產業風險與公司債利差

Abstract

過去文獻指出公司產業風險對信用狀、貸款價格及債劵償還率均有顯著的影響，本篇主旨在於檢視產業風險是否能有效解釋債劵利率差。我們利用三個風險衡量方法作為分析工具，第一個產業風險衡量方法為去槓桿後的產業beta值。以及兩個尾端風險衡量法以計算在產業衰退時的較高相關性:公司與產業報酬在產業衰退期的相關性，以及Acharya, Pedersen, and Philoppon (2010)提出用以衡量極端公司狀況的邊際困境估計(Marginal Distress Estimate)。實證結果顯示兩個尾端風險衡量法與債劵利率差有顯著關係，支持先前產業風險能夠有效解釋債劵利率差的假設。

Previous studies in literature indicate that a firm’s exposure to industry downturns is an important factor for line of credit, loans pricing and recovery rate. The purpose of this paper is to examine whether industry risk is significant in explaining bond yield spreads. We use three industry risk measures in our analysis. The first industry measure is the unlevered industry beta. The two tail risk measures are incorporated to account for the higher correlation of firms in the industry downturn: the correlations between the firm and industry returns conditional on the industry downturn and the marginal distress estimate (MDE) measure (Acharya, Pedersen, and Philoppon, 2010). The empirical results across different credit ratings reveal significant relationships between two tail risk measures of industry risk and bond yield spreads. Our evidence supports that industry risk play an important role in explaining bond yield spreads.