A Measurement on Cashflow-at-Risk for Non-Financial Industry--The Application of Fixed Effects Model and Foster Model

• Main Authors: Pei-Jung Chen, 陳姵蓉
• Other Authors: Jian-Fa Li
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/86003401455234028631

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === In this study, we employed the top-down method by Stein et al. (2001) that we sort firms based on market capitalization, profitability, industry risk and the volatility of stock price. We compared Cashflow-at-Risk which proposed by Copeland (1990) with the model based on Earning Before interest, tax, depreciation and amortization to Total Assets (EBITDA/TA) (Stein et al.,2001). The empirical result showed that the fixed effects model based on (EBITDA/TA) and Foster model based on FCFA are feasible. Furthermore, the higher risky firms own characters of smaller market capitalization, the smaller returns on assets(ROA) low FCFA, and low (EBITDA /TA) and high stock-price volatility are, all the characters are smaller, or only the market capitalization is high; the others are smaller. On the contrary, low risky firms own the characters which are high market capitalization, high ROA, high FCFA, high (EBITDA/TA) and high volatility of stock price.