臺灣博碩士論文加值系統

本研究旨在探討違約風險與資本結構對股票報酬之影響，先以本研究所建立之Logistic違約風險模型、O-score與TCRI分別計算出各樣本公司在各個年度之可能違約機率，資本結構亦以總負債比率與長期負債比率為其代理變數。再分別探討違約風險與資本結構之關係與違約風險與股票報酬之關係。最後，進一步探討在考慮違約風險與資本結構下是否投資人可獲得股票報酬。
本研究的研究結果發現違約風險會與資本結構呈正向相關，故可知公司資本決策之決定將會影響到未來之違約風險之高低，且以Logistic模型、TCRI與O-score所排列出之投資組合之分析結果差異並不是很大。此外，在考慮違約風險下，投資人可選擇以公司規模、淨值市價比、與股票週轉率這些公司特性作為投資決策之考量因素。最後，發現以Logistic所排列之投資組合中，高違約風險、低總負債比率之投資組合，可獲得較高之風險溢酬，而在以O-score所排列之投資組合中，則發現次高違約風險、低長期負債比率之投資組合，可獲得較高之風險溢酬。因此，違約風險與資本結構可做為投資人在做投資決策之參考指標。

This research examines the influences of capital structure and default risk on the stock returns. First of all, the annual likelihood of default was calculated based using the Logistic, O-score and TCRI models. The total debt ratio and the long-term debt ratio were used as proxies for capital structure in this study. Next, the relationships between the capital structure and default risk were examined. In addition, the researcher also looked into relationship between the stock returns and default risk. Finally, investor’s ability to realize profits from the stock returns under the capital structure and default risk was studied.
The results from the research indicated positive relationship between the default risk and capital structure, which suggests that capital decisions made by a company influences its default risk in the future. The portfolio differences predicted by the Logistic, TCRI and O-score models were not huge.
Under the default risk, investors may consider firm characteristics, such as firm size, book-to-market equity, and turnover, as the factors influencing their investment decisions. Higher risk premium was predicted using high default risk and low total debt ratio for the portfolio arranged by the Logistic model. On the other hand, the O-score predicted a higher risk premium with high risk default and low long-term debt ratio. Hence, from this study, the researcher concluded that default risk and capital structure can be used as factors to consider when making investment decisions.

第一章 緒論 ............................1
第一節 研究動機 ............................1
第二節 硏究目的 ............................2
第三節 研究架構 ............................4
第二章 文獻探討 ............................6
第一節 資本結構理論.........................6
第二節 違約風險............................12
第三節 股票市場異常現象....................17
第四節 違約風險與股票報酬之相關研究........18
第三章 研究設計............................20
第一節 研究方法............................20
第二節 研究假說............................21
第三節 違約風險模型........................25
第四節 樣本選取及變數定義 .................34
第四章 實證結果與分析......................41
第一節 以LOGISTIC模型之違約風險計算........41
第二節 投資組合分組結果....................42
第三節 橫斷面迴歸結果......................62
第五章 結論與後續研究建議..................66
第一節 結論................................66
第二節 研究限制與後續研究建議..............67
參考文獻.....................................69

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