產品市場競爭對破產預測與信用傳染之影響

Abstract

近來的全球金融危機已對金融市場產生顯著的衝擊，亦使信用事件預測的重要性更 加受重視。前所未見的大規模公司違約影響了整體金融系統，也使信用傳染受到學術 界與業界的高度重視。先前的研究已指出，產業特性足以影響破產機率以及信用風險 的傳播方式。然而，目前盛行的縮減式(reduced-form)模型卻很少考慮此重要因子。 因此，在本研究中，我們嘗試研究產品市場競爭對破產預測以及信用違約的影響。 在產品市場競爭的文獻中，競爭強度是最常被使用的因子。在信用事件的預測上， 除競爭強度外，產業公司之間的互動模式亦非常重要，因為並非所有產業中的破產事 件，都對生存下的公司都有相同的重要性。學者指出個別公司與整體產業的利潤，將 可經由公司間的互動來決定。因此，公司可透過策略性的行為，經由本身行動與產業 競爭對手有利的反應來增加其價值。本研究將於縮減式模型應用以上所列之競爭強度 以及策略互動。 本研究將首先進行理論與實證的文獻探討。接下來我們將採用雙重隨機卜瓦松 (doubly-stochastic Poisson) 與 Hawkes 過程，來探討產業因素對破產預測以及信 用傳染的影響。我們可透過實證分析建立違約強度與產品市場競爭的直接關聯，以清 楚的闡述產業困境因子與違約事件。接下來我們研究策略互動指標可能如何影響公司 違約強度對違約事件的反應。我們亦將研究公司對不同破產形式的反應。最後，我們 將進行樣本外破產預測績效之分析，以檢驗加入產品市場競爭因素可否增進破產預測 之正確性。

The recent global financial crisis has impacted the financial markets around the world, and raises the importance of the forecast of credit events. The unprecedented scale of the corporate defaults influenced the entire financial system, and it draws large attention of academic and practitioner to credit contagion. Prior research documented that industry characteristics can affect the bankruptcy probabilities and how credit risks propagate. Nonetheless, very few of the prevailing reduce-form models consider this important factor. Therefore, in this study, we attempt to approach this issue by investigating the impact of product market competition on bankruptcy prediction and credit contagion. In the literature of product market competition, intensity of competition is the most commonly examined factors. In the study for predicting default events, in addition to intensity of competition, how firms interact within the industry is also crucial since not all the bankruptcy events in an industry are of equally importance for the survival companies. Researchers argued that profits of individual firm and overall industry profits depend on how firms interact with each other. As a result, firms can increase value by behaving strategically by committing to actions that will elicit favorable responses from the rivals in the industry. Therefore, in this study, we will incorporate both the intensity of product market competition and strategic interactions in product markets into reduced-form intensity approach. This paper will first review theoretical and empirical studies of default correlation, credit contagion, and bankruptcy prediction. Next, we will adopt the doubly stochastic Poisson and self-exciting point process by Hawkes to explore the industry effect on bankruptcy prediction and credit contagion. In this empirical study, we attempt to establish the direct relationship between default intensity and product market competition. This can provide a more clear interpretation of industry distress factor and default event. Next, we explore the possible different reactions to the default events in the industry through the measures of strategic interaction, which can uncover the relationship along a new dimension of product market competition. Furthermore, we also investigate the different reactions to the default events through the types of bankruptcy filings, which can also shed some light on the default and product market competition. Finally, we will perform out-of-sample bankruptcy prediction to examine if the inclusion of variables regarding product market competition can enhance the default prediction accuracy.