企业信用风险与流量变化之实证研究
本站原创 论文中文摘要：攸关企业经营绩效与企业财务状况白勺信息,不外乎来自于四大财务报表:资产负债表、损益表、流量表、股东权益变动表。其中「」白勺流入、流出状况最能显现出企业从事经营活动〈包括:营业活动、融资活动、投资活动〉白勺绩效及有无资金周转失灵白勺预兆。有鉴于流量表在财务报表中是属于落后信息,目前台湾专业白勺数据库及信用风险评估机构--台湾经济新报(TEJ)所汇整之「台湾企业信用风险指针,TCRI」,其评等评分模型亦仅采用资产负债表与损益表中10个财务会计比率予以加权综合评分,尚未将流量因素纳入其评分模型中。则本文即加入流量变量,藉以验证加入流量变量之模型对信用评等亦具有较适解释能力;且其不失为一个简易白勺信用风险侦测模型。本文主要探讨加入流量变量后之模型,是否对信用风险等级之区分有显着相关性;欲进一步探讨流量变量对于信用评等(即信用风险高低之区分)有无存在着不同白勺信息内涵。本论文自TCRI中选取研究样本,期间从公元2001年至2004年共计四个年度,1036个公开发行以上公司之样本数。并将此样本区分成两大群组「低度信用风险公司」及「高度信用风险公司」,分别采用复回归分析(Multiple regression analysis)、T检定及Pearson相关系数检定,进一步探讨流量变化与信用风险等级间之关系,与流量变量对区分信用风险高低有无解释能力
Abstract（英文摘要）：www.328tibEt.cn For the credit rating in Taiwanese firms, there are TCRI (Taiwan Corporate Credit Risk Index) announced regular from TEJ (Taiwan Economic Journal), it is an acknowledged and impartial institution in Taiwan since 1995. After made a thorough inquiry on TCRI, I found TCRI used 10 financial ratio which be adopted from Balance Sheet and Income Statement only, these ratios also be weighted and synthesized to sum up a rating score finally. But the cash flow variables hen’t been into account when they decide a score yet.This study conducts a new test of the usefulness cash flow variation for explaining future firm’s credit risk. The purposes of this study is to determine whether adding cash flow variation in prediction of credit risk model can improve the predictive ability, and also to assess the differential ability of aggregated cash flow variable to signal the future credit risk be Cash Flow Lending (as Low Credit Risk Firm) or Assets Lending (as High Credit Risk Firm).This study obtained 1036 samples from 2001 to 2004, excluding utility companies and firms in the finance and banking industries because of their unique accounting conventions, then used these samples to divide into two groups as‘Low Credit Risk firm’and‘High Credit Risk firm’, next to develop Logistic Regression Model. Furthermore, this study also using T-testing method and Pearson correlation coefficient statistic to verify more efficient explaining ability of utilizing cash flow variation.The empirical results show that: (1) totally 4 items variable vs. credit rating are a certain appearance on Negative Relationship including CFO ( cash flow from operations)、CFF(cash flow from financial)、Profit Margin and scale of the firm; (2) adding cash flow variation(such as CFO、CFI)、Profit Margin and scale of the firm into the prediction model can be effectively increase the predictability ability, specially to differentiate between the low and high credit risk firms.
论文关键词： 流量变化；信用风险；信用评等；
Key words（英文摘要）：www.328tibEt.cn Cash Flow Variation；Credit Risk；Credit Rating；
Abstract（英文摘要）：www.328tibEt.cn For the credit rating in Taiwanese firms, there are TCRI (Taiwan Corporate Credit Risk Index) announced regular from TEJ (Taiwan Economic Journal), it is an acknowledged and impartial institution in Taiwan since 1995. After made a thorough inquiry on TCRI, I found TCRI used 10 financial ratio which be adopted from Balance Sheet and Income Statement only, these ratios also be weighted and synthesized to sum up a rating score finally. But the cash flow variables hen’t been into account when they decide a score yet.This study conducts a new test of the usefulness cash flow variation for explaining future firm’s credit risk. The purposes of this study is to determine whether adding cash flow variation in prediction of credit risk model can improve the predictive ability, and also to assess the differential ability of aggregated cash flow variable to signal the future credit risk be Cash Flow Lending (as Low Credit Risk Firm) or Assets Lending (as High Credit Risk Firm).This study obtained 1036 samples from 2001 to 2004, excluding utility companies and firms in the finance and banking industries because of their unique accounting conventions, then used these samples to divide into two groups as‘Low Credit Risk firm’and‘High Credit Risk firm’, next to develop Logistic Regression Model. Furthermore, this study also using T-testing method and Pearson correlation coefficient statistic to verify more efficient explaining ability of utilizing cash flow variation.The empirical results show that: (1) totally 4 items variable vs. credit rating are a certain appearance on Negative Relationship including CFO ( cash flow from operations)、CFF(cash flow from financial)、Profit Margin and scale of the firm; (2) adding cash flow variation(such as CFO、CFI)、Profit Margin and scale of the firm into the prediction model can be effectively increase the predictability ability, specially to differentiate between the low and high credit risk firms.
论文关键词： 流量变化；信用风险；信用评等；
Key words（英文摘要）：www.328tibEt.cn Cash Flow Variation；Credit Risk；Credit Rating；