Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92416
標題: 違約迴廊與股票報酬率預測
Default Corridor and the Ex-postStock Returns
作者: Cheng-Yu Li
李政祐
關鍵字: 違約迴廊;違約風險;信用風險溢酬;股票預期報酬率;Default corridor;Default risk;Stock expected return
引用: Altman, Edward I., 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance 23, 589-609. Anginer, Deniz, and CelimYildizhan, 2013, Is there a distress risk anomaly?Pricing of systematic default risk in the cross section of equity returns,Working paper, World Bank and University of Georgia. Avramov, Doron, TarunChordia, GerganaJostova, and Alexander Philipov, 2009,Credit ratingsand thecross-section of stock returns, Journal of Financial Markets 12(3), 469-499. Brown, David, Brian Ciochetti, and Timothy J. Riddiough, 2006, Theory and evidence on the resolution of financial distress, Review of Financial Studies 19, 1357-1397. Campbell, John Y., Jens Hilscher, and Jan Szilagyi, 2008, In search of distress risk,Journal of Finance 63(6), 2899-2939. Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance56(1), 1-43. Carr, Peter, and Liuren Wu, 2011,A simple robust link betweenAmericanputs and credit protection,Review of Financial Studies 24(2),473-505. Carr, Peter, and Liuren Wu, 2010, Stock options and credit default swaps:A joint framework for valuation and estimation, Journal of Financial Econometrics 8(4),409-449. Chava, Sudheer, and AmiyatoshPurnanandam, 2010, Is default risk negatively related to stock returns?,Review of Financial Studies 23(6), 2523-2559. Chava, SudheerandRobert A. Jarrow, 2004, Bankruptcy prediction with industry effects,Review of Finance 8(4), 537-69. Cochrane, John H., and Monika Piazzesi, 2005, Bond risk premia, American Economic Review 95, 138-160. Cremers, Martijn, JoostDriessen,andPascal Maenhout, 2008, Explaining the level of credit spreads:Option-implied jump risk premia in a firm value model, Reviewof Financial Studies21(5),2209-2242. Cremers, Martijn, JoostDriessen, Pascal Maenhout, and David Weinbaum, 2008,Individual stock-option prices and credit spreads,Journal of Banking & Finance 32(12), 2706-2715. Dichev, Ilia D., 1998, Is the risk of bankruptcy a systematic risk? Journal of Finance53,1131-1147. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on bonds and stocks, Journal of Financial Economics 33, 3-56. Friewald, Nils, Christian Wagner, and Josef Zechner, 2014,The cross-section of credit risk premia and equity returns, Journal of Finance, forthcoming. Garlappi, Lorenzo, and Hong Yan,2011,Financial distress and the cross-section of equity returns, Journal of Finance 66,789-822. Kwan, Simon, 1996, Firm specific information and the correlation between individual stocks and bonds, Journal of Financial Economics 40, 63–80. Markowitz, Harry, 1952, Portfolio selection,Journal of Finance 7, 77-91. Merton, Robert C., 1974, On the pricing of corporate debt: The risk structure of interest rates,Journal of Finance 29, 449-470. Ohlson, James, 1980, Financial ratios and the probabilistic prediction of bankruptcy,Journal of Accounting Research 18, 109-131. Pástor, Ľuboš and Robert Stambaugh, 2003, Liquidity risk and expected returns,Journal of Political Economy 111, 642-685. Shumway, Tyler, 2001, Forecasting bankruptcy more accurately:A simple hazard model, Journal of Business 74(1), 101-24. Vassalou, Maria, and Yuhang Xing, 2004, Default Risk in Equity Returns, Journal of Finance 59(2), 831-868. Zhang, Benjamin Yibin, Hao Zhou, and Haibin Zhu, 2009, Explaining credit default swap spreads with the equity volatility and jump risks of individual firms, Review of Financial Studies 22(12), 5099-5131. Zahra, Shaker A., 1995, Corporate entrepreneurship and financial performance: The case of management leveraged buyouts, Journal of business venturing 10, 225-247.
摘要: 
本篇研究主要探討,假設公司股票價格如同 Carr and Wu (2011)指出若存在一段股票價格不會進入的違約迴廊(default corridor)下 公司極度深度價外美式股票賣權所,形成之單位保障合約價格是否與股票預期報酬率呈現高單位保障合約價格高股票預期報酬率的關係。接著進一步探討公司極度深度價外美式股票賣權單位保障合約價格減去公司信用違約交換合約的單位保障合約價格之價差與公司股票預期報酬率之關係,以了解跨市場的增額資訊是否能預期公司未來股票報酬率。實證結果顯示,公司極度深度價外美式股票賣權單位保障合約價格與股票預期報酬率並無呈現顯著的高單位保障合約價格高股票預期報酬率;然而在跨市場增額資訊方面,較高的跨市場增額資訊有顯著的較高股票未來報酬率。最後於精確性檢定,發現以跨市場增額資訊大小所形成之投資組合與 Friewald,Wagner and Zechner(2014)以信用風險溢酬大小排序所形成之投資組合相似程度不高。

Under the assumption which Carr and Wu (2011) point out that stock price have a default corridor where stock prices were never drop in.This study investigates the relationship between the deep out-of-the-money American put optionimplied price of unit recovery claim and stockexpectedreturns is positive, or not. Furtherexamines whether the difference between the impliedunit recovery claim price from the deep out-of-the-money American put option and credit default swap can expect feature stock return. The empirical result show that there is no economicalsignificant can support the relationship between the deep out-of-the-money American put option implied price of unit recovery claim and stock expected returns is positive. But there have economical significant show that the higher cross-market difference ofunit recovery claim price is,the more feature stock return will have.Under the robust test we also find that the organization of portfolio construct from sorting cross-market difference of unit recovery claim priceis difference from the portfolio sorting by credit risk premium which is point out from Friewald,Wagner and Zechner (2014).
URI: http://hdl.handle.net/11455/92416
其他識別: U0005-2205201511083200
Rights: 同意授權瀏覽/列印電子全文服務,2018-07-15起公開。
Appears in Collections:財務金融學系所

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