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    題名: 信用風險與市場風險
    其他題名: Credit Risk and Market Risk
    作者: 謝淑貞
    貢獻者: 國立政治大學國際貿易學系
    行政院國家科學委員會
    關鍵詞: 經濟學;信用風險;市場風險
    Cox hazard proportional model, survival function, hazard function, hazard ratio
    日期: 2007
    上傳時間: 2012-06-22 09:48:32 (UTC+8)
    摘要: 本研究將探討公司的信用風險和Fama-French (1993)的兩因子之間的關係。如果公司股票的期望報酬已經反映公司的信用風險，那麼愈容易倒閉的公司應該有更高的報酬。本研究首先以duration 模型來預估公司的倒閉風險，然後再利用多元隨機模型(multivariate Stochastic Volatility model) 來探討公司的信用風險和Fama-French (1993)的兩因子之間的關係。由此希望能瞭解公司的信用風險是否已在公司股票的期望報酬之中反映出來了。
    This article investigates the determinants of the possibility of an unusual change in stock price. The empirical evidences show that market and liquidity are the most important explanatory variables which explain the likeliness of the big gains in stock prices. But the explanatory power that explains the likeliness of a sharp decline in stock price comes mostly from the momentum effects. In addition, size and book-to-market ratio proved have little power in explaining the unusual changes in stock prices. The asymmetry phenomenon in determinants of unusual changes in stock price is also found in three individual stock exchanges, respectively. Namely, in NYSE, momentum effect account for most of the likelihood for big gains in stock prices, while liquidity factors count for sharp stock price declines. Interestingly, the converse is true for those firms traded in Amex and NASDAQ, respectively.
    關聯: 基礎研究
    學術補助
    研究期間:9608~ 9707
    研究經費:287仟元
    資料類型: report
    顯示於類別:[國際經營與貿易學系 ] 國科會研究計畫

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