系統識別號 U0026-0812200914135633
論文名稱(中文) Does Earnings Quality Influence the Power of Financial Warning Model?
論文名稱(英文) Does Earnings Quality Influence the Power of Financial Warning Model?
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 96
學期 2
出版年 97
研究生(中文) 鄭淳元
研究生(英文) Chun-yuan Cheng
電子信箱 r1695115@mail.ncku.edu.tw
學號 r1695115
學位類別 碩士
語文別 英文
論文頁數 54頁
口試委員 指導教授-吳清在
中文關鍵字 none 
英文關鍵字 Z-Score  Option-Pricing Model  O-Score  Financial warning model  Earnings quality 
中文摘要 none
英文摘要 This study examines whether earnings quality (or earnings management) could influence the power of financial warning model, and whether accounting-based model or market-based model is easier to be affected.
Many famous financial warning models such as Altman Z-Score use variables from financial statement. If the accounting numbers are unreliable, the output of financial warning models should be unreliable too. So we predict (1) that earnings quality is positively associated with the predict power of financial warning model; (2) compared to accounting based models, market-based models should be less sensitive to earnings quality because they doesn’t rely accounting numbers that much.
We select Z-Score, O-Score, and Option-Pricing Model to be examined in our study. We use discretionary accruals (DA) to be proxy of earning quality, and the way we used to estimate DA is different from literatures because of accommodating our research designs.
Our results are consistent with our prediction and go through robustness check. In addition we find our hypotheses are stronger in high tech industries. Prior literature provides a theoretical basis to empirical studies of correlation between financial crisis and earnings management, made earnings quality a variable to construct financial warning model, and whether financial warning models work in single fraud case. But our main issue is few to be touched. We believe we provide useful contribution in this issue.
1.1 Overview the issues 1
1.2 Hypothesis development 3
1.3 Research framework 4
2.1 The definition of financial crisis 6
2.2 Financial warning models 7
2.2.1 Dichotomous classification test 7
2.2.2 Multiple discriminate analysis (MDA) 7
2.2.3 Logit and probit 9
2.2.4 Option-Pricing Model 12
2.2.5 Other financial warning models 15
2.3 Earnings quality and financial crisis 17
2.4 Measures of earnings quality 18
3.1 Sample selection 21
3.2 Calculate BSM-DD 23
3.3 Calculate DA 26
3.4 Methodology 28
3.4.1 Two-sample t-test 28
3.4.2 Regression analysis 28
3.5 Robustness tests 30
4.1 Descriptive statistics 31
4.2 Two-sample t-test 33
4.3 Regression analysis 35
4.4 Robustness tests 37
4.4.1 Delete survived companies 37
4.4.2 Divide high tech firms from others 40
4.4.3 Shift the period of volatility estimation when
calculate BSM-DD 43
參考文獻 周百隆、盧俊安,「以Cascaded Logistic Model建構我國財務預警模型之研究」,《中華管理評論國際學報》,第10卷第2期:1-16。
鄭寶琳,2005,《以選擇權理論法模型及Z-Score Model檢視博達公司違約事件》,國立政治大學金融研究所未出版碩士論文。
Altman, E. I. 1968. “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.” Journal of Finance 23(4): 589-609.
Altman, E. I., G. Macro and F. Varetto. 1994. “Corporate distress diagnosis: Comparison using linear discriminate analysis and neural networks.” Journal of Banking and Finance 18(3): 505-529.
Atiya, A. F. 2001. “Bankruptcy prediction for credit risk using neural networks: A survey and new results.” IEEE Transactions on Neutral Networks 12(4): 929-935.
Beaver, W. H. 1966. “Financial ratios as predictors of failure.” Journal of Accounting Research 4(3): 71-111.
Becker, C., M. DeFond, J. Jiambalvo, and K. Subramanyam. 1998. “The effect of audit quality on earnings management.” Contemporary Accounting Research 15(Spring): 1-24.
Black F. and M. Scholes. 1973. “The pricing of options and corporate liabilities.” Journal of Political Economy 81(3): 637-659
Casey, C., and N. Bartczak. 1985. “Using operating cash flow data to predict financial distress: Some extensions.” Journal of Accounting Research 23(Spring): 384-401.
Crosbie P. and Bohn J. 2003. “Modeling default risk: Modeling methodology.” Technical report, Moody’s KMV.
Deakin, E. B. 1972. “Distributions of Financial Accounting Ratios: Some Empirical Evidence.” The Accounting Review(January): 90-96.
DeAngelo, L. 1986. “Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders.” The Accounting Review 61(3): 400-420.
DeAngelo, H., L. DeAngelo, and D. Skinner. 1994. “Accounting choices in troubled companies.” Journal of Accounting and Economics 17(January): 113-143.
DeAngelo, H. and L. DeAngelo. 1990. “Dividend policy and financial distress: An empirical investigation of troubled NYSE firms.” The Journal of Finance 45(5): 1415-1431.
Dechow, P. M. 1994. “Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals.” Journal of Accounting and Economics 18(1): 3-42.
Dechow, P. W., R. G. Sloan and A. P. Sweeney. 1995. “Detecting earnings management.” The Accounting Review 70(2): 193-225.
DeFond, M. and J. Jiambalvo. 1994. “Debt covenant violation and manipulation of accruals.” Journal of Accounting and Economics 17(May): 145-176.
DeFond, M. L. and Park, C. W. 1997. “Smoothing income in anticipation of future earnings.” Journal of Accounting and Economics 23(2): 115–139.
Francis, J. and J. Krishnan. 1999. “Accounting accruals and auditor reporting conservatism.” Contemporary Accounting Research 16(Spring): 135-165.
Frankel, R., J. Marilyn, and K. Nelson. 2002. “The relation between auditors' fees for nonaudit services and earnings management.” The Accounting Review 77(Supplement): 77-105
Gentry, J. A., P. Newbold, and D. T. Whitford. 1985. “Classifying bankrupt firms with funds flow components.” Journal of Accounting Research 23(Spring): 146-160.
Gilson, S. C. 1989. “Management turnover and financial distress.” Journal of Financial Economics 25(2): 241-262
Healy, P. M. 1985. “The effect of bonus schemes on accounting decisions.” Journal of Accounting and Economics 7(April): 85-107.
Hillegeist, S. A., E. K. Keating, D. P. Cram, and K. G. Lundstedt. 2004. “Assessing the probability of bankruptcy.” Review of Accounting Studies 9(1): 5-34
Jones, J. 1991. “Earnings management during import relief investigations.” Journal of Accounting Research 29(Autumn): 193-228.
Kahya, E. and Theodossiou, P. T. 1999. “Predicting corporate financial distrerss: A CUSUM methodology.” Review of Quantitative Finance and Accounting 13(4): 323-345.
Kaplan, R. S. 1985. “Comments on Paul Healy: Evidence on the effect of bonus schemes on accounting procedures and accrual decisions.” Journal of Accounting and Economics 7(2): 109-113.
Kasznik, R. 1999. “On the association between voluntary disclosure and earnings management.” Journal of Accounting Research 37(Spring): 57-81.
Ke, B., Huddart, S. and Petroni, K. 2003. “What insiders know about future earnings and how they use it: Evidence from insider trades.” Journal of Accounting and Economics 35(3): 315-346.
Kealhofer, S. and M. Kurbat. 2001. “The default prediction power of Merton Approach, relative to debt ratings and accounting variables.” KMV Corporation.
Lo, A. 1986. “Logit versus discriminant analysis: A specification test and application to corporate bankruptcy.” Journal of Econometrics 31(2): 151-178.
McDonald, R. 2002. Derivative Markets. Boston, MA: Addison Wesley.
McFadden, D. 1984. “Econometric analysis of qualitative response models.” In Griliches, Z. and Intriligator, M., editors, Handbook of Econometrics, pages 1385–1457. North Holland.
Mensah, Y. M. 1984. “An examination of the stationarity of multivariate bankruptcy prediction models: A methodological study.” Journal of Accounting Research 22(1): 380-395.
Merton, R. 1974. “On the pricing of corporate debt: The risk structure of interest rates.” Journal of Finance 29(2): 449-470.
Noe, C. F. 1999. “Voluntary disclosure and insider transactions.” Journal of Accounting and Economics 27(3): 305–326.
Odom, M. D. and R. Sharda. 1990. “A neural network model for bankruptcy prediction.” IEEE INNS IJCNN International Joint Conference on Neural Networks 2: 163-168
Ohlson, J. 1980. “Financial ratios and the probabilistic prediction of bankruptcy.” Journal of Accounting Research 18(1): 109-131.
Pagano, M., F. Panetta and L. Zingales. 1998. “Why do companies go public? An empirical analysis.” Journal of Finance 53(1): 27-64
Platt, H. D. and Platt, M. B. 1990. “Development of a class of stable predictive variables: The case of bankruptcy prediction.” Journal of Business Finance and Accounting 17(Spring): 31-51.
Queen, M. and R. Roll. 1987. “Firm mortality: Using market indicators to predict survival.” Financial Analysis Journal 43(3): 9-26.
Rozeff, M. S. and Zaman, M. 1998. “Overreaction and insider trading: Evidence from growth and value portfolios.” The Journal of Finance 23(2): 701–716.
Shumway, T. 2001. “Forecasting bankruptcy more accurately: A simple hazard model.” Journal of Business 74(1): 101-124
Sloan, R. G. 1991. “Executive incentives and the horizon problem: An empirical investigation.” Journal of Accounting and Economics 14(1): 51-89.
Sloan, R. G. 1996. “Do stock prices fully reflect information in cash flows and accruals about future earnings?” The Accounting Review 71(3): 289-315.
Subramanyam, K. R. 1996. “The pricing of discretionary accruals.” Journal of Accounting and Economics 22 (August-December): 249–281.
Tam, K. Y. and Kiang, M. Y. 1992. “Managerial applications of neutral networks: The case of bank failure predictions.” Management Science 38(7): 926-947.
Theodossiou, P. T. 1993. “Predicting shifts in the time series process: An application in predicting business failure.” Journal of the American Statistical Association 88(June): 441-449.
Vassalou, M. and Y. Xing. 2004. “Default risk in equity returns.” Journal of Finance 59(2): 831-868.
Warfield, T., J. Wild, and K. Wild. 1995. “Managerial ownership, accounting choices, and informativeness of earnings.” Journal of Accounting and Economics 20(January): 61-69.
Weisbach, M. S. 1988. “Outside directors and CEO turnover.” Journal of Financial Economics 20 (Jan. – Mar.): 431-460.
Zmijewski, M. E. 1984. “Methodological issues related to the estimation of financial distress prediction models.” Journal of Accounting Research 24 (Supplement): 59-82.
  • 同意授權校內瀏覽/列印電子全文服務,於2013-07-08起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2015-07-08起公開。

  • 如您有疑問,請聯絡圖書館