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題名 以利差解釋規模溢酬、價值溢酬與景氣循環的關聯
Yield spreads as alternative risk factors for size and book-to-market作者 黃郁婷 貢獻者 饒秀華
黃郁婷關鍵詞 違約利差
期間利差
規模溢酬
價值溢酬
景氣循環日期 2013 上傳時間 29-Jul-2014 16:01:24 (UTC+8) 摘要 從Fama and French(1993)提出三因子模型以降，便持續有質疑的論點認為三因子仍然不夠完整且不夠有說服力，除非能夠找到更多潛藏的風險因子。這樣的批評是因為SMB、HML是依照「規模(size)」、「淨價市值比(bm)」等『特徵』分類之投資組合的報酬，而這卻和系統風險沒有足夠經濟意涵上的關聯。Hahn and Lee(2006)研究認為違約利差(default spread)、期間利差(term spread)兩種利差可以替代規模 (size)、淨價市值比 (bm)的角色去解釋風險與報酬抵換的關係，因為違約利差(default spread)、期間利差(term spread)已為眾人所知可以預測總體股票市場報酬，甚至這兩個變數已經長期被視為信用市場狀況以及貨幣政策效果的指標，也就是說這兩個變數可以捕捉市場報酬對於信用市場狀況、利率的變化。 故本文採用Hahn and Lee(2006)的研究方法，探討違約利差與期間利差是否能夠解釋SMB、HML兩個變數與景氣循環的關聯，如果可以解釋，代表利差可以進而代替SMB、HML成為資產報酬的解釋變數，甚至更富總體經濟意涵。 實證結果發現，違約利差的變動Δdefault spread對SMB顯著，兩者為正向關係；期間利差的變動Δterm spread對HML顯著，兩者為正向關係。小規模公司由於資訊不對稱的緣故，對貨幣政策以及景氣循環都有不對稱的反應，面對經濟不景氣的時候，小規模公司的信用條件惡化、暴露在違約風險之中，迴歸實證結果亦發現此時小規模公司的表現較差，故SMB下降。同樣地，在景氣不好的時候，期間利差縮小，高淨價市值比公司的股票報酬較低，故HML縮小。 參考文獻 {1} Black，F.Jenson，M.and Scholes，M.(1972) “The capital asset pricing model：some empirical tests，Studied in the Theory of Capital Market”Praeger Publishers，New York{2} Banz, R. W.(1981) “The relationship between return and market value of common stocks”Journal ofFinancial Economics 9(1), 3–18.{3} Barry, C. and S. Brown(1983) “Differential Information and the Small Firm Effect,” Journal of Financial Economics 13, 1984, 283-294.{4} Benanke, B. S.; Alan S. Blinder(1988) “ Credit, Money, and Aggregate Demand”The American Economic Review, Vol. 78, No. 2,435-439.{5} Buchholtz, A.K. and B. A. Ribbens (1994) “Bankruptcy and Corporate Governance : The impact of Board Composition and Structure” Academy of Management Journal 37（6）,1603-1617{6} Bhattacharya, S. and G. Chiesa, (1995)“Proprietary Information, Financial Intermediation, and Research Incentives,” Journal of Financial Intermediation, 4, 328-357.{7} Benanke, B. S., and M. Gertler(1995) “Inside the black box: The credit channel of monetary policy transmission” Journal of Economic Perspectives, 9, 27-48.{8}Brennan, Michael J., Ahley W. Wang, and Yihong Xia(2002) “Estimation and test of a simple model of intertemporal capital asset pricing” working paper, Anderson School, UCLA.{9}Chen, N. R. Roll, and S. Ross (1986)“Economic forces and the stock market” Journal of Business 59,383–403.{10}Chan,K.C.,Nai-fu Chen(1991)“Structural and return characteristics of small and large firms”Journal of Finance 46，1467-1484{11}Daniel, Kent, and Sheridan Titman(1997) “Evidence on the characteristics of cross-sectional variation in stock returns”Journal of Finance 52, 1-34.{12}Davis,J. , Fama, E. F., and French, K. R. (1999) "Characteristics, Covariances, and Average Returns: 1929-1997," Center for Research in Security Prices, working papers,NO 471{13}Denis, D. and V. Mihov(2002)“The Choice among Bank Debt, Non-bank Private Debt and Public Debt: Evidence from New Corporate Borrowings,” Journal of Financial Economics, 70, 3-28.{14}Fama, E. F. and J. D. Macbeth (1973)”Risk, return and equilibrium: Empirical tests”Journal of Political Economy 81, 607–36. {15}Fama, E.F.(1985)“What’s Different about Banks?” Journal of Monetary Economics, 15, 29-39.{16} Fama, E. F., and French, K. R. (1992), “The Cross-section of Expeted Stock Returns”,The Journal of Finance,427-465{17} Fama, E. F., and French, K. R. (1993), “Common risk Factors in the Return on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, pp.3-56.{18}Fama, Eugene F., and Kenneth R. French(1996) “Multifactor explanations of asset pricing Anomalies”Journal of Finance 51, 55-84.{19} Gertler, M., and R. G. Hubbard(1988) “Financial factors in business fluctuations” NBER Working Paper No. 2758.{20}Guha, D. and Hiris, L.(1999)“Forecasting the quality spread using business cycle indicators” presented at the 1999 FMA International Conference in Barcelona, Spain .{21}Guha, D. and Hiris, L.(2002 ) “The aggregate credit spread and the business cycle”International Review of Financial Analysis , 11, 219-227.{22} Jensen, M. and W. Meckling(1976) Theory of the firm : Managerial Behavior, Agency Costs, and Capital Struture. Journal of Financial Economics 33:305-360. {23} Jaehoon Hahn ,Hangyong Lee(2006) “Yield spreads as alternative risk factors for size and book-to-market” Journal of Financial and Quantitative Anaysis, VOL 41 ,NO 2, 245–269{24}Keim, Donald B., and Robert F. Stambaugh(1986) “Predicting returns in the stock and bond markets”Journal of Financial Economics 17, 357-390.{25} Kashyap, A. K., Stein, J. C., and D. W. Wilcox (1993) “Monetary policy and credit conditions: Evidence from the composition of external finance, American Economic Review” 83, 78-98. {26}Kashyap, Anil. K., Owen. A. Lamont, and Jeremy. C. Stein(1994) “Credit conditions and the cyclical behavior of inventories” Quarterly Journal of Economics 109, 565-592.{27}Leland, H. and D. Pyle(1977)“Information Asymmetries, Financial Structure, and Financial Intermediation,” Journal of Finance, 32, 371-387.{28} Lev, B., Sougiannis, T.(1999) “Penetrating the Book-to-Market Black Box：The R&D Effect” Journal of Business Finance and Accounting,419-449{29}Liew, Jimmy, and Maria Vassalou(2000) “Can book-to-market, size, and momentum be risk factors that predict economic growth?”Journal of Financial Economics 57, 221-245.{30}Lago Raquel (2004)“Estimating business cycle effects on default probabilities and ratings migrations” Tesina CEMFI No. 0402 , February {31}Merton, Robert C., 1973. An intertemporal capital asset pricing model,Econometrica 41, 867-887.{32} Mark Gertler, Simon Gilchrist(1994) “Monetary policy, business cycles, and the behavior of small manufacturing firms.” Quarterly Journal of Economics,VOL 109,Issue2,309-340.{33} Michael S. O’Doherty ,Henry B(2010) “Revisiting the Relation between Distress Risk and Stock Returns”, University of Missouri at Columbia - Department of Finance. {34}Ramakrishnan, R. and A. Thakor (1984)“Information Reliability and A Theory of Financial Intermediation,” Review of Economic Studies, 51, 415-432.{35} Rosenberg B, Reid K and Lanstein R. (1985). “Persuasive evidence of market inefficiency” Journal of Portfolio Management 11:9-17(36) Sanjoy, Basu(1983) “The Relationships Between Earnings’ yield, Market Value and Rrturn for NYSE Common Stocks” Journal of Financial Economics 12 (1983) 129-156.{37} Stattman D. (1980) “Book values and stock returns” The Chicago MBA: A Journal of Selected Papers, 4:25-45.{38} Tobin, J.(1969) “A general equilibrium approach to monetary theory” Journal of Money, Banking, and Credit, 1, 15-29. {39} Tobin, J. (1978) “Monetary policy and the economy: The transmission mechanism” Southern Economic Journal, 44, 421- 431. {40}張明峰(1991)，「股權結構對公司績效影響之研究。國立政治大學企業管理系碩士論文」。{41}陳啟運（1996 ）。「不同景氣循環下，信用及時間風險溢酬差異之實證研究-兼論動態避險策略之選取」。碩士論文，政治大學國際貿易研究所。{42}陳錦村（1998 ）。「競爭、往來關係與銀行授信行為之研究」。Journal of Financial Studies 5 (3)。{43}雷雅淇(2000)，「公司規模、股價、益本比、淨價市值比 與股票超常報酬關係之實證研究」，國立中央大學企業管理研究所碩士論文{44}陳家彬，賴怡洵(2001)，「台灣地區銀行放款有無擔保之決定因素：Logit模型之實證分析」，管理評論，第20卷第1期，129-159。{45}葉銀華，李存修，柯承恩(2002)，「公司治理與評等系統」（第一版），商智文化事業股份有限公司。{46}張大成，薛人瑞，黄建隆(2003)，「財務危機模型之變數選取研究，貨幣觀測與信用評等」，39，96-105。{47}王健安，沈中華(2003)，「資訊不對稱環境下，公司投資與銀行融資限制關係之研究」，管理學報，20：4，721-748。{48}鄭燕茹(2004)，「盈餘、股利與股票預期報酬之橫斷面分析」，國立中央大學企業管理研究所碩士論文。{49}王漢民，曹秀惠(2006) 「企業選擇負債融資工具影響因素之探討」經濟與管理論叢(Journal of Economics and Management), Vol.2, No.1, 53-70 。{50}王素彎，陳慶光(2007)，「臺灣中小企業資本結構影響因素之研究」，中小企業發展季刊，6期，1-21。{51}汪進揚，謝安宇(2008)「如何看待市值與淨值的差距? 」第十二屆科技整合管理研討會，591-611。{52}馮立功(2009)，「貨幣政策傳遞之信用管道﹣來自臺灣股市證據」，第十屆全國實證經濟學論文研討會。{53}陳采蓁，胡均立(2013)「金融機構對台灣中小企業融資之趨勢分析」中小企業發展季刊，29期，179-214。 描述 碩士
國立政治大學
國際經營與貿易研究所
101351034
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101351034 資料類型 thesis dc.contributor.advisor 饒秀華 zh_TW dc.contributor.author (Authors) 黃郁婷 zh_TW dc.creator (作者) 黃郁婷 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 29-Jul-2014 16:01:24 (UTC+8) - dc.date.available 29-Jul-2014 16:01:24 (UTC+8) - dc.date.issued (上傳時間) 29-Jul-2014 16:01:24 (UTC+8) - dc.identifier (Other Identifiers) G0101351034 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67847 - 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) 101351034 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 從Fama and French(1993)提出三因子模型以降，便持續有質疑的論點認為三因子仍然不夠完整且不夠有說服力，除非能夠找到更多潛藏的風險因子。這樣的批評是因為SMB、HML是依照「規模(size)」、「淨價市值比(bm)」等『特徵』分類之投資組合的報酬，而這卻和系統風險沒有足夠經濟意涵上的關聯。Hahn and Lee(2006)研究認為違約利差(default spread)、期間利差(term spread)兩種利差可以替代規模 (size)、淨價市值比 (bm)的角色去解釋風險與報酬抵換的關係，因為違約利差(default spread)、期間利差(term spread)已為眾人所知可以預測總體股票市場報酬，甚至這兩個變數已經長期被視為信用市場狀況以及貨幣政策效果的指標，也就是說這兩個變數可以捕捉市場報酬對於信用市場狀況、利率的變化。 故本文採用Hahn and Lee(2006)的研究方法，探討違約利差與期間利差是否能夠解釋SMB、HML兩個變數與景氣循環的關聯，如果可以解釋，代表利差可以進而代替SMB、HML成為資產報酬的解釋變數，甚至更富總體經濟意涵。 實證結果發現，違約利差的變動Δdefault spread對SMB顯著，兩者為正向關係；期間利差的變動Δterm spread對HML顯著，兩者為正向關係。小規模公司由於資訊不對稱的緣故，對貨幣政策以及景氣循環都有不對稱的反應，面對經濟不景氣的時候，小規模公司的信用條件惡化、暴露在違約風險之中，迴歸實證結果亦發現此時小規模公司的表現較差，故SMB下降。同樣地，在景氣不好的時候，期間利差縮小，高淨價市值比公司的股票報酬較低，故HML縮小。 zh_TW dc.description.tableofcontents 目錄 3第一章.序論 4一.研究動機與目的 4二.研究架構 13第二章.文獻回顧 14一.違約利差定義及其總體經濟意義之文獻回顧 14二.違約風險與 SMB的關係 16三.期間利差定義及其總體經濟意義之文獻回顧 22四.期間利差與HML的關係 25五.淨價市值比與財務風險的關係 25第三章.研究方法與實證分析 29一.變數定義與樣本敘述 29二.實證結果與分析 33第四章.結論與未來展望 42一.結論 42二.後續研究與建議 43參考文獻 44 zh_TW dc.format.extent 3225625 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/#G0101351034 en_US dc.subject (關鍵詞) 違約利差 zh_TW dc.subject (關鍵詞) 期間利差 zh_TW dc.subject (關鍵詞) 規模溢酬 zh_TW dc.subject (關鍵詞) 價值溢酬 zh_TW dc.subject (關鍵詞) 景氣循環 zh_TW dc.title (題名) 以利差解釋規模溢酬、價值溢酬與景氣循環的關聯 zh_TW dc.title (題名) Yield spreads as alternative risk factors for size and book-to-market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) {1} Black，F.Jenson，M.and Scholes，M.(1972) “The capital asset pricing model：some empirical tests，Studied in the Theory of Capital Market”Praeger Publishers，New York{2} Banz, R. W.(1981) “The relationship between return and market value of common stocks”Journal ofFinancial Economics 9(1), 3–18.{3} Barry, C. and S. Brown(1983) “Differential Information and the Small Firm Effect,” Journal of Financial Economics 13, 1984, 283-294.{4} Benanke, B. S.; Alan S. Blinder(1988) “ Credit, Money, and Aggregate Demand”The American Economic Review, Vol. 78, No. 2,435-439.{5} Buchholtz, A.K. and B. A. Ribbens (1994) “Bankruptcy and Corporate Governance : The impact of Board Composition and Structure” Academy of Management Journal 37（6）,1603-1617{6} Bhattacharya, S. and G. Chiesa, (1995)“Proprietary Information, Financial Intermediation, and Research Incentives,” Journal of Financial Intermediation, 4, 328-357.{7} Benanke, B. S., and M. Gertler(1995) “Inside the black box: The credit channel of monetary policy transmission” Journal of Economic Perspectives, 9, 27-48.{8}Brennan, Michael J., Ahley W. Wang, and Yihong Xia(2002) “Estimation and test of a simple model of intertemporal capital asset pricing” working paper, Anderson School, UCLA.{9}Chen, N. R. Roll, and S. Ross (1986)“Economic forces and the stock market” Journal of Business 59,383–403.{10}Chan,K.C.,Nai-fu Chen(1991)“Structural and return characteristics of small and large firms”Journal of Finance 46，1467-1484{11}Daniel, Kent, and Sheridan Titman(1997) “Evidence on the characteristics of cross-sectional variation in stock returns”Journal of Finance 52, 1-34.{12}Davis,J. , Fama, E. F., and French, K. R. (1999) "Characteristics, Covariances, and Average Returns: 1929-1997," Center for Research in Security Prices, working papers,NO 471{13}Denis, D. and V. Mihov(2002)“The Choice among Bank Debt, Non-bank Private Debt and Public Debt: Evidence from New Corporate Borrowings,” Journal of Financial Economics, 70, 3-28.{14}Fama, E. F. and J. D. Macbeth (1973)”Risk, return and equilibrium: Empirical tests”Journal of Political Economy 81, 607–36. {15}Fama, E.F.(1985)“What’s Different about Banks?” Journal of Monetary Economics, 15, 29-39.{16} Fama, E. F., and French, K. R. (1992), “The Cross-section of Expeted Stock Returns”,The Journal of Finance,427-465{17} Fama, E. F., and French, K. R. (1993), “Common risk Factors in the Return on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, pp.3-56.{18}Fama, Eugene F., and Kenneth R. French(1996) “Multifactor explanations of asset pricing Anomalies”Journal of Finance 51, 55-84.{19} Gertler, M., and R. G. Hubbard(1988) “Financial factors in business fluctuations” NBER Working Paper No. 2758.{20}Guha, D. and Hiris, L.(1999)“Forecasting the quality spread using business cycle indicators” presented at the 1999 FMA International Conference in Barcelona, Spain .{21}Guha, D. and Hiris, L.(2002 ) “The aggregate credit spread and the business cycle”International Review of Financial Analysis , 11, 219-227.{22} Jensen, M. and W. Meckling(1976) Theory of the firm : Managerial Behavior, Agency Costs, and Capital Struture. Journal of Financial Economics 33:305-360. {23} Jaehoon Hahn ,Hangyong Lee(2006) “Yield spreads as alternative risk factors for size and book-to-market” Journal of Financial and Quantitative Anaysis, VOL 41 ,NO 2, 245–269{24}Keim, Donald B., and Robert F. Stambaugh(1986) “Predicting returns in the stock and bond markets”Journal of Financial Economics 17, 357-390.{25} Kashyap, A. K., Stein, J. C., and D. W. Wilcox (1993) “Monetary policy and credit conditions: Evidence from the composition of external finance, American Economic Review” 83, 78-98. {26}Kashyap, Anil. K., Owen. A. Lamont, and Jeremy. C. Stein(1994) “Credit conditions and the cyclical behavior of inventories” Quarterly Journal of Economics 109, 565-592.{27}Leland, H. and D. Pyle(1977)“Information Asymmetries, Financial Structure, and Financial Intermediation,” Journal of Finance, 32, 371-387.{28} Lev, B., Sougiannis, T.(1999) “Penetrating the Book-to-Market Black Box：The R&D Effect” Journal of Business Finance and Accounting,419-449{29}Liew, Jimmy, and Maria Vassalou(2000) “Can book-to-market, size, and momentum be risk factors that predict economic growth?”Journal of Financial Economics 57, 221-245.{30}Lago Raquel (2004)“Estimating business cycle effects on default probabilities and ratings migrations” Tesina CEMFI No. 0402 , February {31}Merton, Robert C., 1973. An intertemporal capital asset pricing model,Econometrica 41, 867-887.{32} Mark Gertler, Simon Gilchrist(1994) “Monetary policy, business cycles, and the behavior of small manufacturing firms.” Quarterly Journal of Economics,VOL 109,Issue2,309-340.{33} Michael S. O’Doherty ,Henry B(2010) “Revisiting the Relation between Distress Risk and Stock Returns”, University of Missouri at Columbia - Department of Finance. {34}Ramakrishnan, R. and A. Thakor (1984)“Information Reliability and A Theory of Financial Intermediation,” Review of Economic Studies, 51, 415-432.{35} Rosenberg B, Reid K and Lanstein R. (1985). “Persuasive evidence of market inefficiency” Journal of Portfolio Management 11:9-17(36) Sanjoy, Basu(1983) “The Relationships Between Earnings’ yield, Market Value and Rrturn for NYSE Common Stocks” Journal of Financial Economics 12 (1983) 129-156.{37} Stattman D. (1980) “Book values and stock returns” The Chicago MBA: A Journal of Selected Papers, 4:25-45.{38} Tobin, J.(1969) “A general equilibrium approach to monetary theory” Journal of Money, Banking, and Credit, 1, 15-29. {39} Tobin, J. 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