Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92434
標題: 以違約強度衡量出不同違約風險與股票報酬率之關係
The Relationship Between Stock Returns And Different Default Risk Measured by Default Intensity
作者: You-Yu Sun
孫佑餘
關鍵字: 違約強度;違約風險指標;Fama-French 因子模型;Default intensity;Indicator of default risk;Fama-French factor model
引用: Altman, Edward I., 1968, Financial ratios, Discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance 23, 89-609. Anginer, Deniz, and Celim Yildizhan, 2010, Is there a distress risk anomaly? Corporate bond spread as a proxy for default risk, Working Paper, World Bank and University of Georgia. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2009, Credit ratings and the cross-section of stock returns, Journal of Financial Markets 12, 469-499. Bharath, Sreedhar T., and Tyler Shumway, 2008, Forecasting default with the Merton distance to default model, Review of Financial Studies 21.3, 1339-1369. Campbell, John Y., Jens Hilscher, and Jan Szilagyi, 2008, In search of distress risk, Journal of Finance 63, 2899-2939. Chava, Sudheer, and Amiyatosh Purnanandam, 2010, Is default risk negatively related to stock returns?, Review of Financial Studies 23, 2523-2559. Dichev, Ilia D., 1998, Is the risk of bankruptcy a systematic risk?, Journal of Finance 53, 1131-1147. Duffie, Darrell, Leandro Saita, and Ke Wang, 2007, Multi-period corporate default prediction with stochastic covariates, Journal of Financial Economics 83, 635–665. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56. Friewald, Nils, Christian Wagner, and Josef Zechner, 2013, 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. Merton, Robert C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449–470. Ohlson, James A., 1980, Financial ratios and the probabilistic prediction of bankruptcy,Journal of Accounting Research, 109-131.. Shumway, Tyler, 2001, Forecasting bankruptcy more accurately: A simple hazard model, Journal of Business 74, 101–124. Vassalou, Maria, and Yuhang Xing, 2004, Default risk in equity returns, Journal of Finance 59, 831-868.
摘要: 
本研究以台灣上市櫃公司為研究對象,除了過去研究常用的 Merton(1974)模型計算出的違約機率之外,另外使用 Ohlson 變數、Shumway 變數以及 Duffie 變數三組變數透過 Duffie et al. (2007)違約強度的計算方式得出三種違約風險指標,探討違約指標與報酬率之間的關條。結果發現違約風險高的組別其股票報酬率越 低,而透過 Fama-French 因子模型可以得到違約風險越高的組別,其規模鼓應以及帳市比效應越大。

This research project is attempted to probe the relevance of default index and rate of return. The research objects are the listed companies in Taiwan. Apart from the commonly used Merton Model, the calculation method of default intensity from Duffie et al. (2007) is also adopted. With the Ohlson variable, Shumway variable and Duffie variable, three indicators of default risk are obtained. The result showed that higher default risk leads to lower stock return rate. On the other hand the Fama-French factor model indicated that higher default risk causes size effect and BM effect.
URI: http://hdl.handle.net/11455/92434
其他識別: U0005-2504201514050900
Rights: 不同意授權瀏覽/列印電子全文服務
Appears in Collections:財務金融學系所

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