Empirical Study of Financial Distress Prediction Model─Considering Off-Balance Sheet Factor

• Main Authors: Kuan-Ting Lin, 林冠廷
• Other Authors: 洪茂蔚
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/enz6pu

碩士 === 國立臺灣大學 === 國際企業學研究所 === 106 === This paper uses the data of listed companies or over-the-counter companies in Taiwan’s textile industry from year 2011 to year 2017 to build financial distress prediction model, and tries to examine whether adding the off-balance sheet factor into the prediction model can improve the prediction ability or not. This paper set two kinds of factor to evaluate off-balance sheet risk: “derivative contracts ratio” (DER), which is a quantitative variable, and “use derivatives or not” (HED), which is a qualitative variable or dummy variable, to build three different kinds of model. After that, this paper uses the data from year 2011 to year 2016 to perform the in-sample test, and use the data in year 2017 to perform the out-of-sample test: Model I: finance variables ＋ corporate governance variables ＋ macroeconomics variables Model II: finance variables ＋ corporate governance variables ＋ macroeconomics variables ＋ DER Model III: finance variables ＋ corporate governance variables ＋ macroeconomics variables ＋ HED According to the empirical study, although Model I has 99% prediction accuracy of in-sample test, and 98% prediction accuracy of out-of-sample test, Model II and Model III, which consider the off-balance sheet risk, cannot improve the prediction ability anymore. So we can infer that off-balance sheet risk factor is not the key point to improve the prediction ability of financial distress prediction model of Taiwan’s textile industry.