違約風險對權益流動性之影響--高財務危機成本時期之分析

Abstract

本文旨在探討違約風險與權益流動性之關係。過去文獻指出財務狀況險惡的公司常會吸引資訊優勢交易者進入市場交易該股，而無資訊優勢的一般流動性需求交易者則退出市場，實務上，公司違約可能性通常會被經理人隱匿而造成市場上資訊不對稱成本提高，此代理成本使得承擔較高風險的造市者會利用增加價差以保證其利潤。本文利用Merton’s Model(1974)來估計公司違約機率，並研究是否高財務危機公司其股票交易買賣價差較高。再者，使用追蹤資料門檻迴歸模型來探討違約風險與流動性之間的非線性關係。實證結果顯示，第一，違約風險對於流動性有顯著地正向影響；第二，兩變數存在非線性關係；最後，比起一般時期，當市場處在公司醜聞爆發時期，上述兩項關係亦特別明顯存在，使得交易成本上昇及交易萎縮，因而加速體質不良公司倒閉或股價重挫，亦即地雷股爆發會有群聚現象之因，財務不佳之公司會遭受較差的流動性，是故，除了直接或間接財務危機成本，流動性成本也可歸諸於公司財務危機成本之一。

This dissertation is to demonstrate the relation between default risk and equity liquidity. Market makers will widen spreads if the trading proportion of informed traders increases and uninformed traders exit market as firm’s financial performance deteriorates. Increased default probability usually concealed by managers will enlarge asymmetric information costs and thus market makers offer greater bid-ask spreads to protect their profit. Default risk measured by Merton’s option pricing model to investigate whether firms with financial distress possess higher bid-ask spreads. Furthermore, we take the panel threshold regression model to examine the possible non-linear relationship between default risk and equity liquidity. The result shows default risk observably has more significant and stronger relation to equity liquidity in the corporate scandal disaster period than usual time. We infer that results in corporate scandal and listed company bankruptcy events always lead to a chain reaction. The happenings of firm’s bankrupt and enormous dump of prices are generally clustered, in particular for the firms with deteriorating financial condition.