標題: Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market
作者: Chen, Che-Min
Lee, Han-Hsing
管理科學系
資訊管理與財務金融系 註:原資管所+財金所
Department of Management Science
Department of Information Management and Finance
關鍵字: book-to-market effect;default risk;liquidity;Merton model;return reversal
公開日期: 1-一月-2013
摘要: The authors' empirical results indicate that default risk has some power to explain equity returns on the Taiwanese stock market, but it does not contain other important price information uncorrelated with the prevailing three or four risk factor models. Furthermore, compared to the U.S. market, the timing of distress returns is different. The short-term return reversal in the first month is less pronounced for the return differential between portfolios having high and low default risk, but the reversal lingers for a longer period of time. Overall, the book-to-market ratio, rather than the liquidity effect, plays a crucial role in explaining the default risk in equity returns.
URI: http://dx.doi.org/10.2753/REE1540-496X490106
http://hdl.handle.net/11536/147652
ISSN: 1540-496X
DOI: 10.2753/REE1540-496X490106
期刊: EMERGING MARKETS FINANCE AND TRADE
Volume: 49
起始頁: 101
結束頁: 129
顯示於類別:期刊論文