股票報酬率與違約風險關係之研究--以台灣股票市場為例

Abstract

本研究之目的在探討違約風險對股票報酬率的影響，研究樣本為1996年3月至2005年3月共37季間，台灣一般產業曾經上市櫃公司，各樣本之財務資料取自台灣經濟新報資料庫。根據Vassalou 和 Xing ( 2004 )之研究，採用Merton( 1974 )選擇權評價模型計算出各公司的違約機率(default probability)，並將此違約風險的衡量納入Fama and French ( 1976 )三因子模型中考量，探討股票報酬率是否具有違約風險效果。研究發現：一、在控制違約風險下，股票報酬率仍具有規模效果及淨值市價比效果。二、台灣股票市場中違約風險因子與規模大小及淨值市價比並沒有顯著相關性。三、違約風險與總體經濟變數有關並且隨著景氣循環變動。四、整體樣本考量下，台灣股票市場報酬率具有違約風險效果。

關鍵字：違約風險、違約機率、Merton選擇權模型、三因子模型

The purpose of this study is to investigate the effect of default risk on equity returns. Samples are selected from IPO’s listed on Taiwan Stock Exchange and OTC Exchange from March 1996 to March 2005 with financial data from TEJ. Based on Vassalou and Xing ( 2004 ), we apply Merton’s( 1974 ) option pricing model to compute the default probabilities of sample firms. Three factor model by Fama and French ( 1976 ) are modified with consideration of default risk. We find that: (1) After default risk is controlled, there is still size effect and Book-to-Market effect for equity returns in Taiwan. (2) Default risk is not related to size or book to market factor for equity returns. (3) Default risk is related to macroeconomic factors and varies with business cycle. (4) Default risk is significantly related to the equity returns.

Key word: Default risk, default probability, Merton’s option pricing model, three factor model