財務危機、相關性風險與高階動差權益風險

Abstract

財務危機相關之研究在財務理論中有重要的地位。多年來財務危機風險被視為規模 與淨值市價(book-to-market)效應的可能因素之一，然而，違約風險與股價報酬的實 證分析結果卻是不一致且令人困惑的。許多美國市場研究指出違約風險與股價報酬呈 負相關，此關係明顯違反了財務理論中的風險報酬替換原則，也吸引了許多財務研究 者針對此異象進行分析。 資產報酬的相關性顯著隨時間改變，因此，投資人為因應未來之低風險分散狀態， 需求可提供高收入之證券，近期實證研究已指出相關性具有顯著之負價格風險，無法 被現有風險因子所解釋。此外，研究亦發現投資人持有低分散度與低資產數之投資組 合，學者認為可能為投資人關注其投資組合之高階動差風險緣故，因此，許多資產定 價研究已開始加入權益之高階動差風險。 本研究將首先進行理論與實證的文獻探討。接下來我們將於現有資產定價之 Fama-French、動能與流動性風險因子外，引入相關性風險與高階動差風險因子，並進 而統整分析，嘗試發掘哪些風險因子對違約風險溢酬具有最佳解釋能力。此外，為處 理相關性風險與投資人偏好隨時間變化之狀況，亦納入投資人情緒與總體經濟狀況進 行分析。最後，我們亦將考量加入高階動差風險與投資人情緒因子，進行公司財務危 機預測分析。

Financial distress related research is crucial for financial theory. Over the years, distress risk has been considered as one of the causes of size and book-to-market effect on equity returns. However, empirical evidence of a cross-sectional relationship between default risk and stock returns are mixed and puzzling. Many empirical studies have documented a negative relationship between default risk and stock returns in the US market. This opposite relation contradicts to what the risk-reward trade-off financial theory predicts, and the default risk (distress) anomaly has drawn huge attention in finance literature. Correlations of asset returns vary substantially over time. Therefore, investors may demand securities offering higher payout to insure against future low diversification states. Recent empirical studies have revealed that correlation carries a significance negative price of risk that cannot be explained by prevailing risk factors. Furthermore, empirical evidence also showed that investors hold under-diversified portfolios with a small number of securities. Researchers argued that investors could concern higher moment risk of their portfolios, and several studies have begun to incorporate the higher moment equity risks into asset pricing. This paper first review theoretical and empirical studies of default risk puzzles. In our empirical test, we will first separately incorporate factors regarding correlation risk and higher moment risks into asset pricing tests controlling for prevailing Fama-French, momentum and liquidity factors. Next, we will jointly examine which of these factor(s) can effectively explain distress premium. This is the attempt to identify the appropriate risk factor for distress risk. Moreover, investor sentiment and macro condition will also be considered in order to address the time-varying correlation risk and investor preference. Finally, financial distress prediction will also be conducted by incorporating higher order moment related risks and investor sentiment.