政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/143248
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113311/144292 (79%)
造访人次 : 50923474      在线人数 : 891
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 學術期刊 > 會計評論 > 期刊論文 >  Item 140.119/143248


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/143248


    题名: 指數股票型基金持股比例及其波動度與公司信用風險關聯性
    ETF Ownership Level, ETF Ownership Volatility, and Corporate Credit Risk
    作者: 陳宗岡;蔡宗勝;黃美玲
    Chen, Tsung-Kang;Tsai, Tsung-Sheng;Huang, Mei-Ling
    贡献者: 會計評論
    关键词: 指數股票型基金持股比例;持股波動度;信用風險;價格發現假說
    ETF ownership level;ETF ownership volatility;Credit Risk;Price discovery hypothesis
    日期: 2023-01
    上传时间: 2023-02-06 09:26:57 (UTC+8)
    摘要: 本研究旨在探討指數股票型基金持股比例與其波動度對公司信用風險的影響，其中信用風險分別以會計基礎信用風險指標(A_CR)及市場基礎信用風險指標(M_CR)來衡量。本研究利用2003 年6 月至2020 年9 月的臺灣市場指數股票型基金資料來進行分析，並分別以TCRI 信用評等(TCRI)及違約間距(Distance to Default, DD)作為A_CR 及M_CR 的代理變數。實證結果顯示：在控制其他公司特徵下，指數股票型基金持股比例與公司信用風險呈顯著負相關；然持股比例波動度在保留極端波動下則與公司信用風險呈顯著正相關。本研究進一步發現：指數股票型基金持股比例與資訊揭露品質呈顯著正相關，但與股票報酬波動率呈現顯著負相關，顯示臺灣市場支持價格發現假說。此外，本研究亦發現若公司有入選公司治理相關的基金，則將顯著減弱指數股票型基金持股比例對會計基礎信用風險指標的負向影響。最後，上述研究結論在考量內生性問題下仍然成立。
    This study aims to explore whether ETF ownership level and its volatility affect corporate credit risk using Taiwanese firm data from June 2003 to September 2020. The credit risk proxies used in this study include accounting-based and market-based credit risk variables, which are measured by TCRI rating and Distance to Default (DD), respectively. We find that ETF ownership level is significantly and negatively related to firm credit risk while (unwinsorized) ETF ownership volatility has an opposite effect. This study further finds that ETF ownership level is significantly and positively related to corporate disclosure quality and yet an opposite effect on equity return volatility did exist, revealing that the price discovery hypothesis is empirically supported in Taiwanese ETF market. In addition, the negative association between ETF ownership level and firm accounting-based credit risk becomes significantly weaker for firms listed in the governance-ETF components. Finally, our conclusions are still robust when considering the endogeneity problems.
    關聯: 會計評論, 76, 95-143
    数据类型: article
    DOI 連結: https://doi.org/10.6552/JOAR.202301_(76).0003
    DOI: 10.6552/JOAR.202301_(76).0003
    显示于类别:[會計評論] 期刊論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2342检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈