Studies in the Factors of Default Risk in Taiwan: A Comparison Before and After the Subprime Crisis

• Main Authors: Chao-hung Lin, 林朝宏
• Other Authors: Wei-peng Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/36481712968609179910

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 99 === Since the occurrence of U.S. subprime mortgage crisis has developed into the global systemic crisis that affects the economy all around the world enormously.In this study, 40 companies of listing (pre-listing) with a financial distress are selected and matched 80 normal companies during the period of March 2005 to 2009.The whole study period will be divided into two parts by July 2007 to explore the change of default risk in Taiwn. The empirical result shows that：1.Before the occurrence of the subprime crisis,the factors of default risk to Book Value per Share、Cash Flow Adequacy Ratio and Inventory with Accounts Receivables to Equity Ratio are most significant.Above three factors, the accurate rate of classification to normal companies of this logit model is 95%,the accurate rate of classification to default companies of this logit model is 90%,and the accurate rate of classification to overall model is 93.3%.After the occurrence of the subprime crisis, the factors of default risk to Return on Equity、Debt Ratio、Net Operating Cycle and Cash Reinvestment Ratio are most significant. Above four factors, the accurate rate of classification to normal companies of this logit model is 97.5%,the accurate rate of classification to default companies of this logit model is 90%, and the accurate rate of classification to overall model is 95%.2.The factors of default risk will be different by economic circumstance changing, so the business strategy and financial operations should be varied in time to avoid default risk.