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    题名: 檢視違約風險利差、期限利差來代表規模效果、市淨比效果之能力
    How to use default spread and term spread to proxy size effect and B/M ratio effect
    作者: 陳冠宇
    贡献者: 饒秀華
    陳冠宇
    关键词: 違約風險利差
    期限利差
    規模效果
    市淨比效果
    日期: 2013
    上传时间: 2014-08-12 14:00:27 (UTC+8)
    摘要: 本研究目的旨在探討 Fama & French 三因子模型中,其所提及之高市淨率公 司相較低市淨率公司的風險貼水(HML), 規模效應風險貼水(SMB)兩因子,究竟可 以用哪一種總體經濟風險貼水來表徵?小公司相較大公司而言,因為其財務體質、 財務槓桿、乃至於信用狀況都普遍比大公司還要來的差,因而產生潛在的報酬差 異,但這個報酬差異,究竟是哪一種風險的風險溢酬?而成熟型股票相對於成長 型股票而言,因其已經處於成熟階段,往往此一階段之公司賬面舉債高,故價值 型股票之公司往往面臨巨額的利息費用,可以想見其獲利能力普遍會比成長型股 票還差,既然獲利能力較差,又因為價值型股票通常舉債程度都相對高的情況下, 到底哪種風險是造成價值型股票必須給予風險溢酬?依據本文的實證發現,上述 兩種狀況分別為成熟型公司相對於成長型公司,存在財務困境風險貼水,因為成 熟型公司是高市淨率(high 市淨率(B/M) ratio)而成長型公司是低市淨率(low 市淨 率(B/M) ratio),所以高市淨率公司相對於低市淨率公司確實存在風險貼水,依照 Hahn & Lee (2006),其發現此風險貼水可以利用期限利差(term spread)來代表, 另外,規模較小的公司相對於大公司而言也必須要給予額外的貼水,此稱為違約 風險貼水(Default Spread)。Hahn & Lee (2006)研究發現,小公司相較於大公司、 低市淨率相較高市淨率確實都存在貼水,本文的研究目的即為探討其在台灣股票 市場的真實性。研究期間為西元 2005 年至 2014 年,研究樣本為此期間上市公 司共六百多間的股票報酬率。
    透過本篇研究的實證結果發現,在台灣的股票市場中,在大公司與小公司之 間,確實存在著風險報酬之差異,另外,在高市淨率與低市淨率的公司之間,也 存在著報酬之差異,因此我們可以試著思考,違約風險貼水以及財務困境風險貼 水是否真的存在。
    參考文獻: 一、 英文文獻
    參考文獻
    1. Anil K. Kashyap, Owen A. Lamont, Jeremy C. Stein (1994)“Credit conditions and the cyclical behavior of inventories” Quarterly journal of Economics 109(3), pp.565-592
    2. Andrew Ang, Monika Piazzesi, Min Wei, 2006, “What does the yield curve tell us about GDP growth?” Journal of Econometrics, 131, 359-403.
    3. Ashoka Mody, Mark P. Taylor, 2003, “The High Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States.”IMF Stuff Paper, VOL50, No.3, 373-402.
    4. Annette Nguyen, Robert Faff & Philip Gharghori, 2009, “Are the Fama-French factors proxying news related to GDP growth?” The Australian evidence, RevQuant Acc, 33, 141-158.
    5. Banz, R.W., 1981, “The relationship between return and market value of common stocks”, Journal of Financial Economics pp. 3-18
    6. Chikashi Tsuji*, 2010, “In Search of the Economic Meaning and Role of the Fama-French Factors in Japan: Implications for Investment Management”, The Open Management Journal, 3, 1-15
    7. Detelina Ivanova, Kajal Lahiri & Franz Seitz, 2000,“Interest rate spreads as predictors of German inflation and business cycles.” International Journal of Forecasting, 16, 39–58.
    8. Fama, E.F. & K.R. French, 1992, “The cross-section of expected stock returns”,Journal of Finance 47(2), pp. 427-465.
    9. Fama, E.F. & K.R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33(1), pp. 3-56.
    10. Fama, E.F. & K.R. French, 1995, “Size and Book-to-Market Factors in Earnings and Returns.” Journal of Finance 50(1), pp. 131-155.
    11. Fama, E.F. & K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies.” Journal of Finance 51(1), pp. 55-8.
    12. Fama, E.F. & K.R. French, 1998, “Value Versus Growth: The International Evidence.” Journal of Finance 53(6), pp. 1975-1999.
    13. I-Hsiang Huang, 2011, The cyclical behavior of the risk of value strategy: Evidence from Taiwan. Pacific-Basin Finance Journal, 19, 404-419.
    14. Jimmy Liew & Maria Vassalou, 2000, Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57, 221-245.
    15. Jaehoon Hahn & Hangyong Lee, 2006, “Yield spreads as alternative risk factors for size and book-to-market” Journal of Financial and Quantitative Analysis 41(2), pp. 245-267
    16. K. C. Chan & Nai-Fu Chen, 1991, “Structural and Return Characteristics of Small and Large Firms” Journal of Finance, pp. 789-822 46(4), pp. 1467-1484
    17. Lorenzo Garlappi & Hong Yan, 2011, “Financial distress and the cross-section of equity returns” Journal of Finance, pp. 789-822
    18. Marc W. Simpson & Sanjay Ramch er, 2008, “An inquiry into economic fundamentals of the Fama and French equity factors” Journal of Empirical Finance, 15, 801-815
    19. Maria Vassalou, 2003, “News related to future GDP growth as a risk factor in equity returns” Journal of Financial Economics, 68, 47–73.
    20. Martin Lettau & Sydney C. Ludvigson, 2005, “Expected returns and expected dividend growth.” Journal of Financial Economics, 76, 583–626.
    21. Mark Gertler & Simon Gilchrist, 1994, “Monetary policy, business cycles, and the behavior of small manufacturing firms” Quarterly Journal of Economics, pp. 309-339
    22. Mark Gertler & R. Glenn Hubbard, and Anil Kashyap, 1990, “Interest rate spreads, credit constraints, and investment fluctuations: An empirical investigation” National Bureau of Economic Research, pp. 11-32
    23. Nishad Kapadia, 2011,“Tracking down distress risk.” Journal of Financial Economics, 102, 167–182.
    24. Ralitsa Petkova, 2006, “Do the Fama-French Factors Proxy for Innovations in Predictive Variables?”The Journal of Finance, Vol. LXI NO.2, 581-612.
    25. Ross, 1976, “The valuation of options for alternative stochastic processes”, Journal of Financial Economics pp. 145-166.
    26. Robert C. Merton, 1973, “An Intertemporal Capital Asset Pricing Model, Econometrica”, Vol. 41, No. 5, 867-887
    27. Robert Faff, Philip Gharghori & Annette Nguyen, 2014, “Non-nested tests of a GDP-augmented Fama-French model versus a conditional Fama-French model in the Australian stock market”, International Review of Economics and Finance, 29, 627-638.
    28. Robert J. Hodrick, 1992, “Dividend Yield and Expected Stock Returns:Alternative Procedures for Inference and Measurement”, The Review of Financial Studies, Vol.5, No.3, 357-386.
    29. Stiglitz & Weiss, 1981,“Credit Rationing in Markets with Imperfect Information” American Economic Review 71(3), pp. 393-410
    30. William F. Sharpe, 1964, A Theory of Market Equilibrium under Conditions of Risk, The Journal of Finance, Vol. 19, No. 3, 425-442
    二、中文文獻
    郭明錫,1990,套利理論應用於規模效應之研究,國立台灣大學商學研究所未出 版碩士論文。
    胡玉雪,1994,「益本比、淨值/市價比及公司規模對股票報酬之影響—. 相似無 關迴歸法之應用」,國立台灣大學商學研究所碩士論文
    李家宜,1999,以條件資產定價模型探討資產報酬的決定因素─台灣股票市場 1991 年至 1998 年實證分析,東吳大學經濟學系未出版碩士論文。
    陳惠萍,1999,股票橫斷面之橫斷面分析─以台灣與上海股票市場為例,逢甲大 學企業管理學系未出版碩士論文。
    王國儒,2000,台灣股市報酬率季節性現象內建隱藏成因與規模效應之綜合研究, 淡江大學財務金融學系未出版碩士論文。
    戴敏雪,2001,規模、風險與市場權益價值之實證研究,國立中正大學企業管理 研究所未出版碩士論文。
    吳子儀,2003,景氣循環下公司規模效益對股票報酬關係之研究─以台灣上市電 子公司為例,開南管理學院企業管理研究所未出版碩士論文。
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    101351002
    102
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0101351002
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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