違約風險與私有資訊的關聯

Abstract

過去研究指出，財務狀況惡化的公司常會吸引有資訊交易者進入市場交易，而無資訊投資者將迴避此種類型的股票。當公司的財務趨於惡化時，為了降低投資大眾拋售持股、擠兌和相關的財務危機成本，傾向隱匿財務惡化的資訊。由於市場上未提供一個有效、公開的違約指標，因此投資大眾無法得知公司實際的財務狀況。有資訊交易者可透過模型或其他管道得知公司的財務狀況，並利用此資訊避險。本篇研究主要探討違約風險與私有資訊的關聯，利用迴歸分析檢驗違約風險對私有資訊的影響程度，實證結果得到在高度私有資訊的族群中，違約風險的程度將影響私有資訊的高低；財務危機越高的公司，私有資訊也越高。並將私有資訊與其他財報比率透過區別分析，檢視私有資訊預測倒閉的能力，實證結果預測能力佳，當私有資訊越高、公司未來倒閉的機率越高。

The proportion of the informed traders will increase and the uninformed traders will exist as the default risk of firm gets higher. However, the financial deteriorate is concealed by managers in order to avoid the cost of default risk. Some useful and more precise data about default risk will not be acquired easily by the uninformed investors, and they are not revealed in public. The institutional investors own the channel and capital for the sake of getting the default risk information in a given stock. The purpose of this paper is to investigate the relationship between the default risk and the information-based trading. The time serious cross section regression is taken to examine the relationship between DLI and PIN. The result shows that the firms with higher default risk have more information-based trading. Furthermore, in the discriminant analysis, the result demonstrates that the information-based trading is a useful indicator in bankruptcy predicting.