
Chen, C.R., and T.L. Steiner (2000), Tobin’s Q, managerial ownership and analyst
coverage: a nonlinear simultaneous equations model, Journal of Economic and
Business, 52, pp. 365-382.
Coats, P.K., and L.F. Fant. (1993), Recognizing financial distress patterns using a
neural network tool, Financial Management, 22 pp. 142-155.
Faccio M, L. Lang and L. Young, 2001, Dividends and expropriation, American
Economic Review 91: 54-78.
Fama, E.F. and K.R. French (1998), Values versus growth: the international evidence,
Journal of Finance, 53, pp. 1975-1999.
Feltham, G.A. and J. Xie (1994), Performance measure congruity and diversity in
multi-task principal/agent relations, Accounting Review, 69, pp. 429-453.
Friend, I., and L.H.P. Lang (1988), An empirical test of the impact of managerial
self-interest on corporate capital structure, Journal of Finance, 43, pp. 271-281.
Greene, W. H. 2000. Limdep Version 7.0 User’s Manual . New York: Econometric
Software, Inc.
Gianluca, O., M.M. Dacorogna, and T. Jung. (2002), Credit risk models - do they
deliver their promises? a quantitative assessment, Economic Notes, 32, pp.
177-195.
Gul, F. and J. Tsui (1998), A test of the free cash flow and debt monitoring
hypotheses: evidence form audit pricing, Journal of Accounting and Economics,
24, pp. 219-237.
Huang, G. and F.M. Song (2006), The determinants of capital structure: evidence
from China, China Economic Review, 17, pp. 14-36.
Hermalin, B., and M. Weisbach (1991), The effects of board composition and direct
incentives on firm performance, Financial Management, 20, pp. 101-112.
Ittner, C., D. Larcker and M. Rajan (1997), The choice of performance measures in
annual bonus contracts, Accounting Review, 72, pp. 231-255.
Jensen, M.C. and R.S. Ruback (1983), Market for corporate control: empirical
evidence, Journal of Financial Economics, 1, pp. 5-50.
Jensen, M. and W. Meckling. (1976), Theory of the firm: managerial behavioragency
costs and ownership structure, Journal of Financial Economics, 3, pp. 305-360.
Klapper, L. F. and I. Love. 2002. Corporate Governance, Investor Protection and
Performance in Emerging Markets. World Bank Policy Research Working
Paper No. 2818.
Kester, W. C. 1986. Capital and Ownership Structure: A Comparison of United States
and Japanese Manufacturing Corporations. Finance Management 15, 5-16.
La Porta, R., F. Lopez-de-Silances, and A. Shleifer (1999), Corporate ownership
around the world, Journal of Finance, 54, pp. 471-517.
Merton, R.C. (1974), On the pricing of corporate debt: the risk structure of interest
rates, Journal of Finance, 29, pp. 449-470.
Morck, R., A. Shleifer, and R.W. Vishny (1988), Management ownership and market
valuation: an empirical analysis, Journal of Financial Economics, 20,
pp. 293-315.
Myers, Stewart C., "Determinants of Corporate Borrowing", Journal of Financial
Economics, (5), 1977, pp.147-175.
Myers, S.C. and Majluf N.S., "Corporate Financing and Investment Decisions When
Firms have information that investors do not have", Journal of Financial
Economics, (13), 1984, pp.187-221.
Ohlson, J.A. (1980), Financial ratios and the probabilistic prediction of bankruptcy,
Journal of Accounting Research, 18(Spring), pp. 109-31.
Oswald, S.and J. Jahera, 1991, The influence of ownership on performance: An
empirical study, Strategic Management Journal 12: 321-326.
Ravid, S. Abraham, 1988,“On Interactions of Production and Financial Decisions”,
Financial Management 17, pp.3-89.
Rajan, Raghuram G. and Zingales Luigi,"What Do We Know about Capital Structure?
Some Evidence from International Data", Journal of Finance, 50(5),1995
pp.1421-1460.
Seifert B., H. Gonenc, and J. Wright. 2005. The International Evidence on
Performance and Equity Ownership by Insiders, Blockholders, and Institutions.
Journal of Multinational Financial Management 15: 171-191.
Smith, W., and M. Stulz (1985), The determinants of firms’ hedging policies, Journal
of Financial and Quantitative Analysis, 20, pp. 391-405.
Smith, C. and R. Watts, 1992,The investment opportunity set and corporate financing,
dividend, and compensation policies, Journal of Financial
Economics 32: 263-292
Tam, K.Y. and M.Y. Kiang (1992), Managerial application of neural networks: the
case of bank failure predictions, Management Science, 38, pp. 926-947.
Xu, X., and Y. Wang. 1999. Ownership Structure and Corporate Governance in
Chinese Stock Companies. China Economic Review 10: 75-98.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2011-07-01公開。
  • 同意授權瀏覽/列印電子全文服務,於2011-07-01起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信