臺灣新上市櫃公司失敗風險預測

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姓名

許博惇(Bo-Dun Hsu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

臺灣新上市櫃公司失敗風險預測
(Predicting IPO failures in Taiwan stock market)

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摘要(中)

本文透過IPO特性變數以及興櫃市場相關變數預測IPO公司是否會於上市(櫃)後五年內下市(櫃)或轉為全額交割股。研究後發現興櫃市場相關變數的確為預測IPO 是否失敗之重要變數，加入興櫃市場變數的確能提高樣本外預測準確度，且亦能增加羅吉斯迴歸(logistic regression) 之Pseudo ?2。此外，本文使用羅吉斯迴歸、隨機森林 (random forest)
與extreme gradient boosting 方法建構模型，發現以台灣2002-2014 年預測IPO五年內失敗可能性來說，羅吉斯迴歸樣本外預測效果最佳，而模型穩定度最好的則是extreme gradient boosting 方法。

摘要(英)

This thesis constructs an IPO failure prediction model with IPO characteristics and the trading or financial information in Taiwan’s emerging stock market. The results indicate that the trading or financial information in Taiwan’s emerging stock market are important and significant variables to predict IPO failure risk. We find that AUC and Pseudo ?2 increase after including the variables related to Taiwan’s emerging stock market in the prediction model. In addition, we build the prediction model by logistic regression, random forest and extreme gradient boosting to predict whether IPO will fail or not in Taiwan from 2002 to 2014. The results indicate that logistic regression performs better than random forest or extreme gradient boosting in predicting IPO failures. Finally, we find that the performance of extreme gradient boosting is the most stable in the repeated cross validation.

關鍵字(中)

★ 新上市上櫃公司
★ 機器學習
★ 興櫃市場
★ IPO 失敗風險

關鍵字(英)

★ IPO
★ Machine learning
★ Taiwan’s emerging stock market
★ IPO failure risk

論文目次

摘要 ................................................................................................................................................... i
Abstract ............................................................................................................................................ ii
誌謝 ................................................................................................................................................. iii
目錄 ................................................................................................................................................. iv
圖目錄............................................................................................................................................. vi
表目錄............................................................................................................................................ vii
第一章緒論 ............................................................................................................................. 1
第二章文獻回顧..................................................................................................................... 3
2-1 IPO 相關議題研究 .......................................................................................................... 3
2-2 IPO 失敗風險研究 .......................................................................................................... 3
2-3 機器學習模型於財務領域之應用 ................................................................................ 5
2-4 興櫃市場相關資訊 ......................................................................................................... 6
第三章資料 ............................................................................................................................. 7
3-1 資料來源 ......................................................................................................................... 7
3-2 樣本選擇 ......................................................................................................................... 7
第四章研究方法..................................................................................................................... 9
4-1 變數說明 ......................................................................................................................... 9
4-1-1 應變數 ................................................................................................................... 9
4-1-2 自變數 ................................................................................................................. 10
4-2 模型說明 ....................................................................................................................... 15
4-2-1 羅吉斯迴歸Logistic Regression ..................................................................... 16
4-2-2 隨機森林Random Forest ................................................................................. 16
4-2-3 Extreme Gradient Boosting (XGB) ................................................................... 17
4-3 模型表現衡量 ............................................................................................................... 18
4-3-1 ROC & AUC ....................................................................................................... 18
4-3-2 Variable Importance............................................................................................ 19
4-4 假說檢驗 ....................................................................................................................... 20
4-4-1 假說一：興櫃市場相關變數為預測IPO 失敗之重要變數。 .................... 20
4-4-2 假說二：加入興櫃市場相關變數將能提升模型預測能力。 .................... 20
4-4-3 假說三：機器學習模型之預測能力將優於羅吉斯迴歸模型。 ................ 21
第五章研究結果................................................................................................................... 22
5-1 敘述統計 ....................................................................................................................... 22
5-1-1 台灣新上市(櫃)市場 ........................................................................................ 22
5-1-2 敘述統計 ............................................................................................................ 23
5-2 模型表現 ....................................................................................................................... 25
5-2-1 羅吉斯迴歸(Logistic Regression).................................................................... 25
5-2-2 隨機森林(Random Forest) ............................................................................... 27
5-2-3 Extreme Gradient Boosting................................................................................ 28
5-3 加入興櫃市場相關變數之研究結果........................................................................... 28
5-3-1 變數重要性排序 ............................................................................................... 28
5-3-2 加入興櫃市場相關變數後AUC 與Pseudo ?2變化 ................................... 29
第六章結論 ........................................................................................................................... 31
參考文獻 ....................................................................................................................................... 56
附錄 ................................................................................................................................................ 60
附錄 1 吉尼係數(Gini Coefficient)................................................................................... 60
附錄 2 重複交叉驗證 ........................................................................................................ 61

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指導教授

高櫻芬(Yin‑Feng Gau)

審核日期

2020-7-8

推文