違約風險與權益報酬率:台灣市場實證分析

Abstract

在台灣證券市場中，高違約風險是否就有高報酬？本研究依照Ｍerton (1974) model、Naïve Merton model (Bharath and Shumway 2008) 和Hazard model (Shumway 2001)來衡量違約風險，並控制在公司的市值、公司權益帳面價值對市值比以及流動性變數下，檢視違約機率跟報酬率之間的關係，並檢視是否存在短期報酬率反轉的現象，檢驗資產訂價，並測試違約風險是否為系統性因子。實證結果發現，報酬率反轉的現象僅存在於尚未調整系統風險前之情況下，並發現違約風險因子對權益報酬率具解釋能力，但同時考量三因子或四因子時，違約風險因子對報酬率並無提供額外的解釋能力。

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.