違約風險與股票報酬率是否呈現負相關-以台灣金融市場為例

Abstract

在金融市場中，了解違約風險和股票報酬率之間的關係是很重要的。先前的美國實證研究發現，在1980年代事後報酬率和違約風險呈現負相關。因此，我們以台灣市場作分析取事前報酬率來和先前文獻的事後報酬率作比較。 這篇論文計算事前報酬率的方式是用隱含資本成本。實證結果顯示，當違約風險越大，則事前報酬率越大。接著我們取事後報酬率檢查與違約風險之間的關係，發現事後報酬率與違約風險亦呈現正相關，並未發現美國市場所顯示之事後報酬率和違約風險呈負相關。因此在台灣的金融體系下，並未發現如美國市場中報酬率與違約機率間負相關之結果。

The relationship between default risk and stock returns has important implications in financial markets. Most prior empirical studies use realized returns, and recent empirical studies document a counterintuitive negative relationship between default risk and realized stock returns in the 1980s. In this paper, we use ex ante expected returns as well as the ex post realized returns to explore the relationship between default risk and stock returns. In this paper, we use the implied cost of capital as a proxy for expected return. Our empirical results show that the expected return is positively related to default risk. Next we use the realized returns to examine the relationship with default risk. The results that show the realized returns are also positively related to default risk. In summary, we find that not only expected returns but also realized returns are positively related to default risk in Taiwan financial market.