标题: 违约风险与权益报酬率:台湾市场实证分析
Default risk and equity returns:Evidence form Taiwan market
作者: 陈哲民
李汉星
林君信
管理科学系所
关键字: 违约风险;流动性;报酬率反转;Default Risk;Merton Model;Naive Merton Model;Hazard Model;Liquidity Effect;Return Reversal
公开日期: 2010
摘要: 在台湾证券市场中,高违约风险是否就有高报酬?本研究依照Merton (1974) model、Naïve Merton model (Bharath and Shumway 2008) 和Hazard model (Shumway 2001)来衡量违约风险,并控制在公司的市值、公司权益帐面价值对市值比以及流动性变数下,检视违约机率跟报酬率之间的关系,并检视是否存在短期报酬率反转的现象,检验资产订价,并测试违约风险是否为系统性因子。实证结果发现,报酬率反转的现象仅存在于尚未调整系统风险前之情况下,并发现违约风险因子对权益报酬率具解释能力,但同时考量三因子或四因子时,违约风险因子对报酬率并无提供额外的解释能力。
Do high default risk firms earn higher returns than low default risk firms in Taiwan? Our paper examines the relation between default risk and equity returns controlled by size effect, book-to-market effect, and liquidity effect. In addition, we also examine if there exists short-term return reversal phenomenon, and perform asset pricing test. Three models are applied to measure default risk: the Merton’s (1974) distance to default (DD) model, the Naïve Merton model (Bharath and Shumway 2008), and the Hazard model (Shumway 2001). The empirical results show that in Taiwan equity market, short-term return reversal of high default risk portfolio exists only for analysis of raw returns, but not for risk-adjusted returns. Our results also indicate that default risk alone has some power in explaining equity returns. However, default risk does not contain additional important price information uncorrelated to existing three or four risk factor models.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079731514
http://hdl.handle.net/11536/45348
显示于类别:Thesis