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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/65215
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| Title: | Credit Rating Anomaly in Taiwan Stock Market |
| Authors: | Chu, Hsiang-Hui;Ko, Kuan-Cheng;Lin, Shinn-Juh;Ho, Hsiao-Wei
林信助 |
| Contributors: | 國貿系 |
| Keywords: | Asset pricing anomalies;Credit ratings;Distress risk |
| Date: | 2013.01 |
| Issue Date: | 2014-04-09 15:45:33 (UTC+8) |
| Abstract: | Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit risk puzzle, however, states a negative cross-sectional relationship between credit risk and future stock returns (Journal of Finance, 53, 1998, 1131; Journal of Finance, 57, 2002, 2317; Journal of Finance, 63, 2008, 2899; Journal of Financial Markets, 12, 2009, 469). This paper examines the credit risk puzzle using an independent dataset from Taiwan`s stock market. We document a significantly positive premium between highest- and lowest-rated stocks in both portfolios and individual stocks, and demonstrate that it cannot be explained by well-known asset-pricing models, including the CAPM, Journal of Financial Economics, 33, 1993, 3 three-factor model, and Journal of Financial Economics 82, 2006, 631 liquidity-augmented CAPM. Unlike the evidence collected from the US market, rating downgrades only have limited impact on the cross-sectional variation of stock returns in Taiwan. Further analysis indicates that credit rating serves as a better proxy for distress risk, and is thus priced in Taiwan`s stock market. |
| Relation: | Asia-Pacific Journal of Financial Studies,42(3), 403-441 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1111/ajfs.12019 |
| DOI: | 10.1111/ajfs.12019 |
| Appears in Collections: | [國際經營與貿易學系 ] 期刊論文
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