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題名 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 貢獻者 饒秀華
陳冠宇關鍵詞 違約風險利差
期限利差
規模效果
市淨比效果日期 2013 上傳時間 12-Aug-2014 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.565-5922. 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. 3-186. 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, 1-157. 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. 245-26716. 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. 1467-148417. Lorenzo Garlappi & Hong Yan, 2011, “Financial distress and the cross-section of equity returns” Journal of Finance, pp. 789-82218. Marc W. Simpson & Sanjay Ramch er, 2008, “An inquiry into economic fundamentals of the Fama and French equity factors” Journal of Empirical Finance, 15, 801-81519. 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. 309-33922. 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. 11-3223. 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, 867-88727. 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. 393-41030. 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 資料類型 thesis dc.contributor.advisor 饒秀華 zh_TW dc.contributor.author (Authors) 陳冠宇 zh_TW dc.creator (作者) 陳冠宇 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 12-Aug-2014 14:00:27 (UTC+8) - dc.date.available 12-Aug-2014 14:00:27 (UTC+8) - dc.date.issued (上傳時間) 12-Aug-2014 14:00:27 (UTC+8) - dc.identifier (Other Identifiers) G0101351002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68519 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 101351002 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (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。 zh_TW dc.description.tableofcontents 摘要...............................................................................................1 第一章 緒論第一節 研究背景與動機....................................................................2 第二節 研究目的..............................................................................4第三節 研究架構..............................................................................5第二章 文獻探討第一節 資產評價模型之演進..............................................................6 第二節 違約風險與違約風險利差(default spread)之關係..........................8 第三節 違約風險利差(default spread)與規模效應風險貼水(SMB)之關係.....11 第四節 財務困境風險(distress risk)與期限利差(term spread)之關係.........13 第五節 期限利差(term spread)與高市淨率公司相對低市淨率公司之風險貼水(HML)之關係..............................................................................14 第六節 文獻小結.............................................................................17第三章 研究方法和設計第一節 資料來源說明.......................................................................19 第二節 本研究之研究方法說明..........................................................19 第三節 研究解釋變數說明................................................................20 第四節 名詞定義.............................................................................22第四章 實證研究結果第一節 Fama & French 之規模效應風險貼水(SMB)、高市淨率公司相較低市淨率公司的風險貼水(HML)實證資料...................................................26 第二節 期限利差變動量(∆term)及違約風險貼水變動量(∆def)實證資料...27第五章 研究結論與建議第一節 實證研究結論.......................................................................30 第二節 研究限制與後續研究建議.......................................................32參考文獻........................................................................................34 zh_TW dc.format.extent 4896492 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101351002 en_US dc.subject (關鍵詞) 違約風險利差 zh_TW dc.subject (關鍵詞) 期限利差 zh_TW dc.subject (關鍵詞) 規模效果 zh_TW dc.subject (關鍵詞) 市淨比效果 zh_TW dc.title (題名) 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 zh_TW dc.title (題名) How to use default spread and term spread to proxy size effect and B/M ratio effect en_US dc.type (資料類型) thesis en dc.relation.reference (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.565-5922. 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. 3-186. 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, 1-157. 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. 245-26716. 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. 1467-148417. Lorenzo Garlappi & Hong Yan, 2011, “Financial distress and the cross-section of equity returns” Journal of Finance, pp. 789-82218. Marc W. Simpson & Sanjay Ramch er, 2008, “An inquiry into economic fundamentals of the Fama and French equity factors” Journal of Empirical Finance, 15, 801-81519. 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. 309-33922. 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. 11-3223. 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, 867-88727. 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. 393-41030. 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。 zh_TW
