标题: | Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market |
作者: | Chen, Che-Min Lee, Han-Hsing 管理科学系 资讯管理与财务金融系 注:原资管所+财金所 Department of Management Science Department of Information Management and Finance |
关键字: | book-to-market effect;default risk;liquidity;Merton model;return reversal |
公开日期: | 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 |
起始页: | 101 |
结束页: | 129 |
显示于类别: | Articles |