台灣股票市場違約風險與Fama-French因子之關係

Abstract

本研究以台灣股票市場研究違約機率與股票報酬的關係。我們選擇三個預測財務危機的模型，Logit模型，Probit模型和離散時間危險模型。利用ROC和錯誤分類表比較此三種預測財務危機的模型，實證發現相對於Logit和Probit模型，離散時間危險模型擁有較準確的預測財務危機的能力。我們以離散時間危險模型計算的違約機率和四因子模型分析違約因子和Fama-French因子的關係。實證發現，在考慮投資組合或是考慮個股股票之下，SMB和HML因子係數的比重均與違約機率有相關。因此，實證結果證實SMB和HML是財務危機相關因子。

We study how the default probability relates to the stock returns in Taiwan stock market. Three prediction models are chosen, Logit Model, Probit Model, and Discrete-Time Hazard Model. We find that Discrete-Time Hazard model outperforms the other two models in predicting financial distress. Using the default probabilities predicted by Discrete-Time Hazard Model, we analyze the relationship between default risk and the Fama and French factors, SMB and HML, by running the four-factor model. The empirical results show that both portfolio and individual stock factor loadings are related to the estimated default probabilities. This result supports the interpretation on SMB and HML as distress related factors.