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| Title: | 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 |
| Authors: | 陳冠宇 |
| Contributors: | 饒秀華
陳冠宇 |
| Keywords: | 違約風險利差
期限利差
規模效果
市淨比效果 |
| Date: | 2013 |
| Issue Date: | 2014-08-12 14:00:27 (UTC+8) |
| Abstract: | 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。 |
| Reference: | 一、 英文文獻
參考文獻
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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。 |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
101351002
102 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0101351002 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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