臺灣博碩士論文加值系統

本文從一個全新角度來探討系統性信用風險與預期股票報酬率的關係。本文
主要研究動機在於過去許多重要文獻證明公司信用風險是系統性且不可分散。因
此,當公司承載較高的系統性信用風險曝險程度將預期獲得較高的股票報酬率。
本文使用 2001 年 7 月至 2021 年 6 月期間的台灣上市股票樣本來進行
研究。本研究基於信用評級分數 (TCRI) 來建構一個系統性信用風險模擬因子
(CRF),具體言之,買進低信用評等的投資組合並同時放空高信用評等的投資組
合,以形成的信用風險避險投資組合即為系統性信用風險模仿因子 (CRF)。本研
究主要研究成果有三點:第一,CRF 信用風險因子平均獲得每月 0.585%的異常
報酬率 (調整 Fama-French 五因子之後)。此 CRF 信用風險因子亦具有 0.157 的
夏普指數 (高於同時期的 Fama-French 五因子),顯示 CRF 對於效率投資組合的
投資績效去有一定程度的貢獻。第二,本文發現個別股票承載較高的 CRF 曝險
(Loadings on CRF) 將獲得較高的顯著異常報酬率,且此 CRF 曝險承載對於未來
報酬率的預測將凌駕於信用評等本身,此結果支持系統性信用風險曝險程度較高
將預期獲得較高股票報酬率的研究假說。第三,本文亦發現,CRF 能夠一定程度
的解釋四項股票異常報酬現象 (包含低流動性溢酬、低媒體曝光度溢酬、高營收
股價比溢酬、以及長期反轉溢酬)。
本研究主要貢獻在於推出一項新的系統性信用風險模擬因子(CRF)。CRF 具
有定價能力並可用於捕捉系統性信用風險。因此本文研究結論可深化對台灣股票
市場投資人對於信用風險評估的理解。

This paper addresses the question from a new perspective, by focusing on the relationship between the loading on a market-wide systematic credit risk factor and the expected equity returns. My main motivation is based upon the extant literature that has documented that corporate credit risk is systematic and undiversifiable risk; and thus,stocks with higher loadings on a systematic credit risk factor are expected to have higher equity returns.
I test this hypothesis by using a sample of Taiwan listed stocks during July 2001−June 2021. I generate a credit rating-based mimicking factor driving the kernel, CRF, that is long on the low credit-rating quintile and short on the high credit-rating quintile. This study generates four main results. First, I find that CRF offers an average return 0.773% per month, with a monthly Sharpe ratio of 0.157 which is considerably greater than those of well-known benchmark factors, thereby serving as an important contributor of the ex post tangency portfolio. Second, loadings on CRF positively predicts high subsequent returns, even after controlling for other firm characteristic predictors. A hedge portfolio that is long the highest and short the lowest CRF loading quintile generates a monthly abnormal return of 0.513−0.667% per month. Third, I find that CRF loading subsumes the power of characteristic-based credit rating to forecast the cross section of stock returns, supporting for the rational risk explanation for the credit rating premium. Finally, I provide additional evidence that CRF helps explains four return anomalies, including the illiquidity premium (55%), the low-media-coverage premium (36%), the sales-to-price premium (38%),and the long-term reversal premium (40%). This suggests that these four return anomalies in Taiwan equities derive in part from rational systematic risk premium.
The main contribution of this study is to launch a new priced credit rating-based mimicking factor, CRF, which offers a deeper understanding of credit risk evaluations in the Taiwan equity market.

中文摘要 i
ABSTRACT iii
致謝 v
Table of Contents vi
1. Introduction 1
2. Literature Review 6
2.1 Credit Risk-Return Puzzle 6
2.2 Credit Risk: Characteristic versus Covariance 7
3. Data and Sample Selection 8
3.1 Sample Collection 8
3.2 Main Variable: the Taiwan Corporate Credit Risk Index 8
3.3 Variable Definition and Descriptive Statistics 10
4. Empirical Analysis 11
4.1 Characteristic-based Credit Rating and Equity Returns 11
4.2 Formulating a Credit-rating-based Mimicking Factor, CRF 12
4.3 Loadings on CRF and Equity Returns in the Cross Section 16
4.4 Cross-Sectional Tests: Characteristics vs. Covariances 17
5. Further Evidence: CRF Explaining Various Returns Anomalies 25
5.1 CRF Explaining Illiquidity Premium 25
5.2 CRF Explaining Low-Media Premium 27
5.3 CRF Explaining Sales-to-Price Premium 32
5.4 CRF Explaining Long-term Reversal Premium 34
6. Conclusion 36

Reference 38

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