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研究生:張朝松
研究生(外文):Chao-Song Chang
論文名稱:違約風險與公司規模、淨值市價比
指導教授:王元章王元章引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:70
中文關鍵詞:違約風險公司規模淨值市價比
相關次數:
  • 被引用被引用:8
  • 點閱點閱:799
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
1990年代後期市場上發生違約的公司家數增加,違約風險越來越受到投資大眾注意;本研究主要目的在於利用Merton(1974)或有請求權的觀念以選擇權評價公式來衡量公司違約風險。實證結果發現利用市場股價資訊與財務報表資訊的選擇權評價公式可以捕捉公司的財務危機資訊;本文所採用的違約風險替代變數違約距離DD值與公司財務危機機率呈反比,當違約距離DD值愈小,公司發生違約機率的風險愈高。本研究的樣本期間為在1995年第四季到2003年第四季;實證結果發現,高違約風險的公司較低違約風險公司提供較高的報酬,小型股股票與高淨值市價比公司並沒有證據顯示擁有較高的違約風險。且在低違約風險分組中可藉由買小型股股票賣大型股股票的投資策略來獲利;而淨值市價比則在不同的違約風險分組中存在不穩定的關係。高違約風險的公司較低違約風險公司提供較高的報酬,由於違約風險可以直接反應公司財務危機的風險,公司規模與淨值市價比公司規模與淨值市價比並無法由違約風險單獨解釋。
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第貳章 文獻回顧 7
第一節 權益報酬與資產訂價模型 7
第二節 信用風險模型 19
第參章 研究方法 23
第一節 資料來源與樣本選取 23
第二節 信用風險衡量 24
第三節 變數定義與衡量 34
第四節 研究設計 37
第肆章 實證結果分析 40
第一節 違約風險衡量 40
第二節 投資組合分析 45
第三節 Fama-MacBeth橫斷面分析 56
第伍章 結論與建議 59
第一節 結論 59
第二節 研究限制與建議 60
參考文獻 61
一、國內文獻 61
二、國外文獻 62
附表 67
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