| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === Due to the decreasing transparency of the financial reports, traditional logit models, usually employing accounting numbers as predicting variables, are facing questions of their effectiveness. However, the market value based corporate credit model, such as Merton type models, are also encountering problems of market inefficiency and inappropriate assumptions of value distribution. The purpose of this study is, therefore, to improve traditional failure prediction models by proposing an integrated model that incorporates both accounting and market credit information. We introduce the variable, Expected Default Frequency (EDF) generated from Merton model, as a predicting variable into traditional logit model. The empirical results show that Expected Default Frequency variable is not only significant in the model but also have higher failure predictive power than the traditional model.
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