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題名 Credit Rating Anomaly in the Taiwan Stock Market 作者 Ko, Kuan-Cheng
柯冠成貢獻者 國際經營與貿易學系 關鍵詞 Asset-pricing anomalies;Rationality-based asset-pricing models;Credit ratings;Credit risk puzzle;Distress risk 日期 2013-06 上傳時間 6-Nov-2015 16:02:07 (UTC+8) 摘要 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. 關聯 Asia-Pacific Journal of Financial Studies,42(3),403-441 資料類型 article DOI http://dx.doi.org/10.1111/ajfs.12019 dc.contributor 國際經營與貿易學系 dc.creator (作者) Ko, Kuan-Cheng dc.creator (作者) 柯冠成 zh_TW dc.date (日期) 2013-06 dc.date.accessioned 6-Nov-2015 16:02:07 (UTC+8) - dc.date.available 6-Nov-2015 16:02:07 (UTC+8) - dc.date.issued (上傳時間) 6-Nov-2015 16:02:07 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/79369 - dc.description.abstract (摘要) 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. dc.format.extent 126 bytes - dc.format.mimetype text/html - dc.relation (關聯) Asia-Pacific Journal of Financial Studies,42(3),403-441 dc.subject (關鍵詞) Asset-pricing anomalies;Rationality-based asset-pricing models;Credit ratings;Credit risk puzzle;Distress risk dc.title (題名) Credit Rating Anomaly in the Taiwan Stock Market dc.type (資料類型) article en dc.identifier.doi (DOI) 10.1111/ajfs.12019 dc.doi.uri (DOI) http://dx.doi.org/10.1111/ajfs.12019
